ROA Decile Spread Strategy by Market Cap

1from AlgoLib import *
2
3class ROAEffectWithinStocks(XXX):
4
5def Initialize(self):
6self.SetStartDate(2000, 1, 1)
7self.SetCash(100000) 
8
9market:Symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
10self.quantile:int = 10
11self.leverage:int = 5
12self.sales_threshold:float = 1e7
13self.exchange_codes:List[str] = ['NYS', 'NAS', 'ASE']
14
15self.long:List[Symbol] = []
16self.short:List[Symbol] = []
17
18self.fundamental_count:int = 500
19self.fundamental_sorting_key = lambda x: x.DollarVolume
20
21self.selection_flag:bool = False
22self.UniverseSettings.Resolution = Resolution.Daily
23self.AddUniverse(self.FundamentalSelectionFunction)
24self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
25self.Schedule.On(self.DateRules.MonthEnd(market), self.TimeRules.AfterMarketOpen(market), self.Selection)
26
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] = [x for x in fundamental if x.HasFundamentalData and x.Market == 'usa' and x.SecurityReference.ExchangeId in self.exchange_codes and \
37    x.ValuationRatios.SalesPerShare * x.EarningReports.DilutedAverageShares.Value > self.sales_threshold and \
38    not np.isnan(x.OperationRatios.ROA.ThreeMonths) and x.OperationRatios.ROA.ThreeMonths != 0]
39
40if len(selected) > self.fundamental_count:
41    selected = [x for x in sorted(selected, key=self.fundamental_sorting_key, reverse=True)[:self.fundamental_count]]
42            
43# Sorting by market cap.
44sorted_by_market_cap = sorted(selected, key = lambda x: x.MarketCap, reverse=True)
45half:int = int(len(sorted_by_market_cap) / 2)
46top_mc = [x for x in sorted_by_market_cap[:half]]
47bottom_mc = [x for x in sorted_by_market_cap[half:]]
48
49if len(top_mc) >= self.quantile and len(bottom_mc) >= self.quantile:
50    # Sorting by ROA.
51    sorted_top_by_roa:List[Fundamental] = sorted(top_mc, key = lambda x:(x.OperationRatios.ROA.Value), reverse=True)
52    quantile:int = int(len(sorted_top_by_roa) / self.quantile)
53    long_top:List[Symbol] = [x.Symbol for x in sorted_top_by_roa[:quantile*3]]
54    short_top:List[Symbol] = [x.Symbol for x in sorted_top_by_roa[-(quantile*3):]]
55    
56    sorted_bottom_by_roa:List[Fundamental] = sorted(bottom_mc, key = lambda x:(x.OperationRatios.ROA.Value), reverse=True)
57    quantile = int(len(sorted_bottom_by_roa) / self.quantile)
58    long_bottom:List[Symbol] = [x.Symbol for x in sorted_bottom_by_roa[:quantile*3]]
59    short_bottom:List[Symbol] = [x.Symbol for x in sorted_bottom_by_roa[-(quantile*3):]]
60    
61    self.long = long_top + long_bottom 
62    self.short = short_top + short_bottom
63
64return self.long + self.short
65
66def OnData(self, data: Slice) -> None:
67if not self.selection_flag:
68    return
69self.selection_flag = False
70
71# order execution
72targets:List[PortfolioTarget] = []
73for i, portfolio in enumerate([self.long, self.short]):
74    for symbol in portfolio:
75        if symbol in data and data[symbol]:
76            targets.append(PortfolioTarget(symbol, ((-1) ** i) / len(portfolio)))
77
78self.SetHoldings(targets, True)
79
80self.long.clear()
81self.short.clear()
82
83def Selection(self) -> None:
84self.selection_flag = True
85
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"))