The 52-Week High Effect in India

1from AlgorithmImports import *
2import data_tools
3from typing import List, Dict
4# endregion
5
6class The52WeekHighEffectinIndia(QCAlgorithm):
7
8def Initialize(self):
9self.SetStartDate(2010, 1, 1)
10self.SetCash(10000000) # INR
11
12self.period:int = 252
13self.universe_count:int = 100
14
15self.data:Dict[Symbol, data_tools.SymbolData] = {}
16self.tickers_to_ignore:List[str] = ['TATAMTRDVR', 'LODHA']
17
18ticker_file_str:str = self.Download('data.quantpedia.com/backtesting_data/equity/india_stocks/nse_500_tickers.csv')
19ticker_lines:List[str] = ticker_file_str.split('\r\n')
20tickers = [ ticker_line.split(',')[0] for ticker_line in ticker_lines[1:] ]
21
22self.quantile:int = 5
23self.leverage:int = 3
24
25for t in tickers[:self.universe_count]:
26    # price data subscription
27    if t in self.tickers_to_ignore:
28        continue
29    data:Security = self.AddData(data_tools.IndiaStocks, t, Resolution.Daily)
30    data.SetFeeModel(data_tools.CustomFeeModel())
31    data.SetLeverage(self.leverage)
32    stock_symbol:Symbol = data.Symbol
33
34    self.data[stock_symbol] = data_tools.SymbolData(stock_symbol, self.period)
35
36self.SetWarmUp(self.period, Resolution.Daily)
37self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
38
39self.recent_month:int = -1
40
41def OnData(self, data: Slice) -> None:
42price_last_update_date:Dict[Symbol, datetime.date] = data_tools.IndiaStocks.get_last_update_date()
43
44# custom data still comming in
45if all([self.Securities[x].GetLastData() for x in list(self.data.keys())]) and any([self.Time.date() >= price_last_update_date[x] for x in price_last_update_date]):
46    self.Liquidate()
47    return
48
49# store daily price data
50for price_symbol, symbol_data in self.data.items():
51    if price_symbol in data and data[price_symbol] and data[price_symbol].Value != 0:
52        price:float = data[price_symbol].Value
53        self.data[price_symbol].update_price(price)
54
55if self.IsWarmingUp:
56    return
57    
58# monthly rebalance
59if self.Time.month == self.recent_month:
60    return
61self.recent_month = self.Time.month
62
63proximity:Dict[Symbol, float] = {symbol: symbol_data.get_latest_price() / symbol_data.high_price() for symbol, symbol_data in self.data.items() if symbol_data.is_ready()}
64
65if len(proximity) > self.quantile:
66    sorted_proximity:List[Symbol] = sorted(proximity, key=proximity.get)
67    quantile:int = int(len(sorted_proximity) / self.quantile)
68    long:List[Symbol] = sorted_proximity[:quantile]
69    short:List[Symbol] = sorted_proximity[-quantile:]
70
71    targets:List[PortfolioTarget] = []
72    for i, portfolio in enumerate([long, short]):
73        for symbol in portfolio:
74            if symbol in data and data[symbol]:
75                targets.append(PortfolioTarget(symbol, ((-1) ** i) / len(portfolio)))
76    
77    self.SetHoldings(targets, True)