Time-Series Momentum and Carry

1from AlgorithmImports import *
2import math
3import numpy as np
4from typing import List, Dict
5#endregion
6class TimeSeriesMomentumandCarry(QCAlgorithm):
7def Initialize(self):
8 self.SetStartDate(2010, 1, 1)
9 self.SetCash(100000)
10 
11 self.tickers:Dict[str, str] = { 
12     "CME_S1" : Futures.Grains.Soybeans, # Soybean Futures, Continuous Contract
13     "CME_W1" : Futures.Grains.Wheat,   # Wheat Futures, Continuous Contract
14     "CME_SM1" : Futures.Grains.SoybeanMeal,  # Soybean Meal Futures, Continuous Contract
15     "CME_BO1" : Futures.Grains.SoybeanOil,  # Soybean Oil Futures, Continuous Contract
16     "CME_C1" : Futures.Grains.Corn,   # Corn Futures, Continuous Contract
17     "CME_O1" : Futures.Grains.Oats,   # Oats Futures, Continuous Contract
18     "CME_LC1" : Futures.Meats.LiveCattle,  # Live Cattle Futures, Continuous Contract
19     "CME_FC1" : Futures.Meats.FeederCattle,  # Feeder Cattle Futures, Continuous Contract
20     "CME_LN1" : Futures.Meats.LeanHogs,  # Lean Hog Futures, Continuous Contract
21     "CME_GC1" : Futures.Metals.Gold,  # Gold Futures, Continuous Contract
22     "CME_SI1" : Futures.Metals.Silver,  # Silver Futures, Continuous Contract
23     "CME_PL1" : Futures.Metals.Platinum,  # Platinum Futures, Continuous Contract
24     "CME_HG1" : Futures.Metals.Copper,  # Copper Futures, Continuous Contract
25     "CME_LB1" : Futures.Forestry.RandomLengthLumber,  # Random Length Lumber Futures, Continuous Contract
26     "CME_PA1" : Futures.Metals.Palladium,  # Palladium Futures, Continuous Contract
27     "CME_RB2" : Futures.Energies.Gasoline,  # Gasoline Futures, Continuous Contract
28     "ICE_CC1" : Futures.Softs.Cocoa,  # Cocoa Futures, Continuous Contract 
29     "ICE_O1" : Futures.Energies.HeatingOil,   # Heating Oil Futures, Continuous Contract
30     "ICE_SB1" : Futures.Softs.Sugar11CME,   # Sugar No. 11 Futures, Continuous Contract
31     "ICE_WT1" : Futures.Energies.CrudeOilWTI,  # WTI Crude Futures, Continuous Contract
32     
33     "CME_NQ1" : Futures.Indices.NASDAQ100EMini, # E-mini NASDAQ 100 Futures, Continuous Contract #1
34     "CME_ES1" : Futures.Indices.SP500EMini, # E-mini S&P 500 Futures, Continuous Contract #1
35     "SGX_NK1" : Futures.Indices.Nikkei225Dollar, # SGX Nikkei 225 Index Futures, Continuous Contract #1
36     
37     "CME_TY1" : Futures.Financials.Y10TreasuryNote, # 10 Yr Note Futures, Continuous Contract #1
38     "CME_FV1" : Futures.Financials.Y5TreasuryNote, # 5 Yr Note Futures, Continuous Contract #1
39     "CME_TU1" : Futures.Financials.Y2TreasuryNote, # 2 Yr Note Futures, Continuous Contract #1
40     "CME_AD1" : Futures.Currencies.AUD, # Australian Dollar Futures, Continuous Contract #1
41     "CME_BP1" : Futures.Currencies.GBP, # British Pound Futures, Continuous Contract #1
42     "CME_CD1" : Futures.Currencies.CAD, # Canadian Dollar Futures, Continuous Contract #1
43     "CME_EC1" : Futures.Currencies.EUR, # Euro FX Futures, Continuous Contract #1
44     "CME_JY1" : Futures.Currencies.JPY, # Japanese Yen Futures, Continuous Contract #1
45     "CME_MP1" : Futures.Currencies.MXN, # Mexican Peso Futures, Continuous Contract #1
46     "CME_NE1" : Futures.Currencies.NZD, # New Zealand Dollar Futures, Continuous Contract #1
47     "CME_SF1" : Futures.Currencies.CHF, # Swiss Franc Futures, Continuous Contract #1
48 }
49             
50 self.period:int = 12 * 21
51 self.min_expiration_days:int = 2
52 self.max_expiration_days:int = 360
53 leverage: int = 5
54 
55 self.futures_data:dict[Symbol, RollingWindow] = {}
56 # subscribe data
