Rank Effect for Commodities

1from AlgorithmImports import *
2class RankEffectForCommodities(QCAlgorithm):
3def Initialize(self):
4 self.SetStartDate(2010, 1, 1)
5 self.SetCash(100000)
6 
7 self.SetMaximumOrders(100000)
8 self.quantile: int = 5
9 
10 self.symbols = [
11     "CME_S1",   # Soybean Futures, Continuous Contract
12     "CME_W1",   # Wheat Futures, Continuous Contract
13     "CME_SM1",  # Soybean Meal Futures, Continuous Contract
14     "CME_BO1",  # Soybean Oil Futures, Continuous Contract
15     "CME_C1",   # Corn Futures, Continuous Contract
16     "CME_O1",   # Oats Futures, Continuous Contract
17     "CME_LC1",  # Live Cattle Futures, Continuous Contract
18     "CME_FC1",  # Feeder Cattle Futures, Continuous Contract
19     "CME_LN1",  # Lean Hog Futures, Continuous Contract
20     "CME_GC1",  # Gold Futures, Continuous Contract
21     "CME_SI1",  # Silver Futures, Continuous Contract
22     "CME_PL1",  # Platinum Futures, Continuous Contract
23     "CME_CL1",  # Crude Oil Futures, Continuous Contract
24     "CME_HG1",  # Copper Futures, Continuous Contract
25     "CME_LB1",  # Random Length Lumber Futures, Continuous Contract
26     # "CME_NG1",  # Natural Gas (Henry Hub) Physical Futures, Continuous Contract
27     "CME_PA1",  # Palladium Futures, Continuous Contract 
28     "CME_RR1",  # Rough Rice Futures, Continuous Contract
29     "CME_DA1",  # Class III Milk Futures
30     "ICE_RS1",  # Canola Futures, Continuous Contract
31     "ICE_GO1",  # Gas Oil Futures, Continuous Contract
32     "CME_RB2",  # Gasoline Futures, Continuous Contract
33     "CME_KW2",  # Wheat Kansas, Continuous Contract
34     "ICE_WT1",  # WTI Crude Futures, Continuous Contract
35     "ICE_RS1",  # Canola Futures, Continuous Contract
36     "ICE_GO1",  # Gas Oil Futures, Continuous Contract
37     "CME_RB2",  # Gasoline Futures, Continuous Contract
38     "CME_KW2",  # Wheat Kansas, Continuous Contract
39     "ICE_WT1",  # WTI Crude Futures, Continuous Contract
40     "ICE_CC1",  # Cocoa Futures, Continuous Contract 
41     "ICE_CT1",  # Cotton No. 2 Futures, Continuous Contract
42     "ICE_KC1",  # Coffee C Futures, Continuous Contract
43     "ICE_O1",   # Heating Oil Futures, Continuous Contract
44     "ICE_OJ1",  # Orange Juice Futures, Continuous Contract
45     "ICE_SB1",  # Sugar No. 11 Futures, Continuous Contract
46 ]
47 
48 for symbol in self.symbols:
49     data = self.AddData(QuantpediaFutures, symbol, Resolution.Daily)
50     data.SetFeeModel(CustomFeeModel())
51     data.SetLeverage(10)
52 
53 self.base_price = {}
54 self.settings.daily_precise_end_time = False
55def OnData(self, data):
56 # base
57 if self.Time.year == 2010 and self.Time.month == 1 and self.Time.day == 5:
58     for symbol in self.symbols:
59         if symbol in data and data[symbol]:
60             self.base_price[symbol] = data[symbol].Value
61 
62 performance = {}
63 
64 for symbol in self.symbols:
65     # Check if data is still coming.
66     if self.securities[symbol].get_last_data() and self.time.date() > QuantpediaFutures.get_last_update_date()[symbol]:
67         self.liquidate(symbol)
68         continue
69     symbol_obj = self.Symbol(symbol)
70     if symbol_obj in data and data[symbol_obj]:
71         price = data[symbol_obj].Value
72         if price != 0 and symbol in self.base_price:
73             base_price = self.base_price[symbol]
74             ret = (price / base_price) - 1
75             performance[symbol] = ret
76 if len(performance) < self.quantile:
77     return
78 sorted_perf = sorted(performance.items(), key = lambda x: x[1], reverse = True)
79 quintile = int(len(sorted_perf) / self.quantile)
80 long = [x[0] for x in sorted_perf[-quintile:]]
81 short = [x[0] for x in sorted_perf[:quintile]]
82 
83 targets: List[PortfolioTarget] = []
84 for i, portfolio in enumerate([long, short]):
85     for symbol in portfolio:
86         if symbol in data and data[symbol]:
87             targets.append(PortfolioTarget(symbol, ((-1) ** i) / len(portfolio)))
88 
89 self.SetHoldings(targets, True)
90 # invested = [x.Key.Value for x in self.Portfolio if x.Value.Invested]
91 # for symbol in invested:
92 #     if symbol not in long + short:
93 #         self.Liquidate(symbol)
94 # for symbol in long:
95 #     self.SetHoldings(symbol, 1 / len(long))
96 # for symbol in short:
97 #     self.SetHoldings(symbol, -1 / len(short))
98# Quantpedia data.
99# NOTE: IMPORTANT: Data order must be ascending (datewise)
100class QuantpediaFutures(PythonData):
101_last_update_date:Dict[Symbol, datetime.date] = {}
102@staticmethod
103def get_last_update_date() -> Dict[Symbol, datetime.date]:
104return QuantpediaFutures._last_update_date
105def GetSource(self, config, date, isLiveMode):
106 return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)
107def Reader(self, config, line, date, isLiveMode):
108 data = QuantpediaFutures()
109 data.Symbol = config.Symbol
110 
111 if not line[0].isdigit(): return None
112 split = line.split(';')
113 
114 data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1)
115 data['back_adjusted'] = float(split[1])
116 data['spliced'] = float(split[2])
117 data.Value = float(split[1])
118 if config.Symbol.Value not in QuantpediaFutures._last_update_date:
119     QuantpediaFutures._last_update_date[config.Symbol.Value] = datetime(1,1,1).date()
120 if data.Time.date() > QuantpediaFutures._last_update_date[config.Symbol.Value]:
121     QuantpediaFutures._last_update_date[config.Symbol.Value] = data.Time.date()
122     
123 return data
124# Custom fee model.
125class CustomFeeModel(FeeModel):
126def GetOrderFee(self, parameters):
127 fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
128 return OrderFee(CashAmount(fee, "USD"))