Carry Trade Strategy: Long Highest-Rate Currencies, Short Lowest-Rate

from AlgoLib import *

class SectorMomentumAlgorithm(XXX):
"""
A Sector Momentum Algorithm that selects and trades sectors based on their momentum.
It initializes with a set starting cash, selects a subset of sectors to trade, and
rebalances the portfolio based on momentum indicators.
"""

def Initialize(self):
"""
Initializes the algorithm settings, including start date, initial cash, and the momentum calculation period.
Sets up the sectors to monitor and applies leverage.
"""

self.SetStartDate(2015, 1, 1)  # Set the start date of the algorithm.
self.SetCash(100000)  # Set the starting cash for the portfolio.

# Initializes a dictionary to hold momentum data for each sector.
self.data:Dict[str, Momentum] = {}

# The period over which momentum is calculated.
self.momentum_period:int = 252

# Set the algorithm to warm up with the specified period to allow indicators to initialize.
self.SetWarmUp(self.momentum_period, Resolution.Daily)

# The number of sectors to select based on momentum.
self.selected_symbol_count:int = 3 

# A list of selected sectors to monitor for momentum.
self.selected_sectors:List[str] = [
    "XLK",  # Technology
    "XLE",  # Energy
    "XLV",  # Health Care
    "XLF",  # Financial
    "XLI",  # Industrial
    "XLB",  # Materials
    "XLY",  # Consumer Discretionary
    "XLP",  # Consumer Staples
    "XLU"   # Utilities
]

# Add equity data for each sector, set leverage, and initialize momentum indicators.
for sector in self.selected_sectors:
    data = self.AddEquity(sector, Resolution.Daily)
    data.SetLeverage(2)
    
    # Initializes momentum object for each sector with the specified period.
    self.data[sector] = self.MOMP(sector, self.momentum_period, Resolution.Daily)

# Subscribe to the momentum indicator's updated event for the first sector.
self.data[self.selected_sectors[0]].Updated += self.OnMomentumUpdated

# Variable to track the most recent month processed to ensure monthly rebalance.
self.recent_month:int = -1

# A flag to trigger portfolio rebalance.
self.rebalance_flag:bool = False

def OnMomentumUpdated(self, sender, updated) -> None:
"""
Event handler for momentum indicator updates. It sets a flag to trigger portfolio rebalancing.
"""

# Check if the month has changed since the last update and set the rebalance flag.
if self.recent_month != self.Time.month:
    self.recent_month = self.Time.month
    self.rebalance_flag = True

def OnData(self, data: Slice) -> None:
"""
Event handler for new data. This function rebalances the portfolio based on sector momentum, if necessary.
"""

if self.IsWarmingUp: return  # Skip if the algorithm is still warming up.

# Check if it's time to rebalance the portfolio.
if self.rebalance_flag:
    self.rebalance_flag = False  # Reset the flag
    
    # Sort sectors by momentum and filter for readiness and data availability.
    sorted_by_momentum:List = sorted([x for x in self.data.items() if x[1].IsReady and \
        x[0] in self.selected_sectors and \
        x[0] in data and data[x[0]]], \
        key = lambda x: x[1].Current.Value, reverse = True)

    # If there are fewer sectors than the target count, liquidate the portfolio.
    if len(sorted_by_momentum) < self.selected_symbol_count:
        self.Liquidate()
        return

    # Select top sectors based on momentum for investment.
    selected_sectors:List[str] = [x[0] for x in sorted_by_momentum[:self.selected_symbol_count]]
    
    # Liquidate sectors not in the selected list.
    invested_sectors:List[str] = [x.Key.Value for x in self.Portfolio if x.Value.Invested]
    for sector in invested_sectors:
        if sector not in selected_sectors:
            self.Liquidate(sector)
    
    # Allocate equal weights to selected sectors.
    for sector in selected_sectors:
        self.SetHoldings(sector, 1 / len(selected_sectors))

# Custom fee model class definition.
class CustomFeeModel(FeeModel):
"""
A custom fee model that calculates order fees.
"""

def GetOrderFee(self, parameters):
"""
Calculates the fee for an order based on the security price and order quantity.
"""

# Calculate the fee as a percentage of the trade amount.
fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.0  # Assumes no fee.
return OrderFee(CashAmount(fee, "USD"))