国家内部价值效应策略 v2

1from AlgorithmImports import *
2#endregion
3class ValueEffectwithinCountries(QCAlgorithm):
4def Initialize(self):
5self.SetStartDate(2010, 1, 1)
6self.SetCash(100000)
7self.symbols = {
8    'Argentina' : 'ARGT',
9    'Australia' : 'EWA',
10    'Austria' : 'EWO',
11    'Belgium' : 'EWK',
12    'Brazil' : 'EWZ',
13    'Canada' : 'EWC',
14    'Chile' : 'ECH',
15    'China' : 'FXI',
16    'Egypt' : 'EGPT',
17    'France' : 'EWQ',
18    'Germany' : 'EWG',
19    'Hong Kong' : 'EWH',
20    'India' : 'INDA',
21    'Indonesia' : 'EIDO',
22    'Ireland' : 'EIRO',
23    'Israel' : 'EIS',
24    'Italy' : 'EWI',
25    'Japan' : 'EWJ',
26    'Malaysia' : 'EWM',
27    'Mexico' : 'EWW',
28    'Netherlands' : 'EWN',
29    'New Zealand' : 'ENZL',
30    'Norway' : 'NORW',
31    'Philippines' : 'EPHE',
32    'Poland' : 'EPOL',
33    'Russia' : 'ERUS',
34    'Saudi Arabia' : 'KSA',
35    'Singapore' : 'EWS',
36    'South Africa' : 'EZA',
37    'South Korea' : 'EWY',
38    'Spain' : 'EWS',
39    'Sweden' : 'EWD',
40    'Switzerland' : 'EWL',
41    'Taiwan' : 'EWT',
42    'Thailand' : 'THD',
43    'Turkey' : 'TUR',
44    'United Kingdom' : 'EWU',
45    'United States' : 'SPY'
46}
47
48for symbol in self.symbols:
49    data = self.AddEquity(self.symbols[symbol], Resolution.Daily)
50    data.SetLeverage(5)
51
52self.country_pb_data:Symbol = self.AddData(CountryPB, 'CountryData').Symbol
53self.quantile:int = 3
54self.recent_month:int = -1
55self.max_missing_days:int = 365
56def OnData(self, data:Slice) -> None:
57# rebalance once a month
58if self.recent_month == self.Time.month:
59    return
60self.recent_month = self.Time.month
61if self.Securities[self.country_pb_data].GetLastData() and (self.Time.date() - self.Securities[self.country_pb_data].GetLastData().Time.date()).days > self.max_missing_days:
62    self.Liquidate()
63    return
64bm_data:dict[str, float] = {}
65country_pb_data = self.Securities[self.country_pb_data].GetLastData()
66if country_pb_data:
67    for symbol in self.symbols:
68        pb:float = country_pb_data[symbol]
69        bm_data[symbol] = 1 / pb
70long:List[str] = []
71short:List[str] = []
72if len(bm_data) >= self.quantile:
73    sorted_by_bm:List = sorted(bm_data.items(), key = lambda x: x[1], reverse = True)
74    quantile:int = int(len(bm_data) / self.quantile)
75    long = [x[0] for x in sorted_by_bm[:quantile]]
76    short = [x[0] for x in sorted_by_bm[-quantile:]]
77
78# liquidate
79invested:List[str] = [x.Key.Value for x in self.Portfolio if x.Value.Invested]
80for symbol in invested:
81    if symbol not in long + short:
82        self.Liquidate(symbol)
83# trade execution
84long_count:int = len(long)
85short_count:int = len(short)
86
87for symbol in long:
88    traded_symbol:str = self.symbols[symbol]
89    if traded_symbol in data and data[traded_symbol]:
90        self.SetHoldings(traded_symbol, 1 / long_count)
91for symbol in short:
92    traded_symbol:str = self.symbols[symbol]
93    if traded_symbol in data and data[traded_symbol]:
94        self.SetHoldings(traded_symbol, -1 / short_count)
95# Country PB data
96# NOTE: IMPORTANT: Data order must be ascending (date-wise)
97from dateutil.relativedelta import relativedelta
98class CountryPB(PythonData):
99def GetSource(self, config, date, isLiveMode):
100return SubscriptionDataSource("data.quantpedia.com/backtesting_data/economic/country_pb.csv", SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)
101def Reader(self, config, line, date, isLiveMode):
102data = CountryPB()
103data.Symbol = config.Symbol
104
105if not line[0].isdigit(): return None
106split = line.split(';')
107
108data.Time = datetime.strptime(split[0], "%Y") + relativedelta(years=1)
109self.symbols = ['Argentina','Australia','Austria','Belgium','Brazil','Canada','Chile','China','Egypt','France','Germany','Hong Kong','India','Indonesia','Ireland','Israel','Italy','Japan','Malaysia','Mexico','Netherlands','New Zealand','Norway','Philippines','Poland','Russia','Saudi Arabia','Singapore','South Africa','South Korea','Spain','Sweden','Switzerland','Taiwan','Thailand','Turkey','United Kingdom','United States']
110index = 1
111for symbol in self.symbols:
112    data[symbol] = float(split[index])
113    index += 1
114    
115data.Value = float(split[1])
116return data