UK Top-10 Momentum Long-Short Equity Strategy

1from AlgoLib import *
2
3class MomentumEffectinStocksinSmallPortfolios(XXX):
4
5def Initialize(self):
6self.SetStartDate(2010, 1, 1)
7self.SetCash(100000)
8
9self.coarse_count = 500
10
11self.long = []
12self.short = []
13
14# Daily data.
15self.data = {}
16self.period = 12 * 21
17self.quantile = 10
18self.leverage = 5
19
20self.symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
21
22self.selection_flag = True
23self.UniverseSettings.Resolution = Resolution.Daily
24self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
25
26self.month = 11
27self.Schedule.On(self.DateRules.MonthStart(self.symbol), self.TimeRules.AfterMarketOpen(self.symbol), self.Selection)
28
29def OnSecuritiesChanged(self, changes):
30for security in changes.AddedSecurities:
31    security.SetFeeModel(CustomFeeModel())
32    security.SetLeverage(self.leverage)
33
34def CoarseSelectionFunction(self, coarse):
35# Update the rolling window every day.
36for stock in coarse:
37    symbol = stock.Symbol
38
39    if symbol in self.data:
40        # Store daily price.
41        self.data[symbol].update(stock.AdjustedPrice)
42
43# Selection once a month.
44if not self.selection_flag:
45    return Universe.Unchanged
46
47# selected = [x.Symbol for x in coarse if x.HasFundamentalData and x.Market == 'usa']
48selected = [x.Symbol
49    for x in sorted([x for x in coarse if x.HasFundamentalData and x.Market == 'usa'],
50        key = lambda x: x.DollarVolume, reverse = True)[:self.coarse_count]]
51
52# Warmup price rolling windows.
53for symbol in selected:
54    if symbol in self.data:
55        continue
56    
57    self.data[symbol] = SymbolData(symbol, self.period)
58    history = self.History(symbol, self.period, Resolution.Daily)
59    if history.empty:
60        self.Log(f"Not enough data for {symbol} yet")
61        continue
62    closes = history.loc[symbol].close
63    for time, close in closes.iteritems():
64        self.data[symbol].Price.Add(close)
65        
66return [x for x in selected if self.data[x].is_ready()]
67
68def FineSelectionFunction(self, fine):
69fine = [x for x in fine if x.MarketCap != 0]
70
71# if len(fine) > self.coarse_count:
72#     sorted_by_market_cap = sorted(fine, key = lambda x: x.MarketCap, reverse=True)
73#     top_by_market_cap = sorted_by_market_cap[:self.coarse_count]
74# else:
75#     top_by_market_cap = fine
76
77# Performance sorting.
78performance = {x.Symbol : self.data[x.Symbol].performance() for x in fine}
79
80if len(performance) >= self.quantile:
81    decile = int(len(performance) / self.quantile)
82    sorted_by_perf = sorted(performance.items(), key = lambda x: x[1], reverse = True)
83    self.long = [x[0] for x in sorted_by_perf[:decile]]
84    self.short = [x[0] for x in sorted_by_perf[-decile:]]
85
86return self.long + self.short
87    
88def OnData(self, data):
89if not self.selection_flag:
90    return
91self.selection_flag = False
92
93# Trade execution.
94long_count = len(self.long)
95short_count = len(self.short)
96
97invested = [x.Key for x in self.Portfolio if x.Value.Invested]
98for symbol in invested:
99    if symbol not in self.long + self.short:
100        self.Liquidate(symbol)        
101        
102for symbol in self.long:
103    if symbol in data and data[symbol]:
104        self.SetHoldings(symbol, 1 / long_count)
105
106for symbol in self.short:
107    if symbol in data and data[symbol]:
108        self.SetHoldings(symbol, -1 / short_count)
109
110def Selection(self):
111# Rebalance every 12 months.
112if self.month == 12:
113    self.selection_flag = True
114
115self.month += 1
116if self.month > 12: 
117    self.month = 1
118
119class SymbolData():
120def __init__(self, symbol, period):
121self.Symbol = symbol
122self.Price = RollingWindow[float](period)
123
124def update(self, value):
125self.Price.Add(value)
126
127def is_ready(self):
128return self.Price.IsReady
129
130def performance(self):
131closes = [x for x in self.Price]
132return (closes[0] / closes[-1] - 1)
133
134# Custom fee model
135class CustomFeeModel(FeeModel):
136def GetOrderFee(self, parameters):
137fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
138return OrderFee(CashAmount(fee, "USD"))