import numpy as np
import pandas as pd
import scipy as sc
from datetime import timedelta
from QuantConnect.Data.UniverseSelection import * 
from Selection.FundamentalUniverseSelectionModel import FundamentalUniverseSelectionModel

class Roboto(QCAlgorithm):
    
    # bubble signal
    FAST         =  20    # for EMA, lower values >> higher risk, higher returns
    SLOW         =  50   # for EMA
    MAGNITUDE    =  1.50 # magnitude of the bubble

    # position configuration for opening in CheckForEntries
    FREE_CASH         =  0.04 # adjust based on risk tolerance for FreePortfolioValuePercentage in Initialize
    DYN_POSITION_SIZE =  0.50 # variable affecting dynamic position sizing for next short positions
    MAX_POSITION_SIZE =  0.10 # maximum individual position size. has a big effect on total returns (more negative values >> larger returns)
    MIN_BP            =  0.08 # liquidate most profitable position if buying power (= MarginRemaining / PortfolioValue) is too low
    OF_TOTAL_DV       =  0.02 # max share of daily dollar volume for order size
    MAX_POS           =  3   # max number of open positions
    USE_BULL          =  False
        
    # position configuration for liquidation in CheckForExits
    CUT_LOSS         = -0.10 # -10% = -0.10 !!!
    TCL_GET_EVEN     =  0.50 #  how fast is TCL trailing until break even (0.0 for none) !!!
    TCL_TRAIL        =  0.30 #  how fast is TCL trailing after break even (0.0 for none, if larger than TCL_GET_EVEN, overrides it) !!!

    TAKE_PROFIT      =  0.3 #  55% =  0.55 !!!
    MAX_POSITION_AGE =  40   #  45 days optimal
    TP_TRAIL         =  0.25  #  decreases TP with age up to 0.55 * (1 - 0.5) at MAX_POSITION_AGE (0.0 for none) !!!
    TP_KICK_IN       =  0.5  #  decreases TP with age kicking in at 80% of MAX_POSITION_AGE (never 1.0)
        
    # liquidity configuration
    MIN_Price            = 50.   # min price !!!
    MAX_Price            = 200.  # max price !!!
    MIN_VOLUME           = 2e6  # min volume !!!
    MIN_DOLLAR_VOLUME    = 2e5  # min dollar volume
    #MIN_TIME_OF_HISTORY = 0    # only include if there is a min of x days of history data (currently unused)
    MIN_TIME_IN_UNIVERSE = SLOW # min amount of time a security must remain in the universe before being removed (drives the speed of the backtest)
        
    # funnel
    N_COARSE             = MAX_POS # max number of coarse securities

    # portfolio configuration
    STARTING_CASH        = 25000 # for backtest in Initialize
        
    # debugging level
    #MSGS     = ['main', 'filter', 'logic', 'order', 'debug']
    MSGS     = []
        
    class SecurityData:
        # access yesterday's close via self.universe[Symbol].close
        
        def __init__(self, symbol, history):
            self.symbol   = symbol
            self.close    = 0
            self.ratio    = 0
            self.isAntiBubble = False
            
            self.fast = ExponentialMovingAverage(Roboto.FAST)
            self.slow = ExponentialMovingAverage(Roboto.SLOW)
            self.vol  = ExponentialMovingAverage(Roboto.SLOW)
            
            # update all but the last day, as this will be updated after adding a new obj
            for bar in history[:history.size-1].itertuples():
                self.fast.Update(bar.Index[1], bar.close)
                self.slow.Update(bar.Index[1], bar.close)
                self.vol.Update(bar.Index[1], ((bar.open + bar.close)/2.0) * bar.volume) # we need to init with DollarVolume
            
        def update(self, time, price, volume, magnitude):
            self.close    = price
            self.ratio    = 0
            self.isAntiBubble = False
            
            if self.fast.Update(time, price) and self.slow.Update(time, price) and self.vol.Update(time, volume):
                self.ratio = self.fast.Current.Value / self.slow.Current.Value
                self.isAntiBubble = (self.ratio < magnitude) and (price / self.slow.Current.Value < magnitude)
        
        
    def Initialize(self):
        
        self.Debug("*** Roboto is initializing ***")
        self.SetTimeZone("America/New_York")
        
