from AlgorithmImports import *
#endregion
class EmployeeSatisfactionFactor(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2000, 1, 1)
self.SetCash(100_000)
self.tickers_by_year: Dict[int, List[str]] = {}
# download companies employees satisfaction ratings for each year
csv_string_file: str = self.Download('data.quantpedia.com/backtesting_data/index/employee_satisfaction_top_100.csv')
lines: List[str] = csv_string_file.split('\r\n')
for line in lines:
line_split: List[str] = line.split(';')
date: datetime.date = datetime.strptime(line_split[0], "%d.%m.%Y").date()
year: int = date.year
# store list of tickers by year
self.tickers_by_year[date.year] = line_split[1:]
self.leverage: int = 5
self.current_year: int = -1
self.selection_flag: bool = False
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverse(self.FundamentalSelectionFunction)
self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
self.long: List[Symbol] = []
market: Symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
self.Schedule.On(self.DateRules.MonthStart(market), self.TimeRules.BeforeMarketClose(market), self.Selection)
def Selection(self) -> None:
# beginning of February rebalance
if self.Time.month == 2:
self.selection_flag = True
def OnSecuritiesChanged(self, changes: SecurityChanges) -> None:
for security in changes.AddedSecurities:
security.SetFeeModel(CustomFeeModel())
security.SetLeverage(self.leverage)
def FundamentalSelectionFunction(self, fundamental: List[Fundamental]) -> List[Symbol]:
self.current_year = self.Time.year
# rebalance yearly
if not self.selection_flag or self.current_year - 1 not in self.tickers_by_year:
return Universe.Unchanged
current_top_companies: List[str] = self.tickers_by_year[self.current_year - 1]
# filter stock symbols from top companies in previous year
self.long = [x.Symbol for x in fundamental if x.Symbol.Value in current_top_companies]
return self.long
def OnData(self, slice) -> None:
# rebalance yearly
if self.selection_flag == False:
return
self.selection_flag = False
# trade execution
portfolio: List[PortfolioTarget] = [PortfolioTarget(symbol, 1. / len(self.long)) for symbol in self.long if symbol in slice and slice[symbol]]
self.SetHoldings(portfolio, True)
self.long.clear()
# Custom fee model
class CustomFeeModel(FeeModel):
def GetOrderFee(self, parameters):
fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
return OrderFee(CashAmount(fee, "USD"))
