The Halloween Effect Within Long-term Reversal

1from AlgorithmImports import *
2# endregion
3
4class TheHalloweenEffectWithinLongtermReversal(QCAlgorithm):
5
6def Initialize(self):
7self.SetStartDate(2000, 1, 1)
8self.SetCash(100000)
9
10self.quantile:int = 6
11self.liquidate_month:int = 4
12self.trading_months:List[int] = [10, 11, 12, 1, 2, 3]
13self.period:int = 60 * 21 # need five years of daily data
14self.leverage:int = 3
15
16self.prices:Dict[Symbol, RollingWindow] = {}
17self.weight:Dict[Symbol, float] = {}
18
19self.symbol:Symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
20
21self.fundamental_count:int = 3000
22self.fundamental_sorting_key = lambda x: x.MarketCap
23
24self.selection_flag:bool = False
25self.UniverseSettings.Resolution = Resolution.Daily
26self.AddUniverse(self.FundamentalSelectionFunction)
27self.Settings.MinimumOrderMarginPortfolioPercentage = 0
28self.Schedule.On(self.DateRules.MonthEnd(self.symbol), self.TimeRules.BeforeMarketClose(self.symbol, 0), self.Selection)
29
30def OnSecuritiesChanged(self, changes: SecurityChanges) -> None:
31for security in changes.AddedSecurities:
32    security.SetFeeModel(CustomFeeModel())
33    security.SetLeverage(self.leverage)
34
35def FundamentalSelectionFunction(self, fundamental: List[Fundamental]) -> None:
36# update prices on daily basis
37for stock in fundamental:
38    symbol:Symbol = stock.Symbol
39
40    if symbol in self.prices:
41        self.prices[symbol].Add(stock.AdjustedPrice)
42
43if not self.selection_flag:
44    return Universe.Unchanged
45
46selected:List[Fundamental] = [x for x in fundamental if x.HasFundamentalData and x.Market == 'usa' and x.MarketCap != 0 and \
47    ((x.SecurityReference.ExchangeId == "NYS") or (x.SecurityReference.ExchangeId == "NAS") or (x.SecurityReference.ExchangeId == "ASE"))
48]
49
50if len(selected) > self.fundamental_count:
51    selected = [x for x in sorted(selected, key=self.fundamental_sorting_key, reverse=True)[:self.fundamental_count]]
52
53performance:Dict[Fundamental, float] = {}
54
55# warm up stock prices
56for stock in selected:
57    symbol:Symbol = stock.Symbol
58    
59    if symbol not in self.prices:
60        self.prices[symbol] = RollingWindow[float](self.period)
61        history = self.History(symbol, self.period, Resolution.Daily)
62        if history.empty:
63            continue
64
65        closes:List = history.loc[symbol].close
66
67        for time, close in closes.items():
68            self.prices[symbol].Add(close)
69        
70    if self.prices[symbol].IsReady:
71        performance[stock] = self.prices[symbol][0] / self.prices[symbol][self.period - 1] - 1
72
73if len(performance) < 2 * self.quantile:
74    return Universe.Unchanged        
75
76quantile:int = int(len(performance) / self.quantile)
77sorted_by_performance = [x[0] for x in sorted(performance.items(), key=lambda item: item[1])]
78
79# long the two lowest; short the two highest
80long = sorted_by_performance[:(2 * quantile)]
81short = sorted_by_performance[(2 * -quantile):]
82
83for i, portfolio in enumerate([long, short]):
84    mc_sum:float = sum([x.MarketCap for x in portfolio])
85    for stock in portfolio:
86        self.weight[stock.Symbol] = ((-1) ** i) * stock.MarketCap / mc_sum
87
88return list(self.weight.keys())
89
90def OnData(self, data: Slice) -> None:
91# rebalance monthly
92if not self.selection_flag:
93    return
94self.selection_flag = False
95
96# trade execution
97portfolio:List[PortfolioTarget] = [PortfolioTarget(symbol, w) for symbol, w in self.weight.items() if symbol in data and data[symbol]]
98self.SetHoldings(portfolio, True)
99
100self.weight.clear()
101
102def Selection(self) -> None:
103if self.Time.month in self.trading_months:
104    self.selection_flag = True
105elif self.Time.month == self.liquidate_month:
106    # liquidate portfolio at the end of the April
107    self.Liquidate()
108
109# Custom fee model
110class CustomFeeModel(FeeModel):
111def GetOrderFee(self, parameters):
112fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
113return OrderFee(CashAmount(fee, "USD"))