        # backtest
        self.SetBrokerageModel(BrokerageName.AlphaStreams)
        self.SetStartDate(2022, 1, 1)  
        #self.SetEndDate(2021,1,5)
        
      #  self.AddRiskManagement(TrailingStopRiskManagementModel(0.05))
        
        # live settings
        if self.LiveMode:
            self.minutes = 15
            res = Resolution.Minute
        else:
            self.minutes = 60
            res = Resolution.Hour
        
        # portfolio 
        self.SetCash(Roboto.STARTING_CASH)
        self.Settings.FreePortfolioValuePercentage = Roboto.FREE_CASH
        self.min_dollar_vol = Roboto.MIN_DOLLAR_VOLUME
        
        # universe selection
        self.UniverseSettings.Resolution = res
        self.UniverseSettings.MinimumTimeInUniverse = Roboto.MIN_TIME_IN_UNIVERSE # min amount of time a security must remain in the universe before being removed
        # self.AddUniverse(self.CoarseFilter)
        self.AddUniverse(self.CoarseFilter, self.Fine)
        self.__numberOfSymbols = 1000
        self.__numberOfSymbolsFine = 3
        
        self.universe = {} # contains all tracked securities in the universe
        self.open = [] # positions to open based on signal
        
        # set security symbols
        self.market         = self.AddEquity("SPY", res).Symbol
        self.bull           = self.AddEquity("QQQ", res).Symbol
        self.excl_smbls     = [self.market, self.bull]
        self.magnitude      = Roboto.MAGNITUDE

        # further vars
        self.expiry         = {} # contains age of position
        self.trail_cut_loss = {} # contains trailing max of unrealized profit pct for cut loss
        self.bp             = 1.0 # buying power
        
        
        # schedule our CheckForExits check for liquidation of positions using range(start, stop, step), NYSE 9:30 .. 16:00
        for i in range(0, 389, self.minutes):
            self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen(self.bull, i),
                self.CheckForExits)
            
        # schedule our CheckForEntries check for shorting and entering bull security
        for i in range(60, 389, 60):
            self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen(self.bull, i),
                self.CheckForEntries)
                
          
        self.spy = self.AddEquity('SPY')
        self.AddAlpha(MomentumAlphaModel(lookback=410, resolution=Resolution.Daily)) 
        self.AddRiskManagement(RiskModelWithSpy(self.spy))
        
        
    def CustomFilter(self,coarse):
        cf_selected = [x for x in coarse
                            if x.Symbol.Value == "RRC" 
                            ]
        for cf in cf_selected:
            if (cf.Symbol not in self.universe):
                history = self.History(cf.Symbol, Roboto.SLOW, Resolution.Daily)
                self.universe[cf.Symbol] = Roboto.SecurityData(cf.Symbol, history)
            self.universe[cf.Symbol].update(cf.EndTime, cf.AdjustedPrice, cf.DollarVolume, self.magnitude)

        values = [x for x in self.universe.values()]
        symbols = [x.symbol for x in values[:Roboto.N_COARSE]]
        return symbols

    def CoarseFilter(self, coarse):
        # for CoarseFundamental see https://www.quantconnect.com/docs/algorithm-reference/universes#
        if ('main' in Roboto.MSGS): self.Debug("{} CoarseFilter".format(self.Time))
        
        # ensure a minimum dollar volume corresponding to orders of 2 x our maximum fill rate
        self.min_dollar_vol = max(Roboto.MIN_DOLLAR_VOLUME,
            (self.Portfolio.TotalPortfolioValue * (1-Roboto.FREE_CASH) * abs(Roboto.MAX_POSITION_SIZE)) / (2. * Roboto.OF_TOTAL_DV))
            
