Overall Statistics
Total Trades
35158
Average Win
0.37%
Average Loss
-0.27%
Compounding Annual Return
21.791%
Drawdown
39.600%
Expectancy
0.090
Net Profit
6850.044%
Sharpe Ratio
0.892
Probabilistic Sharpe Ratio
16.077%
Loss Rate
54%
Win Rate
46%
Profit-Loss Ratio
1.35
Alpha
0.208
Beta
0.001
Annual Standard Deviation
0.234
Annual Variance
0.055
Information Ratio
0.459
Tracking Error
0.293
Treynor Ratio
261.115
Total Fees
$587038.73
Estimated Strategy Capacity
$35000000.00
Lowest Capacity Asset
RTP R735QTJ8XC9X
# https://quantpedia.com/strategies/short-term-reversal-in-stocks/
#
# The investment universe consists of the 100 biggest companies by market capitalization.
# The investor goes long on the ten stocks with the lowest performance in the previous week and
# goes short on the ten stocks with the greatest performance of the prior month. The portfolio is rebalanced weekly.
#
# QC implementation changes:
#   - Instead of all listed stocks, we first select 500 most liquid stock from QC as a first filter due to time complexity issues tied to whole universe filtering.
#   - Then top 100 market cap stocks are used in momentum sorting.

class ShortTermReversalEffectinStocks(QCAlgorithm):

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

        self.symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
        
        self.coarse_count = 500
        self.stock_selection = 10
        self.top_by_market_cap_count = 100
        
        self.period = 21
        
        self.long = []
        self.short = []
        
        # Daily close data
        self.data = {}
        
        self.day = 1
        self.selection_flag = False
        self.UniverseSettings.Resolution = Resolution.Daily
        self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
        self.Schedule.On(self.DateRules.EveryDay(self.symbol), self.TimeRules.AfterMarketOpen(self.symbol), self.Selection)

    def OnSecuritiesChanged(self, changes):
        for security in changes.AddedSecurities:
            security.SetFeeModel(CustomFeeModel(self))
            security.SetLeverage(5)
        
    def CoarseSelectionFunction(self, coarse):
        # Update the rolling window every day.
        for stock in coarse:
            symbol = stock.Symbol

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

        if not self.selection_flag:
            return Universe.Unchanged

        selected = sorted([x for x in coarse if x.HasFundamentalData and x.Market == 'usa' and x.Price > 1],
            key=lambda x: x.DollarVolume, reverse=True)
        selected = [x.Symbol for x in selected][:self.coarse_count]

        # Warmup price rolling windows.
        for symbol in selected:
            if symbol in self.data:
                continue

            self.data[symbol] = SymbolData(self.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
            for time, close in closes.iteritems():
                self.data[symbol].update(close)

        return [x for x in selected if self.data[x].is_ready()]
        
    def FineSelectionFunction(self, fine):
        fine = [x for x in fine if x.MarketCap != 0]
        
        sorted_by_market_cap = sorted(fine, key = lambda x:x.MarketCap, reverse = True)
        top_by_market_cap = [x.Symbol for x in sorted_by_market_cap[:self.top_by_market_cap_count]]
        
        month_performances = {symbol : self.data[symbol].monthly_return() for symbol in top_by_market_cap}
        week_performances = {symbol : self.data[symbol].weekly_return() for symbol in top_by_market_cap}
            
        sorted_by_month_perf = [x[0] for x in sorted(month_performances.items(), key=lambda item: item[1], reverse=True)]
        sorted_by_week_perf = [x[0] for x in sorted(week_performances.items(), key=lambda item: item[1])]
        
        self.long = sorted_by_week_perf[:self.stock_selection]
        
        for symbol in sorted_by_month_perf: # Month performances are sorted descending
            if symbol not in self.long:
                self.short.append(symbol)
            
            if len(self.short) == 10:
                break
        
        return self.long + self.short
    
    def OnData(self, data):
        if not self.selection_flag:
            return
        self.selection_flag = False
        
        invested = [x.Key for x in self.Portfolio if x.Value.Invested]
        for symbol in invested:
            if symbol not in self.long + self.short:
                self.Liquidate(symbol)
        
        # Leveraged portfolio - 100% long, 100% short. 
        for symbol in self.long:
            if self.Securities[symbol].Price != 0 and self.Securities[symbol].IsTradable:
                self.SetHoldings(symbol, 1 / len(self.long))

        for symbol in self.short:
            if self.Securities[symbol].Price != 0 and self.Securities[symbol].IsTradable:
                self.SetHoldings(symbol, -1 / len(self.short))
                
        self.long.clear()
        self.short.clear()
                
    def Selection(self):
        if self.day == 5:
            self.selection_flag = True
        
        self.day += 1
        if self.day > 5:
            self.day = 1
            
class SymbolData():
    def __init__(self, period):
        self.closes = RollingWindow[float](period)
        self.period = period
        
    def update(self, close):
        self.closes.Add(close)
        
    def is_ready(self) -> bool:
        return self.closes.IsReady
    
    def weekly_return(self) -> float:
        return self.closes[0] / self.closes[5] - 1

    def monthly_return(self) -> float:
        return self.closes[0] / self.closes[self.period-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"))