Patent Intensity Factor in Equities

1from AlgorithmImports import *
2from data_tools import CustomFeeModel
3# endregion
4
5class PatentIntensityFactorInEquities(QCAlgorithm):
6
7def Initialize(self):
8self.SetStartDate(2000, 1, 1)
9self.SetCash(100000)
10
11self.leverage:int = 5
12self.quantile:int = 4
13self.rebalance_month:int = 6
14
15self.weights:Dict[Symbol, float] = {}
16
17self.patents_granted:Dict[str, int] = {}
18self.patents:Dict[str, Dict[str, Dict[str, int]]] = {}
19
20self.market_symbol:Symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
21
22patents_csv:str = self.Download('data.quantpedia.com/backtesting_data/economic/patents.csv')
23lines:List[str] = patents_csv.split('\r\n')
24header:str = lines.pop(0)
25self.tickers:List[str] = header.split(';')[1:]
26
27for line in lines:
28    if line == '':
29        continue
30
31    split:List[str] = line.split(';')
32    date:str = split.pop(0)
33    date_split:List[str] = date.split('.')
34    month:int = int(date_split[1])
35    year:int = int(date_split[-1])
36
37    if year not in self.patents:
38        self.patents[year] = {}
39
40    if month not in self.patents[year]:
41        self.patents[year][month] = {}
42
43    for i, total_patents in enumerate(split):
44        if total_patents == '0.0':
45            continue
46
47        ticker:str = self.tickers[i]
48        total_patents = int(float(total_patents))
49
50        if ticker not in self.patents[year][month]:
51            self.patents[year][month][ticker] = 0
52
53        self.patents[year][month][ticker] += total_patents
54
55self.selection_flag:bool = False
56self.UniverseSettings.Resolution = Resolution.Daily
57self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
58
59self.Schedule.On(self.DateRules.MonthEnd(self.market_symbol), self.TimeRules.BeforeMarketClose(self.market_symbol, 0), self.Selection)
60
61def OnSecuritiesChanged(self, changes:SecurityChanges) -> None:
62for security in changes.AddedSecurities:
63    security.SetFeeModel(CustomFeeModel())
64    security.SetLeverage(self.leverage)
65
66def CoarseSelectionFunction(self, coarse:List[CoarseFundamental]) -> List[Symbol]:
67if not self.selection_flag:
68    return Universe.Unchanged
69
70selected_symbols:List[Symbol] = [x.Symbol for x in coarse if x.Symbol.Value in self.patents_granted]
71
72return selected_symbols 
73
74def FineSelectionFunction(self, fine:List[FineFundamental]) -> List[Symbol]:
75PI_values:Dict[Symbol, int] = {}
76for stock in fine:
77    market_cap:float = stock.MarketCap
78
79    if market_cap == 0:
80        continue
81
82    symbol:Symbol = stock.Symbol
83    total_patents:int = self.patents_granted[symbol.Value]
84    PI_values[symbol] = total_patents / market_cap
85
86self.patents_granted.clear()
87
88if len(PI_values) < self.quantile:
89    return Universe.Unchanged
90
91quantile:int = int(len(PI_values) / self.quantile)
92sorted_by_values:List[Symbol] = [x[0] for x in sorted(PI_values.items(), key=lambda item: item[1])]
93
94long_leg:List[Symbol] = sorted_by_values[-quantile:]
95short_leg:List[Symbol] = sorted_by_values[:quantile]
96
97for symbol in long_leg:
98    self.weights[symbol] = 1 / quantile
99
100for symbol in short_leg:
101    self.weights[symbol] = -1 / quantile
102
103return long_leg + short_leg
104
105def OnData(self, data):
106curr_year:int = self.Time.year
107curr_month:int = self.Time.month
108
109if curr_year in self.patents and curr_month in self.patents[curr_year]:
110    patents_granted:Dict[str, int] = self.patents[curr_year][curr_month]
111
112    for ticker, total_patents in patents_granted.items():
113        if ticker not in self.patents_granted:
114            self.patents_granted[ticker] = 0
115        self.patents_granted[ticker] += total_patents
116
117    del self.patents[curr_year][curr_month]
118
119if not self.selection_flag:
120    return
121self.selection_flag = False
122
123# trade execution
124invested:list[Symbol] = [x.Key for x in self.Portfolio if x.Value.Invested]
125for symbol in invested:
126    if symbol not in self.weights:
127        self.Liquidate(symbol)
128        
129for symbol, w in self.weights.items():
130    self.SetHoldings(symbol, w)
131        
132self.weights.clear()
133
134def Selection(self):
135if self.Time.month == self.rebalance_month:
136    self.selection_flag = True