Return Asymmetry Effect in Commodity Futures

1from AlgoLib import *
2
3class ReturnAsymmetryEffectInCommodityFutures(XXX):
4
5def Initialize(self):
6self.SetStartDate(2000, 1, 1)
7self.SetCash(100000)
8
9self.tickers = [
10    "CME_S1",   # Soybean Futures, Continuous Contract
11    "CME_W1",   # Wheat Futures, Continuous Contract
12    "CME_SM1",  # Soybean Meal Futures, Continuous Contract
13    "CME_BO1",  # Soybean Oil Futures, Continuous Contract
14    "CME_C1",   # Corn Futures, Continuous Contract
15    "CME_O1",   # Oats Futures, Continuous Contract
16    "CME_LC1",  # Live Cattle Futures, Continuous Contract
17    "CME_FC1",  # Feeder Cattle Futures, Continuous Contract
18    "CME_LN1",  # Lean Hog Futures, Continuous Contract
19    "CME_GC1",  # Gold Futures, Continuous Contract
20    "CME_SI1",  # Silver Futures, Continuous Contract
21    "CME_PL1",  # Platinum Futures, Continuous Contract
22    "CME_CL1",  # Crude Oil Futures, Continuous Contract
23    "CME_HG1",  # Copper Futures, Continuous Contract
24    "CME_LB1",  # Random Length Lumber Futures, Continuous Contract
25    # "CME_NG1",  # Natural Gas (Henry Hub) Physical Futures, Continuous Contract
26    "CME_PA1",  # Palladium Futures, Continuous Contract 
27    "CME_RR1",  # Rough Rice Futures, Continuous Contract
28    "CME_RB2",  # Gasoline Futures, Continuous Contract
29    "CME_KW2",  # Wheat Kansas, Continuous Contract
30    
31    "ICE_CC1",  # Cocoa Futures, Continuous Contract 
32    "ICE_CT1",  # Cotton No. 2 Futures, Continuous Contract
33    "ICE_KC1",  # Coffee C Futures, Continuous Contract
34    "ICE_O1",   # Heating Oil Futures, Continuous Contract
35    "ICE_OJ1",  # Orange Juice Futures, Continuous Contract
36    "ICE_SB1"   # Sugar No. 11 Futures, Continuous Contract
37    "ICE_RS1",  # Canola Futures, Continuous Contract
38    "ICE_GO1",  # Gas Oil Futures, Continuous Contract
39    "ICE_WT1",  # WTI Crude Futures, Continuous Contract
40]
41
42self.data = {} # storing objects of SymbolData class keyed by comodity symbols
43
44self.period = 261 # need 261 daily prices, to calculate 260 daily returns
45self.buy_count = 7 # buy n comodities on each rebalance
46self.sell_count = 7 # sell n comodities on each rebalance
47
48self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
49
50# subscribe to futures contracts
51for ticker in self.tickers:
52    security = self.AddData(QuantpediaFutures, ticker, Resolution.Daily)
53    security.SetFeeModel(CustomFeeModel())
54    security.SetLeverage(5)
55    
56    self.data[security.Symbol] = SymbolData(self.period)
57
58self.rebalance_flag = False   
59self.Schedule.On(self.DateRules.MonthStart(self.symbol), self.TimeRules.BeforeMarketClose(self.symbol, 0), self.Rebalance)
60
61def OnData(self, data):
62# update daily closes
63for symbol in self.data:
64    if symbol in data and data[symbol]:
65        close = data[symbol].Value
66        self.data[symbol].update_closes(close)
67
68# rebalance monthly        
69if not self.rebalance_flag:
70    return
71self.rebalance_flag = False
72        
73IE = {}
74
75for symbol, symbol_obj in self.data.items():
76    # check if comodity has ready prices
77    if not symbol_obj.is_ready():
78        continue
79    
80    # calculate IE
81    IE_value = symbol_obj.calculate_IE()
82    
83    # store IE value under comodity symbol
84    IE[symbol] = IE_value
85    
86# make sure, there are enough comodities for rebalance
87if len(IE) < (self.buy_count + self.sell_count):
88    return
89
90# sort commodities based on IE values
91sorted_by_IE = [x[0] for x in sorted(IE.items(), key=lambda item: item[1])]
92
93# select long and short parts
94long = sorted_by_IE[:self.buy_count]
95short = sorted_by_IE[-self.sell_count:]
96
97# trade execution
98invested = [x.Key for x in self.Portfolio if x.Value.Invested]
99for symbol in invested:
100    if symbol not in long + short:
101        self.Liquidate(symbol)
102        
103for symbol in long:
104    self.SetHoldings(symbol, 1 / self.buy_count)
105    
106for symbol in short:
107    self.SetHoldings(symbol, -1 / self.sell_count)
108        
109def Rebalance(self):
110self.rebalance_flag = True
111    
112class SymbolData():
113def __init__(self, period):
114self.closes = RollingWindow[float](period)
115
116def update_closes(self, close):
117self.closes.Add(close)
118
119def is_ready(self):
120return self.closes.IsReady
121
122def calculate_IE(self):
123closes = np.array([x for x in self.closes])
124daily_returns = (closes[:-1] - closes[1:]) / closes[1:]
125
126average_daily_returns = np.average(daily_returns)
127two_daily_returns_std = 2 * np.std(daily_returns)
128
129avg_plus_two_std = average_daily_returns + two_daily_returns_std
130avg_minus_two_std = average_daily_returns - two_daily_returns_std
131
132over_avg_plus_two_std = 0 # counting number of daily returns, which were over avg_plus_two_std
133under_avg_minus_two_std = 0 # counting number of daily returns, which were under avg_minus_two_std
134
135for daily_return in daily_returns:
136    if daily_return > avg_plus_two_std:
137        over_avg_plus_two_std += 1
138    elif daily_return < avg_minus_two_std:
139        under_avg_minus_two_std += 1
140        
141IE_value = over_avg_plus_two_std - under_avg_minus_two_std
142
143return IE_value
144
145# Quantpedia data.
146# NOTE: IMPORTANT: Data order must be ascending (datewise)
147class QuantpediaFutures(PythonData):
148def GetSource(self, config, date, isLiveMode):
149return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)
150
151def Reader(self, config, line, date, isLiveMode):
152data = QuantpediaFutures()
153data.Symbol = config.Symbol
154
155if not line[0].isdigit(): return None
156split = line.split(';')
157
158data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1)
159data['back_adjusted'] = float(split[1])
160data['spliced'] = float(split[2])
161data.Value = float(split[1])
162
163return data
164
165# Custom fee model.
166class CustomFeeModel(FeeModel):
167def GetOrderFee(self, parameters):
168fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
169return OrderFee(CashAmount(fee, "USD"))