57 for qp_ticker, qc_ticker in self.tickers.items():
58     security = self.AddData(QuantpediaFutures, qp_ticker, Resolution.Daily)
59     security.SetFeeModel(CustomFeeModel())
60     security.SetLeverage(leverage)
61     qp_symbol:Symbol = security.Symbol
62     # QC futures
63     future:Future = self.AddFuture(qc_ticker, Resolution.Daily, dataNormalizationMode=DataNormalizationMode.Raw)
64     future.SetFilter(timedelta(days=self.min_expiration_days), timedelta(days=self.max_expiration_days))
65     self.futures_data[future.Symbol.Value] = FuturesData(qp_symbol, self.period)
66 
67 self.recent_month:int = -1
68 self.settings.daily_precise_end_time = False
69 self.settings.minimum_order_margin_portfolio_percentage = 0.
70def FindAndUpdateContracts(self, futures_chain, ticker) -> None:
71 near_contract:FuturesContract = None
72 dist_contract:FuturesContract = None
73 if ticker in futures_chain:
74     contracts:List[:FuturesContract] = [contract for contract in futures_chain[ticker] if contract.Expiry.date() > self.Time.date()]
75     if len(contracts) >= 2:
76         contracts:List[:FuturesContract] = sorted(contracts, key=lambda x: x.Expiry, reverse=False)
77         near_contract = contracts[0]
78         dist_contract = contracts[1]
79 self.futures_data[ticker].update_contracts(near_contract, dist_contract) 
80def OnData(self, data):
81 curr_date:datetime.date = self.Time.date()
82 # daily update qc future data
83 if data.FutureChains.Count > 0:
84     for ticker, future_obj in self.futures_data.items():
85         # check if near contract is expired or is not initialized
86         if not future_obj.is_initialized() or \
87             (future_obj.is_initialized() and future_obj.near_contract.Expiry.date() == curr_date):
88             self.FindAndUpdateContracts(data.FutureChains, ticker)
89         # update QC futures rolling return
90         if future_obj.is_initialized():
91             near_c:FuturesContract = future_obj.near_contract
92             dist_c:FuturesContract = future_obj.distant_contract
93             if near_c.Symbol in data and data[near_c.Symbol] and dist_c.Symbol in data and data[dist_c.Symbol]:
94                 raw_price1:float = data[near_c.Symbol].Value * self.Securities[ticker].SymbolProperties.PriceMagnifier
95                 raw_price2:float = data[dist_c.Symbol].Value * self.Securities[ticker].SymbolProperties.PriceMagnifier
96                 if raw_price1 != 0 and raw_price2 != 0:
97                     future_obj.update_prices(raw_price1, raw_price2)
98 # Rebalance monthly
99 if self.recent_month == self.Time.month:
100     return
101 self.recent_month = self.Time.month
102 self.Liquidate()
103 
104 basis:dict[Symbol, float] = {}
105 momentum:dict[Symbol, float] = {}
106 volatility:dict[Symbol, float] = {}
107 for _, future_obj in self.futures_data.items():
108     data_ready_flag:bool = future_obj.is_ready()
109     if self.securities[future_obj.quantpedia_future].get_last_data() and self.time.date() > QuantpediaFutures.get_last_update_date()[future_obj.quantpedia_future]:
110         self.liquidate()
111         return
112     # make sure data are ready
113     if data_ready_flag:
114         qp_symbol:Symbol = future_obj.quantpedia_future
115         
116         basis_value, momentum_value, volatility_value = future_obj.get_metrics()
117         basis[qp_symbol] = basis_value
118         momentum[qp_symbol] = momentum_value
119         volatility[qp_symbol] = volatility_value
120     # reset future's data
121     elif data_ready_flag:
122         future_obj.reset_data()
123 # make sure there are enough futures for selection
