momentum-factor-combined-with-asset-growth-effect.py

# https://quantpedia.com/strategies/momentum-factor-combined-with-asset-growth-effect/
#
# The investment universe consists of NYSE, AMEX and NASDAQ stocks (data for the backtest in the source paper are from Compustat). 
# Stocks with a market capitalization less than the 20th NYSE percentile (smallest stocks) are removed. The asset growth variable 
# is defined as the yearly percentage change in balance sheet total assets. Data from year t-2 to t-1 are used to calculate asset
# growth, and July is the cut-off month. Every month, stocks are then sorted into deciles based on asset growth and only stocks 
# with the highest asset growth are used. The next step is to sort stocks from the highest asset growth decile into quintiles, 
# based on their past 11-month return (with the last month’s performance skipped in the calculation). The investor then goes long
# on stocks with the strongest momentum and short on stocks with the weakest momentum. The portfolio is equally weighted and is
# rebalanced monthly. The investor holds long-short portfolios only during February-December -> January is excluded as this month
# has been repeatedly documented as a negative month for a momentum strategy (see “January Effect Filter and Momentum in Stocks”).
#
# QC implementation changes:
#   - Universe consists of 500 most liquid stocks traded on NYSE, AMEX, or NASDAQ.

from AlgorithmImports import *

class MomentumFactorAssetGrowthEffect(QCAlgorithm):

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

        # Monthly close data.
        self.data = {}
        self.period = 13
        self.total_assets_history_period = 2
        
        self.symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
        self.spy_consolidator = TradeBarConsolidator(timedelta(days=21))
        self.spy_consolidator.DataConsolidated += self.CustomHandler
        self.SubscriptionManager.AddConsolidator(self.symbol, self.spy_consolidator)            
        
        self.data[self.symbol] = SymbolData(self.symbol, self.period, self.total_assets_history_period)
        # Warmup market history.
        history = self.History(self.symbol, self.period, Resolution.Daily)
        if not history.empty:
            closes = history.loc[self.symbol].close
            closes_len = len(closes.keys())
            # Find monthly closes.
            for index, time_close in enumerate(closes.iteritems()):
                # index out of bounds check.
                if index + 1 < closes_len:
                    date_month = time_close[0].date().month
                    next_date_month = closes.keys()[index + 1].month
                
                    # Found last day of month.
                    if date_month != next_date_month:
                        self.data[self.symbol].update(time_close[1])
        
        self.coarse_count = 500
        
        self.long = []
        self.short = []

        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.BeforeMarketClose(self.symbol), self.Selection)

    def CustomHandler(self, sender, consolidated):
        self.data[self.symbol].update(consolidated.Close)
        
    def OnSecuritiesChanged(self, changes):
        for security in changes.AddedSecurities:
            security.SetFeeModel(CustomFeeModel())
            security.SetLeverage(5)
        
    def CoarseSelectionFunction(self, coarse):
        if not self.selection_flag:
            return Universe.Unchanged

        # Update the rolling window every month.
        for stock in coarse:
            symbol = stock.Symbol

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

        # 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, self.total_assets_history_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
            
            closes_len = len(closes.keys())
            # Find monthly closes.
            for index, time_close in enumerate(closes.iteritems()):
                # index out of bounds check.
                if index + 1 < closes_len:
                    date_month = time_close[0].date().month
                    next_date_month = closes.keys()[index + 1].month
                
                    # Found last day of month.
                    if date_month != next_date_month:
                        self.data[symbol].update(time_close[1])
            
        return [x for x in selected if self.data[x].is_ready()]   

    def FineSelectionFunction(self, fine):
        fine = [x for x in fine if x.FinancialStatements.BalanceSheet.TotalAssets.TwelveMonths > 0 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 = sorted_by_market_cap[:self.coarse_count]
        # else:
        #     top_by_market_cap = fine
        
        top_by_market_cap = fine
        
        # Asset growth calc.
        asset_growth = {}
        for stock in top_by_market_cap:
            symbol = stock.Symbol

            if self.data[symbol].asset_data_is_ready():
                asset_growth[symbol] = self.data[symbol].asset_growth()
                
            self.data[symbol].update_assets(stock.FinancialStatements.BalanceSheet.TotalAssets.TwelveMonths)
        
        sorted_by_growth = sorted(asset_growth.items(), key = lambda x: x[1], reverse = True)
        decile = int(len(sorted_by_growth) / 10)
        top_by_growth = [x[0] for x in sorted_by_growth][:decile]
        
        performance = { x : self.data[x].performance(1) for x in top_by_growth}
        sorted_by_performance = sorted(performance.items(), key = lambda x: x[1], reverse = True)
        quintile = int(len(sorted_by_performance) / 5)
        self.long = [x[0] for x in sorted_by_performance][:quintile]
        self.short = [x[0] for x in sorted_by_performance][-quintile:]
        
        return self.long + self.short

    def OnData(self, data):
        if not self.selection_flag:
            return
        self.selection_flag = False
        
        # Trade execution.
        stocks_invested = [x.Key for x in self.Portfolio if x.Value.Invested]
        for symbol in stocks_invested:
            if symbol not in self.long + self.short:
                self.Liquidate(symbol)
        
        for symbol in self.long:
            self.SetHoldings(symbol, 1 / len(self.long))
        for symbol in self.short:
            self.SetHoldings(symbol, -1 / len(self.short))

        self.long.clear()
        self.short.clear()

    def Selection(self):
        # Exclude January trading.
        if self.Time.month != 12:
            self.selection_flag = True
        else:
            self.Liquidate()

class SymbolData():
    def __init__(self, symbol, period, total_assets_history_period):
        self.Symbol = symbol
        self.Price = RollingWindow[float](period)
        self.TotalAssets = RollingWindow[float](total_assets_history_period)
    
    def update(self, value):
        self.Price.Add(value)
    
    def update_assets(self, assets_value):
        self.TotalAssets.Add(assets_value)
    
    def asset_data_is_ready(self) -> bool:
        return self.TotalAssets.IsReady
    
    def asset_growth(self) -> float:
        asset_values = [x for x in self.TotalAssets]
        return (asset_values[0] - asset_values[1]) / asset_values[1]
    
    def is_ready(self) -> bool:
        return self.Price.IsReady
        
    # Performance, one month skipped.
    def performance(self, values_to_skip = 0) -> float:
        closes = [x for x in self.Price][values_to_skip:]
        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"))