from AlgorithmImports import *
# endregion
class CashHoldingsEffectAndNetOperatingAssets(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2000, 1, 1)
self.SetCash(100000)
self.leverage:int = 5
self.cash_holdings_quantile:int = 5
self.net_operating_assets_quantile:int = 2
self.three_months_flag:bool = True
self.weights:Dict[Symbol, float] = {}
self.market:Symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
self.coarse_count:int = 3000
self.selection_flag:bool = False
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverse(self.FundamentalSelectionFunction)
self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
self.Schedule.On(self.DateRules.MonthStart(self.market), self.TimeRules.BeforeMarketClose(self.market, 0), self.Selection)
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]:
if not self.selection_flag:
return Universe.Unchanged
fundamental = [x for x in fundamental if not np.isnan(x.FinancialStatements.BalanceSheet.Cash.ThreeMonths) and x.FinancialStatements.BalanceSheet.Cash.ThreeMonths != 0 and \
not np.isnan(x.FinancialStatements.BalanceSheet.TotalAssets.ThreeMonths) and x.FinancialStatements.BalanceSheet.TotalAssets.ThreeMonths != 0 and \
not np.isnan(x.FinancialStatements.BalanceSheet.FinancialAssets.ThreeMonths) and x.FinancialStatements.BalanceSheet.FinancialAssets.ThreeMonths != 0 and \
not np.isnan(x.FinancialStatements.BalanceSheet.TotalLiabilitiesAsReported.ThreeMonths) and x.FinancialStatements.BalanceSheet.TotalLiabilitiesAsReported.ThreeMonths != 0
]
if self.coarse_count <= 1000:
selected:List = sorted([x for x in fundamental if x.HasFundamentalData and x.Market == 'usa'],
key=lambda x: x.DollarVolume, reverse=True)[:self.coarse_count]
else:
selected:List = list(filter(lambda stock: stock.MarketCap != 0, [x for x in fundamental if x.HasFundamentalData and x.Market == 'usa' and x.AdjustedPrice >= 5]))[-self.coarse_count:]
cash_holdings:Dict[Symbol, float] = {}
net_operating_assets:Dict[Symbol, float] = {}
for stock in selected:
symbol:Symbol = stock.Symbol
cash:float = stock.FinancialStatements.BalanceSheet.Cash.ThreeMonths if self.three_months_flag \
else stock.FinancialStatements.BalanceSheet.Cash.TwelveMonths
total_assets:float = stock.FinancialStatements.BalanceSheet.TotalAssets.ThreeMonths if self.three_months_flag \
else stock.FinancialStatements.BalanceSheet.TotalAssets.TwelveMonths
financial_assets:float = stock.FinancialStatements.BalanceSheet.FinancialAssets.ThreeMonths if self.three_months_flag \
else stock.FinancialStatements.BalanceSheet.FinancialAssets.TwelveMonths
total_liabilities:float = stock.FinancialStatements.BalanceSheet.TotalLiabilitiesAsReported.ThreeMonths if self.three_months_flag \
else stock.FinancialStatements.BalanceSheet.TotalLiabilitiesAsReported.TwelveMonths
if all([cash, total_assets, financial_assets, total_liabilities]):
cash_holdings_value:float = cash / total_assets
cash_holdings[symbol] = cash_holdings_value
operating_assets:float = total_assets - financial_assets
net_operating_assets_value:float = (operating_assets - total_liabilities) / total_assets
net_operating_assets[symbol] = net_operating_assets_value
if len(cash_holdings) < self.cash_holdings_quantile or len(net_operating_assets) < self.net_operating_assets_quantile:
return Universe.Unchanged
cash_holdings_quantile:int = int(len(cash_holdings) / self.cash_holdings_quantile)
sorted_by_cash_holdings:List[Symbol] = [x[0] for x in sorted(cash_holdings.items(), key=lambda item: item[1])]
high_cash_holdings:List[Symbol] = sorted_by_cash_holdings[-cash_holdings_quantile:]
low_cash_holdings:List[Symbol] = sorted_by_cash_holdings[:cash_holdings_quantile]
net_operating_assets_quantile:int = int(len(net_operating_assets) / self.net_operating_assets_quantile)
sorted_by_net_op_assets:List[Symbol] = [x[0] for x in sorted(net_operating_assets.items(), key=lambda item: item[1])]
low_net_operating_assets:List[Symbol] = sorted_by_net_op_assets[:net_operating_assets_quantile]
high_net_operating_assets:List[Symbol] = sorted_by_net_op_assets[-net_operating_assets_quantile:]
long:List[Symbol] = [symbol for symbol in high_cash_holdings if symbol in low_net_operating_assets]
short:List[Symbol] = [symbol for symbol in low_cash_holdings if symbol in high_net_operating_assets]
for i, portfolio in enumerate([long, short]):
for symbol in portfolio:
self.weights[symbol] = ((-1) ** i) / len(portfolio)
return list(self.weights.keys())
def OnData(self, data: Slice) -> None:
if not self.selection_flag:
return
self.selection_flag = False
# trade execution
invested:List[Symbol] = [x.Key for x in self.Portfolio if x.Value.Invested]
for symbol in invested:
if symbol not in self.weights:
self.Liquidate(symbol)
for symbol, w in self.weights.items():
if symbol in data and data[symbol]:
self.SetHoldings(symbol, w)
self.weights.clear()
def Selection(self) -> None:
self.selection_flag = True
# Custom fee model
class CustomFeeModel(FeeModel):
def GetOrderFee(self, parameters):
fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
return OrderFee(CashAmount(fee, "USD"))
