Time Series Momentum Combined with Volatility Filters in FOREX

1from AlgorithmImports import *
2import datetime
3import numpy as np
4#endregion
5class TimeSeriesMomentumCombinedwithVolatilityFiltersinFOREX(QCAlgorithm):
6def Initialize(self):
7self.SetStartDate(2015, 1, 1)
8self.SetCash(100000)
9self.period = 12*21
10self.SetWarmUp(self.period)
11
12self.current_date = -1
13
14self.symbols = ["USDJPY", "GBPUSD", "EURUSD", "USDCHF", "USDCAD", "AUDUSD", "EURGBP", "EURJPY", "EURCHF"]
15self.data = {}
16               
17for symbol in self.symbols:
18    data = self.AddForex(symbol, Resolution.Minute, Market.FXCM)
19    data.SetFeeModel(CustomFeeModel())
20
21    if symbol not in self.data:
22        ma32 = SimpleMovingAverage(symbol, 32)
23        ma61 = SimpleMovingAverage(symbol, 61)
24        ma117 = SimpleMovingAverage(symbol, 117)
25        
26        self.data[symbol] = SymbolData(symbol, self.period, ma32, ma61, ma117, self.GetWeight(symbol))
27def OnData(self, data):
28if self.Time.time() == datetime.time(0,0,0):
29    # Updating last day close.
30    for symbol in self.symbols:
31        if symbol in data and data[symbol]:
32            close = data[symbol].Value
33            self.data[symbol].update(self.Time, close)
34
35# Trading one minute before day ends.
36if (self.Time + timedelta(minutes=1)).date() ==  self.current_date: 
37    return
38        
39self.current_date = (self.Time + timedelta(minutes=1)).date()
40
41# Wait until data are warmed up.
42if self.IsWarmingUp: return
43
44# Trade execution
45self.Liquidate()
46
47for symbol in self.symbols:
48    if self.data[symbol].is_ready():
49        yearly_vol = self.data[symbol].volatility(self.period)
50        monthly_vol = self.data[symbol].volatility(21)
51
52        price = self.data[symbol].Price
53        ma32 = self.data[symbol].ma32()
54        ma61 = self.data[symbol].ma61()
55        ma117 = self.data[symbol].ma117()
56
57        traded_weight = 0
58        weight = self.data[symbol].Weight
59            
60        # Trend startegy
61        if monthly_vol < yearly_vol:
62            #Long
63            if ma32 > ma61 and ma61 > ma117:
64                if price > ma32 and price > ma61 and price > ma117:
65                    traded_weight = weight
66                elif price > ma61 and price > ma117:
67                    traded_weight = weight * 2/3
68                elif price > ma117:
69                    traded_weight = weight * 1/3
70                else:
71                    continue
72            #Short        
73            elif ma32 < ma61 and ma61 < ma117:
74                if price < ma32 and price < ma61 and price < ma117:
75                    traded_weight = -weight
76                elif price < ma61 and price < ma117:
77                    traded_weight = -weight * 2/3
78                elif price < ma117:
79                    traded_weight = -weight * 1/3
80                else:
81                    continue
82            
83            self.SetHoldings(symbol, traded_weight)
84
85        # Counter-Trend startegy    
86        elif monthly_vol > yearly_vol:
87            #Long        
88            if ma32 < ma61 and ma61 < ma117:
89                if price < ma32 and price < ma61 and price < ma117:
90                    traded_weight = weight
91                elif price < ma61 and price < ma117:
92                    traded_weight = weight * 2/3
93                elif price < ma117:
94                    traded_weight = weight * 1/3
95                else:
96                    continue
97            #Short
98            elif ma32 > ma61 and ma61 > ma117:
99                if price > ma32 and price > ma61 and price > ma117:
100                    traded_weight = -weight
101                elif price > ma61 and price > ma117:
102                    traded_weight = -weight * 2/3
103                elif price > ma117:
104                    traded_weight = -weight * 1/3
105                else:
106                    continue
107                    
108            self.SetHoldings(symbol, traded_weight)
109                
110def GetWeight(self, argument):
111switcher = {
112    "USDJPY": 0.2113,
113    "GBPUSD": 0.1749,
114    "EURUSD": 0.3576,
115    "USDCHF": 0.0557,
116    "USDCAD": 0.0507,
117    "AUDUSD": 0.0642,
118    "EURGBP": 0.0307,
119    "EURJPY": 0.0364,
120    "EURCHF": 0.0186,
121}
122return switcher.get(argument, "0.0")
123class SymbolData:
124def __init__(self, symbol, lookback, ma32, ma61, ma117, weight):
125self.Symbol = symbol
126self.Price = None
127self.MA32 = ma32
128self.MA61 = ma61
129self.MA117 = ma117
130self.Weight = weight
131self.History = RollingWindow[float](lookback)
132def update(self, time, value):
133self.Price = value
134self.History.Add(value)
135self.MA32.Update(time, value)
136self.MA61.Update(time, value)
137self.MA117.Update(time, value)
138
139def is_ready(self):
140return self.MA32.IsReady and self.MA61.IsReady and self.MA32.IsReady and self.History.IsReady
141
142def ma32(self):
143return self.MA32.Current.Value
144def ma61(self):
145return self.MA61.Current.Value
146def ma117(self):
147return self.MA117.Current.Value
148
149def volatility(self, period):
150prices = np.array([x for x in self.History])[:period]
151returns = (prices[:-1]-prices[1:])/prices[1:]
152return np.std(returns) * np.sqrt(period)
153# Custom fee model.
154class CustomFeeModel(FeeModel):
155def GetOrderFee(self, parameters):
156fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
157return OrderFee(CashAmount(fee, "USD"))