The Equity Differential Factor in Currencies

1from AlgorithmImports import *
2class EquityDifferentialCurrencies(QCAlgorithm):
3def Initialize(self):
4 self.SetStartDate(2004, 1, 1)
5 self.SetCash(100000)
6 
7 self.symbols = {
8     'CME_AD1' : 'ASX_YAP1',
9     'CME_BP1' : 'LIFFE_Z1',
10     'CME_CD1' : 'LIFFE_FCE1',
11     'CME_EC1' : 'EUREX_FSTX1',
12     'CME_JY1' : 'SGX_NK1',
13     'CME_SF1' : 'EUREX_FSMI1'
14 }
15 self.data = {}
16 self.period = 12*21
17 self.SetWarmUp(self.period)
18 self.leverage = 5
19 
20 for symbol in self.symbols:
21     index = self.symbols[symbol]
22     
23     data = self.AddData(QuantpediaFutures, symbol, Resolution.Daily)
24     data.SetLeverage(self.leverage)
25     data.SetFeeModel(CustomFeeModel())
26     
27     self.AddData(QuantpediaFutures, index, Resolution.Daily)
28     self.data[index] = RollingWindow[float](self.period)
29     
30 first_key = [x for x in self.symbols.keys()][0]
31 symbol = self.Symbol(self.symbols[first_key])
32 self.rebalance_flag: bool = False
33 self.Schedule.On(self.DateRules.MonthStart(symbol), self.TimeRules.At(0, 0), self.Rebalance)
34def OnData(self, data):
35 for symbol in self.symbols:
36     index:str = self.symbols[symbol]
37     if index in data and data[index]:
38         price:float = data[index].Value
39         self.data[index].Add(price)
40 if not self.rebalance_flag:
41     return
42 self.rebalance_flag = False
43 if self.IsWarmingUp: return
44 index_return = {}
45 for symbol in self.symbols:
46     index = self.symbols[symbol]
47     if all([self.Securities[x].GetLastData() and self.Time.date() < QuantpediaFutures.get_last_update_date()[x] for x in [symbol, index]]):
48         if self.data[index].IsReady:
49             index_return[index] = self.data[index][0] / self.data[index][self.period-1] - 1
50 self.Liquidate()
51 if len(index_return) == 0: return
52 
53 len_ = len(self.symbols)
54 count = (len_ * (len_-1)) * 2
55 
56 for i in range(0, len(self.symbols)):
57     key_i = [x for x in self.symbols.keys()][i]
58     for j in range(i+1, len(self.symbols)):
59         key_j = [x for x in self.symbols.keys()][j]
60         if all([data.contains_key(symbol) and data[symbol] for symbol in [key_i, key_j]]):
61             eq_index1 = self.symbols[key_i]
62             eq_index2 = self.symbols[key_j]
63             if eq_index1 in index_return and eq_index2 in index_return:
64                 if index_return[eq_index1] > index_return[eq_index2]:
65                     self.SetHoldings(key_i, self.leverage*(1/count))
66                     self.SetHoldings(key_j, -self.leverage*(1/count))
67                 else:
68                     self.SetHoldings(key_i, -self.leverage*(1/count))
69                     self.SetHoldings(key_j, self.leverage*(1/count))
70def Rebalance(self):
71 self.rebalance_flag = True
72# Quantpedia data.
73# NOTE: IMPORTANT: Data order must be ascending (datewise)
74class QuantpediaFutures(PythonData):
75_last_update_date:Dict[Symbol, datetime.date] = {}
76@staticmethod
77def get_last_update_date() -> Dict[Symbol, datetime.date]:
78return QuantpediaFutures._last_update_date
79def GetSource(self, config, date, isLiveMode):
80 return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)
81def Reader(self, config, line, date, isLiveMode):
82 data = QuantpediaFutures()
83 data.Symbol = config.Symbol
84 
85 if not line[0].isdigit(): return None
86 split = line.split(';')
87 
88 data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1)
89 data['back_adjusted'] = float(split[1])
90 data['spliced'] = float(split[2])
91 data.Value = float(split[1])
92 if config.Symbol.Value not in QuantpediaFutures._last_update_date:
93     QuantpediaFutures._last_update_date[config.Symbol.Value] = datetime(1,1,1).date()
94 if data.Time.date() > QuantpediaFutures._last_update_date[config.Symbol.Value]:
95     QuantpediaFutures._last_update_date[config.Symbol.Value] = data.Time.date()
96 return data
97# Custom fee model
98class CustomFeeModel(FeeModel):
99def GetOrderFee(self, parameters):
100 fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
101 return OrderFee(CashAmount(fee, "USD"))