        # 1st filter for hard and soft criteria
        cf_selected = [x for x in coarse
                            if  x.Market == "usa"
                            and x.HasFundamentalData
                            and x.Volume > Roboto.MIN_VOLUME
                            and x.DollarVolume > self.min_dollar_vol
                            and float(x.Price) >= Roboto.MIN_Price
                            and float(x.Price) <= Roboto.MAX_Price
                            ]
        if 'filter' in Roboto.MSGS: self.Debug("{} CoarseFilter-1 len:{}".format(self.Time, len(cf_selected))) # approx 500 securities
        
        # collect symbols which are new to our universe
        new_universe = {}
        
        for cf in cf_selected: 
            
            # for every new symbol, create an entry in our universe with a SecurityData object (including initial population of our indicators with daily history)
            if (cf.Symbol not in self.universe):
                history = self.History(cf.Symbol, Roboto.SLOW, Resolution.Daily)
                self.universe[cf.Symbol] = Roboto.SecurityData(cf.Symbol, history)
                
            # for our complete universe, update our indicators with the data of the last trading day
            self.universe[cf.Symbol].update(cf.EndTime, cf.AdjustedPrice, cf.DollarVolume, self.magnitude)
                
            # for all cf_selected securities (and not the dropped ones), based on our newly created or updated universe entries, 
            new_universe[cf.Symbol] = self.universe[cf.Symbol]
        
        self.universe = new_universe
        
        # 2nd filter the values of our SecurityData dict to those who are over their bubble
        values = [x for x in self.universe.values() if x.isAntiBubble]
        if 'filter' in Roboto.MSGS: self.Debug("{} CoarseFilter-2 len:{}".format(self.Time, len(values)))
        
        # 3rd filter for n_coarse sorted by the highest ratio
        values.sort(key = lambda x: x.ratio, reverse = False) # highest ratios first
        
        # we need to return only our array of Symbol objects
        symbols = [x.symbol for x in values[:Roboto.N_COARSE]]
        if 'filter' in Roboto.MSGS: self.Debug("{} CoarseFilter-3 len:{}".format(self.Time, len(symbols)))
        #return symbols
      #  return self.coarselist
    
    def Fine(self, fine):
        filtered_fine = [x for x in fine if x.AssetClassification.MorningstarSectorCode == MorningstarSectorCode.FinancialServices 
                and (x.ValuationRatios.EVToEBITDA > 0) 
                and (x.EarningReports.BasicAverageShares.ThreeMonths > 0) 
                and x.EarningReports.BasicAverageShares.ThreeMonths * (x.EarningReports.BasicEPS.TwelveMonths*x.ValuationRatios.PERatio) > 2e9]
                
        sortedByfactor1 = sorted(filtered_fine, key=lambda x: x.OperationRatios.ROIC.Value, reverse=True)
        sortedByfactor2 = sorted(filtered_fine, key=lambda x: x.OperationRatios.LongTermDebtEquityRatio.Value, reverse=True)
        sortedByfactor3 = sorted(filtered_fine, key=lambda x: x.ValuationRatios.FCFYield, reverse=True)
        
        stock_dict = {}
        
            # assign a score to each stock, you can also change the rule of scoring here.
        for i,ele in enumerate(sortedByfactor1):
            rank1 = i
            rank2 = sortedByfactor2.index(ele)
            rank3 = sortedByfactor3.index(ele)
            score = sum([rank1*0.4,rank2*0.2,rank3*0.4])
            stock_dict[ele] = score
        
        # sort the stocks by their scores
            self.sorted_stock = sorted(stock_dict.items(), key=lambda d:d[1],reverse=False)
            sorted_symbol = [x[0] for x in self.sorted_stock]
            self.sorted_stock = sorted(stock_dict.items(), key=lambda d:d[1],reverse=True)
            #
            self.sorted_symbol = [self.sorted_stock[i][0] for i in range(len(self.sorted_stock))]
            topFine = self.sorted_symbol[:self.__numberOfSymbolsFine]
            
            return symbols
        
    def OnSecuritiesChanged(self, changes):
        # is called whenever the universe changes
        if 'main' in Roboto.MSGS: self.Debug("{} Securities changed".format(self.Time))
        
