Military Expenditures and Performance of the Stock Markets

1from AlgorithmImports import *
2import data_tools
3from typing import Dict, List
4# endregion
5
6class MilitaryExpendituresandPerformanceoftheStockMarkets(QCAlgorithm):
7
8def Initialize(self):
9self.SetStartDate(2006, 1, 1)
10self.SetCash(100000)
11
12self.selection:int = 3
13self.leverage:int = 3
14
15self.symbols:Dict[str, str] = {
16    'USA': 'SPY',
17    'United Kingdom': 'EWU',
18    'Germany': 'EWG',
19    'France': 'EWQ',
20    'Italy': 'EWI',
21    'Sweden': 'EWD',
22    'Netherlands': 'EWN',
23    'Spain': 'EWP',
24    'Belgium': 'EWK',
25    'Switzerland': 'EWL',
26    'Canada': 'EWC',
27    'Japan': 'EWJ',
28    'Mexico': 'EWW',
29    'Malaysia': 'EWM',
30    'Australia': 'EWA',
31    'Singapore': 'EWS',
32    'South Korea': 'EWY',
33    'Taiwan': 'EWT',
34    'Brazil': 'EWZ',
35    'South Africa': 'EZA',
36    'China': 'FXI',
37    'India': 'INDY'
38}
39
40for country, ticker in self.symbols.items():
41    data = self.AddEquity(ticker, Resolution.Daily)
42    data.SetLeverage(self.leverage)
43
44self.military_expenditures:Symbol = self.AddData(data_tools.MilitaryExpenditures, 'military_expenditures', Resolution.Daily).Symbol
45self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
46
47def OnData(self, data: Slice):
48military_expenditures_last_update_date:datetime.date = data_tools.MilitaryExpenditures._last_update_date
49rebalance_flag:bool = False
50
51# sort countries by military expenditures
52if self.military_expenditures in data and data[self.military_expenditures]:
53    current_military_expenditures:Dict[Symbol, float] = {self.Symbol(ticker) : data[self.military_expenditures][country] for country, ticker in self.symbols.items() \
54                                                if self.Securities[self.Symbol(ticker)].GetLastData() and self.Time.date() < military_expenditures_last_update_date}
55
56    if len(current_military_expenditures) >= self.selection * 2:
57        sorted_military_expenditures:List[Symbol] = sorted(current_military_expenditures, key=current_military_expenditures.get, reverse=True)
58        long:List[Symbol] = sorted_military_expenditures[:self.selection]
59        short:List[Symbol] = sorted_military_expenditures[-self.selection:]
60        rebalance_flag = True
61    else:
62        self.Liquidate()
63        
64if rebalance_flag:
65    # trade execution
66    invested:List[Symbol] = [x.Key for x in self.Portfolio if x.Value.Invested]
67    for symbol in invested:
68        if symbol not in long + short:
69            self.Liquidate(symbol)
70
71    for i, portfolio in enumerate([long, short]):
72        for symbol in portfolio:
73            if symbol in data and data[symbol]:
74                self.SetHoldings(symbol, ((-1) ** i) / len(portfolio))