Overall Statistics
# https://quantpedia.com/strategies/mean-reversion-effect-in-country-equity-indexes/
#
# The investment universe consists of 16 ETFs (funds) that invest in individual countries’ equity indexes. Go long on the 
# bottom four countries with the worst 36 – month return and go short on the top 4 countries with the best 36-month return. Rebalance every three years.

class ReversalEffectinInternationalEquityETFs(QCAlgorithm):

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

        # Daily ROC data.
        self.data = {}

        self.period = 36 * 21
        self.SetWarmUp(self.period)
        
        self.symbols = [
                        "EWA",  # iShares MSCI Australia Index ETF
                        "EWO",  # iShares MSCI Austria Investable Mkt Index ETF
                        "EWK",  # iShares MSCI Belgium Investable Market Index ETF
                        "EWZ",  # iShares MSCI Brazil Index ETF
                        "EWC",  # iShares MSCI Canada Index ETF
                        "FXI",  # iShares China Large-Cap ETF
                        "EWQ",  # iShares MSCI France Index ETF
                        "EWG",  # iShares MSCI Germany ETF 
                        "EWH",  # iShares MSCI Hong Kong Index ETF
                        "EWI",  # iShares MSCI Italy Index ETF
                        "EWJ",  # iShares MSCI Japan Index ETF
                        "EWM",  # iShares MSCI Malaysia Index ETF
                        "EWW",  # iShares MSCI Mexico Inv. Mt. Idx
                        "EWN",  # iShares MSCI Netherlands Index ETF
                        "EWS",  # iShares MSCI Singapore Index ETF
                        "EZA",  # iShares MSCI South Africe Index ETF
                        "EWY",  # iShares MSCI South Korea ETF
                        "EWP",  # iShares MSCI Spain Index ETF
                        "EWD",  # iShares MSCI Sweden Index ETF
                        "EWL",  # iShares MSCI Switzerland Index ETF
                        "EWT",  # iShares MSCI Taiwan Index ETF
                        "THD",  # iShares MSCI Thailand Index ETF
                        "EWU",  # iShares MSCI United Kingdom Index ETF
                        "SPY",  # SPDR S&P 500 ETF
                        ]

        for symbol in self.symbols:
            data = self.AddEquity(symbol, Resolution.Daily)
            data.SetFeeModel(CustomFeeModel(self))
            data.SetLeverage(15)
            
            self.data[symbol] = self.ROC(symbol, self.period, Resolution.Daily)
        
        # Rebalance month.
        self.month = 36
        
        self.Schedule.On(self.DateRules.MonthStart(self.symbols[0]), self.TimeRules.AfterMarketOpen(self.symbols[0]), self.Rebalance)

    def Rebalance(self):            
        self.month += 1
        if self.month > 36:
           self.month = 1
        else:
            return
           
        sorted_by_momentum = sorted([x for x in self.data.items() if x[1].IsReady], key = lambda x: x[1].Current.Value, reverse = True)
        long = [x[0] for x in sorted_by_momentum[-4:]]
        short = [x[0] for x in sorted_by_momentum[:4]]
        
        # Trade execution.
        invested = [x.Key.Value for x in self.Portfolio if x.Value.Invested]
        for symbol in invested:
            if symbol not in long + short:
                self.Liquidate(symbol)
        
        for symbol in long:
            self.SetHoldings(symbol, 1 / len(long))
        for symbol in short:
            self.SetHoldings(symbol, -1 / len(short))

# Custom fee model
class CustomFeeModel(FeeModel):
    def GetOrderFee(self, parameters):
        fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
        return OrderFee(CashAmount(fee, "USD"))