        # remember all changed securities so they can be opened, and cancel all their orders
        self.open = []
        for security in changes.AddedSecurities:
            self.CancelAllOrders(security.Symbol)
            if not security.Invested and (security.Symbol not in self.excl_smbls):
                if 'logic' in Roboto.MSGS: self.Debug("{} Identified bubble for security {}".format(self.Time, security.Symbol))
                self.open.append(security.Symbol)
        
        
    def CheckForEntries(self):
        # once per day, check for entering new short positions for added securities from UniverseSelection
        if 'main' in Roboto.MSGS: self.Debug("{} CheckForEntries".format(self.Time))
        
        num_pos = len([f.Key for f in self.ActiveSecurities if f.Value.Invested]) # positions incl. bullish stock
        
        # open new positions based on self.open which is populated in OnSecuritiesChanged
        new_pos=0
        for symb in self.open:
            if (num_pos+new_pos) < Roboto.MAX_POS:
                new_pos += 1
                dynamic = Roboto.DYN_POSITION_SIZE/(num_pos + new_pos) # negtive
                target = max(Roboto.MAX_POSITION_SIZE, dynamic) # max of negative = min of positive
                tag = "New pos. target allocation {}".format(round(target, 4))
                self.Buy(symb, target, tag)
                self.open.remove(symb)
        
        # set some portion of portfolio to hold bullish index
        if Roboto.USE_BULL:
            remaining_allocation = max(1.0 - self.MIN_BP - (num_pos * (-1 * Roboto.MAX_POSITION_SIZE)), Roboto.MAX_POSITION_SIZE)
            if 'order' in Roboto.MSGS: self.Debug("{} *** Entering: bull security with {}".format(self.Time, remaining_allocation))
            self.SetHoldings([PortfolioTarget(self.bull, remaining_allocation)])
            self.Plot("Buying Power", "Bull", remaining_allocation)
            
        self.bp = self.Portfolio.MarginRemaining/self.Portfolio.TotalPortfolioValue
        self.Plot("Buying Power", "BP", self.bp)
        self.Plot("# Positions", "pos", num_pos)
        
        
    def Buy(self, symbol, target, tag = "No Tag Provided"):
        # handle entry position sizing, target = negative
        
        
        
        # get close of yesterday, mean close of last 30 minutes, and price of last minute
        close_yesterday = self.universe[symbol].close
        price           = float(self.Securities[symbol].Close) # price of last bar according to res
        if 'logic' in Roboto.MSGS: self.Debug("{} Short check {} @ yest:{}, price:{}".format(self.Time, symbol, close_yesterday, price))
        
        # enter buy if price is decreasing
        if price > 0:
            
            # calc target order quantity from target percent (quantity is calculated based on current price and is adjusted for the fee model attached to that security)
            q_target = self.CalculateOrderQuantity(symbol, target)
            
            # calc maximum order quantity based on max allowed securities dollar volume
            q_max =  float(Roboto.OF_TOTAL_DV * self.universe[symbol].vol.Current.Value) / price
            
            # enter buy with allowed quantity
            q = int(min(q_target, q_max)) # max of negative = min of positive
            if q > 0:
                if 'order' in Roboto.MSGS: self.Debug("{} *** Entering: buy for {} @ {}".format(self.Time, q, symbol, price))
                self.EmitInsights(Insight.Price(symbol, timedelta(days = Roboto.MAX_POSITION_AGE), InsightDirection.Up, None, None, None, target))
                self.LimitOrder(symbol, q, price, tag)
            else:
                if q != 0:
                    if 'error' in Roboto.MSGS: self.Error("{} Received negative quantity for buy order: {} {} @ {} (Target: {})".format(self.Time, q, symbol, price, target))
        else:
            if 'logic' in Roboto.MSGS: self.Debug("{} Buying skipped for {} @ {}".format(self.Time, symbol, price))
        
        
    def CheckForExits(self):
        # every OnDate event, check for liquidation of portfolio positions based on loss, profit, age, and buying power
        if 'main' in Roboto.MSGS: self.Debug("{} CheckForExits".format(self.Time))
        
        closing = set()
        invested = [f.Key for f in self.ActiveSecurities if (f.Value.Invested and (f.Value.Symbol not in self.excl_smbls))]
        
