Profitability Factor Combined with Value Factor

1from AlgorithmImports import *
2from typing import Dict, List
3from numpy import isnan
4class ProfitabilityCombinedWithValue(QCAlgorithm):
5def Initialize(self) -> None:
6self.SetStartDate(2001, 1, 1)
7self.SetCash(100000)            
8market:Symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
9
10self.fundamental_count:int = 3000
11self.fundamental_sorting_key = lambda x: x.MarketCap
12
13self.traded_count:int = 150
14self.leverage:int = 3
15self.min_share_price:int = 5
16
17self.long:List[Symbol] = []
18self.short:List[Symbol] = []
19
20self.rebalance_month:int = 6
21self.selection_flag:bool = True
22self.UniverseSettings.Resolution = Resolution.Daily
23self.AddUniverse(self.FundamentalSelectionFunction)
24self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
25self.settings.daily_precise_end_time = False
26self.Schedule.On(self.DateRules.MonthEnd(market), self.TimeRules.BeforeMarketClose(market), self.Rebalance)
27def OnSecuritiesChanged(self, changes: SecurityChanges) -> None:
28for security in changes.AddedSecurities:
29    security.SetFeeModel(CustomFeeModel())
30    security.SetLeverage(self.leverage)
31
32def FundamentalSelectionFunction(self, fundamental: List[Fundamental]) -> List[Symbol]:
33if not self.selection_flag:
34    return Universe.Unchanged
35
36selected:List[Fundamental] = [
37    x for x in fundamental if x.HasFundamentalData and x.Price > self.min_share_price and \
38    x.AssetClassification.MorningstarSectorCode != MorningstarSectorCode.FinancialServices and not \
39    # isnan(x.EarningReports.BasicAverageShares.ThreeMonths) and x.EarningReports.BasicAverageShares.ThreeMonths != 0 and not \
40    isnan(x.FinancialStatements.IncomeStatement.GrossProfit.ThreeMonths) and x.FinancialStatements.IncomeStatement.GrossProfit.ThreeMonths != 0 and not \
41    isnan(x.FinancialStatements.BalanceSheet.TotalAssets.ThreeMonths) and x.FinancialStatements.BalanceSheet.TotalAssets.ThreeMonths != 0 and not \
42    isnan(x.ValuationRatios.PBRatio) and x.ValuationRatios.PBRatio != 0
43]
44if len(selected) > self.fundamental_count:
45    selected = [x for x in sorted(selected, key=self.fundamental_sorting_key, reverse=True)[:self.fundamental_count]]
46# sorted stocks in the top market-cap list by BM
47top_bm:List[Fundamental] = sorted(selected, key = lambda x: 1 / x.ValuationRatios.PBRatio)
48
49# sorted stocks in the top market-cap list by profits-to-assets
50top_pa:List[Fundamental] = sorted(selected, key = lambda x: x.FinancialStatements.IncomeStatement.GrossProfit.ThreeMonths / x.FinancialStatements.BalanceSheet.TotalAssets.ThreeMonths)
51a:int = 0
52b:int = 0 
53for i in top_bm:
54    a += 1
55    i.bmrank = a 
56for i in top_pa:
57    b += 1
58    i.parank = b
59if len(selected) >= self.traded_count*2:
60    sorted_by_pv:List[Fundamental] = sorted(selected, key = lambda x: x.bmrank + x.parank, reverse = True)
61    
62    self.long = [x.Symbol for x in sorted_by_pv[:self.traded_count]]
63    self.short = [x.Symbol for x in sorted_by_pv[-self.traded_count:]]
64
65return self.long + self.short
66
67def Rebalance(self) -> None:
68if self.Time.month == self.rebalance_month:
69    self.selection_flag = True
70def OnData(self, data: Slice) -> None:
71if not self.selection_flag:
72    return
73self.selection_flag = False
74# Trade execution
75invested:List[Symbol] = [x.Key for x in self.Portfolio if x.Value.Invested]
76for symbol in invested:
77    if symbol not in self.long + self.short:
78        self.Liquidate(symbol)
79
80for i, portfolio in enumerate([self.long, self.short]):
81    for symbol in portfolio:
82        if symbol in data and data[symbol]:
83            self.SetHoldings(symbol, ((-1) ** i) / len(portfolio))
84self.long.clear()
85self.short.clear()
86# Custom fee model.
87class CustomFeeModel(FeeModel):
88def GetOrderFee(self, parameters):
89fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
90return OrderFee(CashAmount(fee, "USD"))