124 if len(volatility) == 0:
125     return
126 
127 # inverse volatility weighting
128 long_part:List[Symbol] = [x[0] for x in momentum.items() if x[1] > 0 and x[0] in basis and basis[x[0]] > 0]
129 short_part:List[Symbol] = [x[0] for x in momentum.items() if x[1] < 0 and x[0] in basis and basis[x[0]] < 0]
130 targets: List[PortfolioTarget] = []
131 for i, portfolio in enumerate([long_part, short_part]):
132     vol_sum: float = sum([1 / volatility[x] for x in portfolio if not math.isnan(volatility[x])])
133     for symbol in portfolio:
134         if not math.isnan(volatility[symbol]):
135             if symbol in data and data[symbol]:
136                 targets.append(PortfolioTarget(symbol, ((-1) ** i) / volatility[symbol] / vol_sum))
137 
138 self.SetHoldings(targets, True)
139class FuturesData:
140def __init__(self, quantpedia_future:Symbol, period:int) -> None:
141 self.quantpedia_future:Symbol = quantpedia_future
142 self.near_contract:FuturesContract = None
143 self.distant_contract:FuturesContract = None
144 self.first_contract_prices:RollingWindow = RollingWindow[float](period)
145 self.second_contract_price:float = None
146def update_prices(self, first_contract_price:float, second_contract_price:float) -> None:
147 self.first_contract_prices.Add(first_contract_price)
148 self.second_contract_price = second_contract_price
149def update_contracts(self, near_contract:FuturesContract, distant_contract:FuturesContract) -> None:
150 self.near_contract = near_contract
151 self.distant_contract = distant_contract
152def get_metrics(self) -> tuple:
153 prices:np.array = np.array([x for x in self.first_contract_prices])
154 momentum_value:float = prices[0] / prices[-1] - 1
155 
156 returns:np.array = (prices[:-1] - prices[1:]) / prices[1:]
157 volatility_value:float = np.std(returns)
158 basis_value:float = np.log(prices[0] - self.second_contract_price)
159 return basis_value, momentum_value, volatility_value
160def reset_data(self) -> None:
161 self.first_contract_prices.Reset()
162 self.second_contract_price = None
163def is_initialized(self) -> bool:
164 return self.near_contract is not None and self.distant_contract is not None
165def is_ready(self) -> bool:
166 return self.first_contract_prices.IsReady and self.second_contract_price != None
167# Custom fee model
168class CustomFeeModel(FeeModel):
169def GetOrderFee(self, parameters):
170 fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
171 return OrderFee(CashAmount(fee, "USD"))
172 
173# Quantpedia data.
174# NOTE: IMPORTANT: Data order must be ascending (datewise)
175class QuantpediaFutures(PythonData):
176_last_update_date:Dict[Symbol, datetime.date] = {}
177@staticmethod
178def get_last_update_date() -> Dict[Symbol, datetime.date]:
179return QuantpediaFutures._last_update_date
180def GetSource(self, config, date, isLiveMode):
181 return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)
182def Reader(self, config, line, date, isLiveMode):
183 data = QuantpediaFutures()
184 data.Symbol = config.Symbol
185 
186 if not line[0].isdigit(): return None
187 split = line.split(';')
188 
189 data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1)
190 data['back_adjusted'] = float(split[1])
191 data['spliced'] = float(split[2])
192 data.Value = float(split[1])
193 if config.Symbol not in QuantpediaFutures._last_update_date:
194     QuantpediaFutures._last_update_date[config.Symbol] = datetime(1,1,1).date()
195 if data.Time.date() > QuantpediaFutures._last_update_date[config.Symbol]:
196     QuantpediaFutures._last_update_date[config.Symbol] = data.Time.date()
197 return data