Overnight-Intraday Reversal in Futures

1from AlgorithmImports import *
2# endregion
3
4class OvernightIntradayReversalinFutures(QCAlgorithm):
5
6def Initialize(self):
7self.SetStartDate(2015, 1, 1)
8self.SetCash(100000)
9
10self.traded_percentage:float = 0.1
11self.futures:List[Symbol] = []
12self.last_close:Dict[Symbol, float] = {}
13self.traded_count:int = 2
14
15symbols:List[str] = [
16    Futures.Indices.SP400MidCapEmini,
17    Futures.Indices.SP500EMini,
18    Futures.Indices.MicroDow30EMini,
19    Futures.Indices.NASDAQ100EMini,
20    Futures.Indices.Nikkei225Dollar,
21]
22
23for symbol in symbols:
24    future:Future = self.AddFuture(symbol, Resolution.Minute, dataNormalizationMode=DataNormalizationMode.BackwardsRatio, contractDepthOffset=0)
25    self.futures.append(future.Symbol)
26
27self.day_close_flag:bool = False
28self.day_open_flag:bool = False
29
30self.Schedule.On(self.DateRules.EveryDay(self.futures[1]), self.TimeRules.BeforeMarketClose(self.futures[1], 1), self.DayClose)
31self.Schedule.On(self.DateRules.EveryDay(self.futures[1]), self.TimeRules.AfterMarketOpen(self.futures[1], 1), self.DayOpen)
32
33def OnData(self, data: Slice) -> None:
34if self.day_open_flag:
35    self.day_open_flag = False
36
37    returns:Dict[Symbol, float] = {symbol: data[symbol].Open / self.last_close[symbol] - 1 for symbol in self.futures if symbol in self.last_close and symbol in data and data[symbol]}
38    self.last_close.clear()
39
40    traded_count:int = self.traded_count if len(returns) >= len(self.futures) else 1
41    sorted_returns:List[Symbol] = sorted(returns, key=returns.get)
42    long:List[Symbol] = sorted_returns[:traded_count]
43    short:List[Symbol] = sorted_returns[-traded_count:]
44    
45    for i, portfolio in enumerate([long, short]):
46        for symbol in portfolio:
47            self.SetHoldings(self.Securities[symbol].Mapped, ((-1) ** i) / len(portfolio) * self.traded_percentage)
48
49if self.day_close_flag:
50    self.day_close_flag = False
51
52    self.Liquidate()
53    self.last_close = { symbol: data[symbol].Close for symbol in self.futures if symbol in data and data[symbol] }
54
55def DayClose(self) -> None:
56self.day_close_flag = True
57
58def DayOpen(self) -> None:
59self.day_open_flag = True