        # liquidate loss positions or old positions or take profit
        for symb in invested:
            
            holding = self.Portfolio[symb]
            
            # update cut loss, limited to UnrealizedProfitPercent = 0
            self.trail_cut_loss[symb] = min(-Roboto.CUT_LOSS, max(self.trail_cut_loss[symb], holding.UnrealizedProfitPercent * Roboto.TCL_GET_EVEN))
            # update cut loss, not limited
            self.trail_cut_loss[symb] = max(self.trail_cut_loss[symb], holding.UnrealizedProfitPercent * Roboto.TCL_TRAIL)
            
            take_profit = Roboto.TAKE_PROFIT
            
            # update trailing profit decrease, kicking in at 70% of the days, decreasing up to Roboto.TP_TRAIL
            tp_decrease = 1 - max(0, ( (1+(self.Time - self.expiry[symb]).days) - Roboto.MAX_POSITION_AGE*Roboto.TP_KICK_IN) / (Roboto.MAX_POSITION_AGE - Roboto.MAX_POSITION_AGE*Roboto.TP_KICK_IN)) * Roboto.TP_TRAIL
            
            # exit positions with a large loss quickly with a market order
            if (holding.UnrealizedProfitPercent < (self.trail_cut_loss[symb] + Roboto.CUT_LOSS)) and ((self.Time - self.expiry[symb]).days > 1):
                if 'order' in Roboto.MSGS: self.Debug("{} *** Liquidating: Market Order for Cutting Losses on {} at {} days, {}%".format(self.Time, holding.Symbol, (self.Time - self.expiry[holding.Symbol]).days, round(holding.UnrealizedProfitPercent, 4) * 100))
                self.CancelAllOrders(holding.Symbol)
                tag = "Cutting loss, age {} days, result {}%".format((self.Time - self.expiry[holding.Symbol]).days, round(holding.UnrealizedProfitPercent, 4) * 100)
                self.MarketOrderExit(holding.Symbol, tag)
                closing.add(holding.Symbol)
                
            # exit positions that have a large profit with a limit order
            elif (holding.UnrealizedProfitPercent > take_profit * tp_decrease):
                if 'order' in Roboto.MSGS: self.Debug("{} *** Liquidating: Limit Order for Taking Profit on {} at {} days, {}%".format(self.Time, holding.Symbol, (self.Time - self.expiry[holding.Symbol]).days, round(holding.UnrealizedProfitPercent, 4) * 100))
                self.CancelAllOrders(holding.Symbol)
                tag = "Taking profit, age {} days, result {}%".format((self.Time - self.expiry[holding.Symbol]).days, round(holding.UnrealizedProfitPercent, 4) * 100)
                self.LimitOrderExit(holding.Symbol, tag)
                closing.add(holding.Symbol)
            
            # exit old positions with a limit order
            elif (self.Time - self.expiry[holding.Symbol]).days > Roboto.MAX_POSITION_AGE:
                if 'order' in Roboto.MSGS: self.Debug("{} *** Liquidating: Limit Order for Expired {} at {} days, {}%".format(self.Time, holding.Symbol, (self.Time - self.expiry[holding.Symbol]).days, round(holding.UnrealizedProfitPercent, 4) * 100))
                self.CancelAllOrders(holding.Symbol)
                tag = "Expired, age {} days, result {}%".format((self.Time - self.expiry[holding.Symbol]).days, round(holding.UnrealizedProfitPercent, 4) * 100)
                #self.MarketOrderExit(holding.Symbol, tag)
                self.LimitOrderExit(holding.Symbol, tag)
                closing.add(holding.Symbol)
                
