Small Industry Premia

1from AlgorithmImports import *
2import data_tools
3# endregion
4class SmallIndustryPremia(QCAlgorithm):
5def Initialize(self) -> None:
6self.SetStartDate(2000, 1, 1)
7self.SetCash(100000)
8
9self.min_share_price:int = 5
10self.period:int = 60
11self.leverage:int = 5
12self.weights:dict = {}
13self.data:dict = {}
14self.prev_industry_country_ids:list[str] = []
15market_symbol:Symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
16self.selection_flag:bool = False
17self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
18self.UniverseSettings.Resolution = Resolution.Daily
19self.AddUniverse(self.FundamentalSelectionFunction)
20self.Schedule.On(self.DateRules.MonthStart(market_symbol), self.TimeRules.BeforeMarketClose(market_symbol), self.Selection)
21self.settings.daily_precise_end_time = False
22def OnSecuritiesChanged(self, changes: SecurityChanges) -> None:
23for security in changes.AddedSecurities:
24    security.SetFeeModel(CustomFeeModel())
25    security.SetLeverage(self.leverage)
26def FundamentalSelectionFunction(self, fundamental: List[Fundamental]) -> List[Symbol]:
27if not self.selection_flag:
28    return Universe.Unchanged
29
30selected:list[Fundamental] = [x for x in fundamental if x.HasFundamentalData and x.Price >= self.min_share_price]
31stocks_by_industry_id:dict = {}
32for stock in selected:
33    market_cap:float = stock.MarketCap
34    country_id:str = stock.CompanyReference.BusinessCountryID
35    sector:str = str(stock.AssetClassification.MorningstarSectorCode)
36    if not country_id or not sector or market_cap == 0:
37        continue
38    
39    industry_id:str = country_id + sector
40    if industry_id not in stocks_by_industry_id:
41        stocks_by_industry_id[industry_id] = []
42    stocks_by_industry_id[industry_id].append(stock)
43
44# store not adjusted MV value
45for industry_id, stocks in stocks_by_industry_id.items():
46    MV_value:float = np.mean(list(map(lambda stock: stock.MarketCap, stocks)))
47    if industry_id not in self.data or industry_id not in self.prev_industry_ids: # require consecutive data
48        self.data[industry_id] = data_tools.IndustryData(self.period)
49    self.data[industry_id].update_MV_values(MV_value)
50MV_by_industry_id:dict = { industry_id: industry_obj.get_MV() \
51     for industry_id, industry_obj in self.data.items() if industry_obj.is_ready() }
52mean_MV:float = np.mean(list(MV_by_industry_id.values()))
53# MV difference from mean
54long_mean_diff:dict = { industry_id : MV - mean_MV for industry_id, MV in MV_by_industry_id.items() if MV > mean_MV }
55short_mean_diff:dict = { industry_id : MV - mean_MV for industry_id, MV in MV_by_industry_id.items() if MV < mean_MV }
56total_mean_diff_long:float = abs(sum(list(long_mean_diff.values())))
57total_mean_diff_short:float = abs(sum(list(short_mean_diff.values())))
58
59# calculate weight for each stock in long and short leg
60for diff_dict in [long_mean_diff, short_mean_diff]:
61    
62    # calculate weights that are proportional to distance from the mean
63    total_mean_diff:float = abs(sum(list(diff_dict.values())))
64    
65    for industry_id, MV_mean_diff in long_mean_diff.items():
66        if industry_id in stocks_by_industry_id:
67            ind_weight:float = MV_mean_diff / total_mean_diff
68            ind_stocks:list = stocks_by_industry_id[industry_id]
69            ind_stock_count:float = len(ind_stocks)
70            for stock in ind_stocks:
71                self.weights[stock.Symbol] = ind_weight / ind_stock_count
72self.prev_industry_ids = list(stocks_by_industry_id.keys())
73return list(self.weights.keys())
74
75def OnData(self, data: Slice) -> None:
76# rebalance monthly
77if not self.selection_flag:
78    return
79self.selection_flag = False
80
81# trade execution
82portfolio:List[PortfolioTarget] = [PortfolioTarget(symbol, w) for symbol, w in self.weights.items() if symbol in data and data[symbol]]
83self.SetHoldings(portfolio, True)
84self.weights.clear()
85
86def Selection(self) -> None:
87self.selection_flag = True
88
89# Custom fee model
90class CustomFeeModel(FeeModel):
91def GetOrderFee(self, parameters):
92fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
93return OrderFee(CashAmount(fee, "USD"))