consistent-momentum-strategy.py

# https://quantpedia.com/strategies/consistent-momentum-strategy/
#
# The investment universe consists of stocks listed at NYSE, AMEX, and NASDAQ, whose price data (at least for the past 7 months) are available
# at the CRSP database. The investor creates a zero-investment portfolio at the end of the month t, longing stocks that are in the top decile 
# in terms of returns both in the period from t-7 to t-1 and from t-6 to t, while shorting stocks in the bottom decile in both periods (i.e. 
# longing consistent winners and shorting consistent losers). The stocks in the portfolio are weighted equally. The holding period is six months,
# with no rebalancing during the period. There is a one-month skip between the formation and holding period.
#
# QC implementation changes:
#   - Universe consists of 500 most liquid stocks traded on NYSE, AMEX, or NASDAQ.

from AlgorithmImports import *

class ConsistentMomentumStrategy(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2000, 1, 1)
        self.SetCash(100000)

        self.coarse_count = 500
        
        self.long = []
        self.short = []
        
        self.data = {}
        
        self.symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
        
        self.period = 7 * 21
        
        self.months = 0
        self.selection_flag = False
        self.UniverseSettings.Resolution = Resolution.Daily
        self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)

        self.Schedule.On(self.DateRules.MonthEnd(self.symbol), self.TimeRules.AfterMarketOpen(self.symbol), self.Rebalance)
    
    def OnSecuritiesChanged(self, changes):
        for security in changes.AddedSecurities:
            symbol = security.Symbol
            
            security.SetFeeModel(CustomFeeModel())
            security.SetLeverage(10)
        
    def CoarseSelectionFunction(self, coarse):
        # Update the rolling window every day.
        for stock in coarse:
            symbol = stock.Symbol

            # Store monthly price.
            if symbol in self.data:
                self.data[symbol].update(stock.AdjustedPrice)

        if not self.selection_flag:
            return Universe.Unchanged
        
        # selected = [x.Symbol for x in coarse if x.HasFundamentalData and x.Market == 'usa']
        selected = [x.Symbol
            for x in sorted([x for x in coarse if x.HasFundamentalData and x.Market == 'usa'],
                key = lambda x: x.DollarVolume, reverse = True)[:self.coarse_count]]
        
        # Warmup price rolling windows.
        for symbol in selected:
            if symbol in self.data:
                continue
            
            self.data[symbol] = SymbolData(symbol, self.period)
            history = self.History(symbol, self.period, Resolution.Daily)
            if history.empty:
                self.Log(f"Not enough data for {symbol} yet")
                continue
            closes = history.loc[symbol].close
            for time, close in closes.iteritems():
                self.data[symbol].update(close)
                
        return [x for x in selected if self.data[x].is_ready()]
        
    def FineSelectionFunction(self, fine):
        fine = [x for x in fine if x.MarketCap != 0 and x.CompanyReference.IsREIT != 1 and  \
                    ((x.SecurityReference.ExchangeId == "NYS") or (x.SecurityReference.ExchangeId == "NAS") or (x.SecurityReference.ExchangeId == "ASE"))]
                    
        # if len(fine) > self.coarse_count:
        #     sorted_by_market_cap = sorted(fine, key = lambda x: x.MarketCap, reverse=True)
        #     top_by_market_cap = [x.Symbol for x in sorted_by_market_cap[:self.coarse_count]]
        # else:
        #     top_by_market_cap = [x.Symbol for x in fine]
        top_by_market_cap = [x.Symbol for x in fine]
        
        momentum_t71_t60 = { x : (self.data[x].performance_t7t1(), self.data[x].performance_t6t0()) for x in top_by_market_cap}
        
        # Momentum t-7 to t-1 sorting
        sorted_by_perf_t71 = sorted(momentum_t71_t60.items(), key = lambda x: x[1][0], reverse = True)
        decile = int(len(sorted_by_perf_t71) / 10)
        high_by_perf_t71 = [x[0] for x in sorted_by_perf_t71[:decile]]
        low_by_perf_t71 = [x[0] for x in sorted_by_perf_t71[-decile:]]

        # Momentum t-6 to t sorting
        sorted_by_perf_t60 = sorted(momentum_t71_t60.items(), key = lambda x: x[1][1], reverse = True)
        decile = int(len(sorted_by_perf_t60) / 10)
        high_by_perf_t60 = [x[0] for x in sorted_by_perf_t60[:decile]]
        low_by_perf_t60 = [x[0] for x in sorted_by_perf_t60[-decile:]]
        
        self.long = [x for x in high_by_perf_t71 if x in high_by_perf_t60]
        self.short = [x for x in low_by_perf_t71 if x in low_by_perf_t60]
        
        self.selection_flag = False
        
        return self.long + self.short
        
    def Rebalance(self):
        if self.months == 0:
            self.selection_flag = True
            self.months += 1
            return
        
        if self.months == 1:
            # Trade execution and liquidation.
            invested = [x.Key for x in self.Portfolio if x.Value.Invested]
            for symbol in invested:
                if symbol not in self.long + self.short:
                    self.Liquidate(symbol)
            
            long_count = len(self.long)
            short_count = len(self.short)
            
            for symbol in self.long:
                self.SetHoldings(symbol, 1/long_count)
            for symbol in self.short:
                self.SetHoldings(symbol, -1/short_count)
        
        self.months += 1
        
        if self.months == 6:
            self.months = 0

class SymbolData():
    def __init__(self, symbol, period):
        self.Symbol = symbol
        self.Price = RollingWindow[float](period)
    
    def update(self, value):
        self.Price.Add(value)
    
    def is_ready(self):
        return self.Price.IsReady
        
    def performance_t7t1(self):
        closes = [x for x in self.Price][21:]
        return (closes[0] / closes[-1] - 1)

    def performance_t6t0(self):
        closes = [x for x in self.Price][:-21]
        return (closes[0] / closes[-1] - 1)
    
# Custom fee model.
class CustomFeeModel(FeeModel):
    def GetOrderFee(self, parameters):
        fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
        return OrderFee(CashAmount(fee, "USD"))