Momentum Stock Picking Strategy Using RSI Indicator

1from AlgorithmImports import *
2class MomentumStockPickingRSIIndicator(QCAlgorithm):
3def Initialize(self):
4self.SetStartDate(2010, 1, 1)
5self.SetCash(100000)
6self.UniverseSettings.Resolution = Resolution.Daily
7self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
8self.settings.daily_precise_end_time = False
9self.AddUniverse(self.Universe.QC500)   # monthly selected proxy SP500 universe
10
11self.rsi = {}
12self.rsi_history = {}
13self.period = 25
14
15# monthly updated stock selection
16self.selection = []
17
18symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
19
20def OnSecuritiesChanged(self, changes):
21for security in changes.AddedSecurities:
22    symbol = security.Symbol
23    security.SetFeeModel(CustomFeeModel())
24    security.SetLeverage(10)
25    
26    if symbol not in self.selection:
27        self.selection.append(symbol)
28
29for security in changes.RemovedSecurities:
30    symbol = security.Symbol
31    if symbol in self.selection:
32        self.selection.remove(symbol)
33
34def OnData(self, data):
35long = []
36
37# calculate signal
38for symbol in self.selection:
39    if not symbol in self.rsi:
40        self.rsi[symbol] = self.RSI(symbol, 14, MovingAverageType.Simple, Resolution.Daily)
41        self.rsi_history[symbol] = RollingWindow[float](self.period)
42
43    if not self.rsi[symbol].IsReady: continue
44
45    self.rsi_history[symbol].Add(self.rsi[symbol].Current.Value)
46    
47    if self.rsi_history[symbol].IsReady:
48        rsi_values = [x for x in self.rsi_history[symbol]]
49        max_rsi = max(rsi_values)
50        bull_range = sum([x > 40 for x in rsi_values]) == self.period
51        
52        if max_rsi > 70 and bull_range:
53            long.append(symbol)
54
55# liquidate
56invested = [x.Key for x in self.Portfolio if x.Value.Invested]
57for symbol in invested:
58    if symbol not in long:
59        self.Liquidate(symbol)
60# open new trades
61long_count = len(long)
62
63for symbol in long:
64    if self.Securities[symbol].Price != 0 and self.Securities[symbol].IsTradable:
65        self.SetHoldings(symbol, 1 / long_count)
66    
67# Custom fee model.
68class CustomFeeModel(FeeModel):
69def GetOrderFee(self, parameters):
70fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
71return OrderFee(CashAmount(fee, "USD"))