Long-Term Reversal Combined with a Momentum Effect in Industry Portfolios

1from AlgorithmImports import *
2class LongTermReversalCombinedWithMomentumEffectAlgorithm(QCAlgorithm):
3def Initialize(self):
4
5self.SetStartDate(2010, 1, 1) 
6self.SetCash(100000)      
7self.tickers = [
8    "XLY", # Consumer Discretionary Select Sector SPDR Fund
9    "PBS", # Invesco Dynamic Media ETF
10    "PEJ", # Invesco Dynamic Leisure and Entertainment ETF
11    "PMR", # Invesco Dynamic Retail ETF
12        
13    "XLP", # Consumer Staples Select Sector SPDR Fund
14    "PBJ", # Invesco Dynamic Food & Beverage ETF
15        
16    "XLE", # Energy Select Sector SPDR Fund
17    "PBW", # Invesco WilderHill Clean Energy ETF
18    "PXE", # Invesco Dynamic Energy Exploration & Production ETF
19    "NLR", # VanEck Vectors Uranium+Nuclear Energy ETF
20    "AMJ", # JPMorgan Alerian MLP Index ETN
21        
22    "XLF", # Financial Select Sector SPDR Fund
23    "KBE", # SPDR S&P Bank ETF
24    "KIE", # SPDR S&P Insurance ETF
25    "KRE", # SPDR S&P Regional Banking ETF
26    "PSP", # Invesco Global Listed Private Equity ETF
27        
28    "XLV", # Health Care Select Sector SPDR Fund
29    "IBB", # iShares Nasdaq Biotechnology ETF
30    "IHF", # iShares U.S. Healthcare Providers ETF
31    "IHE", # iShares U.S. Pharmaceuticals ETF
32        
33    "XLI", # Industrial Select Sector SPDR Fund
34    "ITA", # iShares U.S. Aerospace & Defense ETF
35    "IYT", # iShares Transportation Average ETF
36    "PHI", # Invesco Water Resources ETF
37        
38    "XLB", # Materials Select Sector SPDR ETF
39    "MOO", # VanEck Vectors Agribusiness ETF
40    "GDX", # VanEck Vectors Gold Miners ETF
41    "XHB", # SPDR S&P Homebuilders ETF
42    "IGE", # iShares North American Natural Resources ETF
43        
44    "XLK", # Technology Select Sector SPDR Fund
45    "FDN", # First Trust Dow Jones Internet Index
46    "SOXX", # iShares PHLX Semiconductor ETF
47    "IGV", # iShares Expanded Tech-Software Sector ET
48    "IYZ", # iShares U.S. Telecommunications ETF
49        
50    "XLU", # Utilities Select Sector SPDR Fund
51    "IGF", # iShares Global Infrastructure ETF
52]
53
54self.data = {} # Storing closes
55self.symbols = []
56
57self.symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
58
59self.current_month = 0
60self.needed_months = 120
61self.months_for_short_perf = 12
62self.period = self.needed_months * 21
63self.SetWarmUp(self.period)
64
65for ticker in self.tickers:
66    security = self.AddEquity(ticker, Resolution.Daily)
67    security.SetFeeModel(CustomFeeModel())
68    security.SetLeverage(5)
69    
70    self.data[security.Symbol] = SymbolData(self.period)
71    self.symbols.append(security.Symbol)
72 
73self.selection_flag = False    
74self.Schedule.On(self.DateRules.MonthEnd(self.symbol), self.TimeRules.AfterMarketOpen(self.symbol), self.Selection)
75
76def OnData(self, data):
77for symbol in self.symbols:
78    if symbol in data:
79        if data[symbol]:
80            price = data[symbol].Value
81            self.data[symbol].update(price)
82
83if self.IsWarmingUp: return
84
85if not self.selection_flag:
86    return
87self.selection_flag = False
88
89performances = {}
90for symbol in self.symbols:
91    if self.data[symbol].is_ready():
92        performances[symbol] = self.data[symbol].performance()
93    
94sorted_by_performance = [x[0] for x in sorted(performances.items(), key=lambda item: item[1])]
95
96quartile = int(len(sorted_by_performance) / 4)
97winners = sorted_by_performance[-quartile:]
98losers = sorted_by_performance[:quartile]
99        
100short_term_perf_losers = {}
101short_term_perf_winners = {}
102
103for symbol in losers:
104    short_term_perf_losers[symbol] = self.data[symbol].short_term_performance(self.months_for_short_perf)
105
106for symbol in winners:
107    short_term_perf_winners[symbol] = self.data[symbol].short_term_performance(self.months_for_short_perf)
108    
109short_term_losers_sort_by_perf = [x[0] for x in sorted(short_term_perf_losers.items(), key=lambda item: item[1])]
110short_term_winners_sort_by_perf = [x[0] for x in sorted(short_term_perf_winners.items(), key=lambda item: item[1])]
111
112quartile = int(len(short_term_winners_sort_by_perf) / 4)
113short = short_term_winners_sort_by_perf[:quartile]
114
115quartile = int(len(short_term_losers_sort_by_perf) / 4)
116long = short_term_losers_sort_by_perf[-quartile:]
117
118# Trade Execution
119stocks_invested = [x.Key for x in self.Portfolio if x.Value.Invested]
120for symbol in stocks_invested:
121    if symbol not in long + short:
122        self.Liquidate(symbol)
123
124long_length = len(long)
125short_length = len(short)
126
127for symbol in long:
128    if self.Securities[symbol].Price != 0 and self.Securities[symbol].IsTradable:
129        self.SetHoldings(symbol, 1 / long_length)
130
131for symbol in short:
132    if self.Securities[symbol].Price != 0 and self.Securities[symbol].IsTradable:
133        self.SetHoldings(symbol, -1 / short_length)
134
135def Selection(self):
136self.current_month += 1
137
138if self.current_month % 3 == 0: # Selection each quarter
139    self.selection_flag = True
140
141class SymbolData():
142def __init__(self, period):
143self.Closes = RollingWindow[float](period)
144
145def update(self, close):
146self.Closes.Add(close)
147
148def is_ready(self):
149return self.Closes.IsReady
150
151def performance(self):
152closes = [x for x in self.Closes]
153return (closes[0] - closes[-1]) / closes[-1]
154
155def short_term_performance(self, months):
156closes = [x for x in self.Closes][:21 * months] # Takes last months
157return (closes[0] - closes[-1]) / closes[-1]
158
159# Custom fee model
160class CustomFeeModel(FeeModel):
161def GetOrderFee(self, parameters):
162fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
163return OrderFee(CashAmount(fee, "USD"))