import numpy as np import pandas as pd from clr import AddReference AddReference("System") AddReference("QuantConnect.Algorithm") AddReference("QuantConnect.Common") from System import * from QuantConnect import * from QuantConnect.Algorithm import * from QuantConnect.Data import * from datetime import timedelta from System.Collections.Generic import List from QuantConnect.Data.UniverseSelection import * class QualityMomentumModel(QCAlgorithm): def __init__(self): # Set target number of securities to hold self.TARGET_SECURITIES = 5 #trend following filter self.TF_LOOKBACK = 200 self.TF_CURRENT_LOOKBACK = 20 self.TF_up = 0 #determining momentum self.MOMENTUM_LOOKBACK_DAYS = 126 #how many days to lookback self.MOMENTUM_SKIP_DAYS = 10 #how many days to skip overall_lookback = (self.MOMENTUM_LOOKBACK_DAYS + self.MOMENTUM_SKIP_DAYS) def Initialize(self): self.SetStartDate(2010, 1, 1) # Set Start Date self.SetEndDate(2012, 1, 1) self.SetCash(1000) # Set Strategy Cash self.spy = self.AddEquity("SPY", Resolution.Minute) #add SPY to use for trends self.UniverseSettings.Resolution = Resolution.Minute #update the universe every minute #adding a universe of stocks #schedule function for selecting stocks and weights self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 30), Action(self.select_stocks_set_weights)) self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 30), Action(self.select_stocks_set_weights)) #schedule function for making trades self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 30), Action(self.trade)) self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 30), Action(self.trade)) #50 Day moving average of SPY self.spy_ma_fast = self.SMA("SPY", 50) #200 Day moving average of SPY self.spy_ma_slow = self.SMA("SPY", 200) self.trend_up = self.spy_ma_fast >= self.spy_ma_slow if self.spy_ma_fast >= self.spy_ma_slow: self.TF_up = 1 self.UniverseSettings.Resolution = Resolution.Daily self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction) def CoarseSelectionFunction(self, coarse): '''Drop securities which have no fundamental data or have too low prices. Select those with highest by dollar volume''' selected = [x for x in coarse if (x.HasFundamentalData) and (float(x.Price) > 20)] filtered = sorted(selected, key=lambda x: x.DollarVolume, reverse=True) return [x.Symbol for x in filtered[:2000]] def FineSelectionFunction(self, fine): if self.TF_up == 1: filtered_fine = [x for x in fine if x.ValuationRatios.FCFYield and x.ValuationRatios.CashReturn and x.OperationRatios.ROIC and x.OperationRatios.LongTermDebtEquityRatio.NineMonths] value = [x for x in filtered_fine if x.ValuationRatios.CashReturn and x.ValuationRatios.FCFYield] quality = [x for x in value if x.OperationRatios.ROIC and x.OperationRatios.LongTermDebtEquityRatio] self.returns_overall = sorted(quality, key = lambda f: f.OperationRatios.RevenueGrowth.overall_lookback) self.returns_recent = sorted(quality, key = lambda f: f.OperationRatios.RevenueGrowth.MOMENTUM_SKIP_DAYS) self.momentum = sorted(quality, key = lambda f: self.returns_overall - self.returns_recent) self.top_quality = sorted(quality, key = lambda f: f.OperationRatios.ROE.OneMonth) TQ2 = [x[0] for x in self.top_quality] self.stocks_to_hold = [x.symbol for x in TQ2[:self.TARGET_SECURITIES]] return self.stocks_to_hold print(self.stocks_to_hold) def OnData(self, data): pass def select_stocks_set_weights(self): # Set desired stock weights # Equally weight self.stock_weight = 1.0 / self.TARGET_SECURITIES self.stock_weights = pd.Series(index=self.stocks_to_hold, data=self.stock_weight) def trade(self): for i in self.Portfolio.Values: if (i.Invested) and (i not in self.stocks_to_hold): self.Liquidate(i.Symbol) for i in self.stocks_to_hold: self.SetHoldings(i, self.stock_weight)

Here I've tried to create a filter for ROE ROIC FCF and whatnot for when SPY is bullish, However, when I try to backtest it, nothing gets traded the list of stocks don't get printed. I don't know where my error is but any help would be appreciated, thanks.

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