Short-Term (1 Month) Momentum in Currencies

1from AlgorithmImports import *
2class ShortTermMomentumCurrencies(QCAlgorithm):
3def Initialize(self):
4 self.SetStartDate(2010, 1, 1)
5 self.SetCash(100000)
6 
7 self.symbols = [
8     "CME_AD1", # Australian Dollar Futures, Continuous Contract #1
9     "CME_BP1", # British Pound Futures, Continuous Contract #1
10     "CME_CD1", # Canadian Dollar Futures, Continuous Contract #1
11     "CME_EC1", # Euro FX Futures, Continuous Contract #1
12     "CME_JY1", # Japanese Yen Futures, Continuous Contract #1
13     "CME_MP1", # Mexican Peso Futures, Continuous Contract #1
14     "CME_NE1",# New Zealand Dollar Futures, Continuous Contract #1
15     "CME_SF1", # Swiss Franc Futures, Continuous Contract #1
16 ]
17 
18 self.period = 21
19 self.quantile = 5
20 self.SetWarmUp(self.period)
21 
22 self.data = {}
23 
24 for symbol in self.symbols:
25     data = self.AddData(QuantpediaFutures, symbol, Resolution.Daily)
26     data.SetLeverage(5)
27     data.SetFeeModel(CustomFeeModel())
28     
29     self.data[symbol] = RollingWindow[float](self.period)
30 
31 self.Schedule.On(self.DateRules.MonthStart(self.symbols[0]), self.TimeRules.At(0, 0), self.Rebalance)
32def OnData(self, data):
33 for symbol in self.data:
34     symbol_obj = self.Symbol(symbol)
35     if symbol_obj in data.Keys:
36         if data[symbol_obj]:
37             price = data[symbol_obj].Value
38             if price != 0:
39                 self.data[symbol].Add(price)
40 
41def Rebalance(self):
42 if self.IsWarmingUp: return
43 returns = {}
44 for symbol in self.data:
45     if self.data[symbol].IsReady:
46         # Check if data is still coming.
47         if self.securities[symbol].get_last_data() and self.time.date() > QuantpediaFutures.get_last_update_date()[symbol]:
48             self.liquidate(symbol)
49             continue
50         
51         ret = self.data[symbol][0] / self.data[symbol][self.period-1] - 1
52         returns[symbol] = ret
53 
54 long = []
55 short = []
56 if len(returns) >= self.quantile:
57     # Return sorting.
58     sorted_by_return = sorted(returns.items(), key = lambda x: x[1], reverse = True)
59     quintile = int(len(sorted_by_return) / self.quantile)
60     long = [x[0] for x in sorted_by_return[:quintile]]
61     short = [x[0] for x in sorted_by_return[-quintile:]]
62 
63 # Trade execution
64 invested = [x.Key.Value for x in self.Portfolio if x.Value.Invested]
65 for symbol in invested:
66     if symbol not in long + short:
67         self.Liquidate(symbol)
68 
69 for symbol in long:
70     self.SetHoldings(symbol, 1 / len(long))
71 for symbol in short:
72     self.SetHoldings(symbol, -1 / len(short))
73# Quantpedia data.
74# NOTE: IMPORTANT: Data order must be ascending (datewise)
75class QuantpediaFutures(PythonData):
76_last_update_date:Dict[Symbol, datetime.date] = {}
77@staticmethod
78def get_last_update_date() -> Dict[Symbol, datetime.date]:
79return QuantpediaFutures._last_update_date
80def GetSource(self, config, date, isLiveMode):
81 return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)
82def Reader(self, config, line, date, isLiveMode):
83 data = QuantpediaFutures()
84 data.Symbol = config.Symbol
85 
86 if not line[0].isdigit(): return None
87 split = line.split(';')
88 
89 data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1)
90 data['back_adjusted'] = float(split[1])
91 data['spliced'] = float(split[2])
92 data.Value = float(split[1])
93 if config.Symbol.Value not in QuantpediaFutures._last_update_date:
94     QuantpediaFutures._last_update_date[config.Symbol.Value] = datetime(1,1,1).date()
95 if data.Time.date() > QuantpediaFutures._last_update_date[config.Symbol.Value]:
96     QuantpediaFutures._last_update_date[config.Symbol.Value] = data.Time.date()
97     
98 return data
99# Custom fee model.
100class CustomFeeModel(FeeModel):
101def GetOrderFee(self, parameters):
102 fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
103 return OrderFee(CashAmount(fee, "USD"))