        # liquidate most profitable position if buying power is too low
        self.bp = self.Portfolio.MarginRemaining / self.Portfolio.TotalPortfolioValue
        if self.bp < Roboto.MIN_BP:
            if 'logic' in Roboto.MSGS: self.Debug("{} Buying Power too low: {}".format(self.Time, self.bp))
         
            class Factor:
                def __init__(self, holding):
                    self.holding = holding
                    self.unrealized = self.holding.UnrealizedProfitPercent
            
            track = {}
            for symb in invested:
                holding = self.Portfolio[symb]
                track[holding.Symbol] = Factor(holding)
            
            values = list(set(track.values()) - set(closing)) # remove any symbols already beeing closed above (loss positions or old positions or take profit)
            if len(values) > 0:
                values.sort(key=lambda f: f.unrealized, reverse=True)
                if 'order' in Roboto.MSGS: self.Debug("{} *** Liquidating: Limit Order for Buying Power {} @ {}".format(self.Time, values[0].holding.Symbol, values[0].unrealized))
                self.CancelAllOrders(values[0].holding.Symbol)
                tag = "Liquidating, age {} days, result {}%".format((self.Time - self.expiry[holding.Symbol]).days, round(holding.UnrealizedProfitPercent, 4) * 100)
                self.LimitOrderExit(values[0].holding.Symbol, tag)
            else:
                if 'error' in Roboto.MSGS: self.Error("{} Unable to liquidate: {} {}".format(self.Time, len(values), len(closing)))
        
        
    def MarketOrderExit(self, symbol, tag = "No Tag Provided"):
        q = int(self.Portfolio[symbol].Quantity)

        if 'debug' in Roboto.MSGS: self.Debug("{} Rapid Exit {} {}".format(self.Time, q, symbol))
        self.EmitInsights(Insight.Price(symbol, timedelta(days = Roboto.MAX_POSITION_AGE), InsightDirection.Down, None, None, None, 0.00))
        self.MarketOrder(symbol, -q, False, tag)

    def LimitOrderExit(self, symbol, tag = "No Tag Provided"):
        q = int(self.Portfolio[symbol].Quantity)
        price = self.Securities[symbol].Close

        if 'debug' in Roboto.MSGS: self.Debug("{} LimitOrderExit {} {} @ {}".format(self.Time, q, symbol, price))
        self.EmitInsights(Insight.Price(symbol, timedelta(days = Roboto.MAX_POSITION_AGE), InsightDirection.Flat, None, None, None, 0.00))
        self.LimitOrder(symbol, -q, price, tag)
        
    def CancelAllOrders(self, symbol):
        
        if 'debug' in Roboto.MSGS: self.Debug("{} Cancelling all orders for {}".format(self.Time, symbol))
        openOrders = self.Transactions.CancelOpenOrders(symbol)
        for oo in openOrders:
            if not (oo.Status == OrderStatus.CancelPending):
                r = oo.Cancel()
                if not r.IsSuccess:
                    if 'error' in Roboto.MSGS: self.Error("{} Failed to cancel open order {} of {} for reason: {}, {}".format(self.Time, oo.Quantity, oo.Symbol, r.ErrorMessage, r.ErrorCode))
        
        
    def OnOrderEvent(self, orderEvent):
        
        if orderEvent.Status == OrderStatus.Filled:
            
            order = self.Transactions.GetOrderById(orderEvent.OrderId)
            if 'debug' in Roboto.MSGS: self.Debug("{} Filled {} of {} at {}".format(self.Time, order.Quantity, order.Symbol, order.Price))
            
            # if completely liquidating position, stop tracking position age
            if not self.Portfolio[order.Symbol].Invested:
                try:
                    del self.expiry[order.Symbol]
                    del self.trail_cut_loss[order.Symbol]
                    if 'debug' in Roboto.MSGS: self.Debug("{} No longer tracking {}".format(self.Time, order.Symbol))
                except Error:
                    if 'error' in Roboto.MSGS: self.Error("{} Key deletion failed for {}".format(self.Time, order.Symbol))
            
            # if position is completely new, start tracking position age
            else:
                if (order.Symbol not in self.expiry):
                    self.expiry[order.Symbol] = self.Time
                else:
                    if 'error' in Roboto.MSGS: self.Error("{} Key already existed for {}".format(self.Time, order.Symbol))
                
                if (order.Symbol not in self.trail_cut_loss):
                    self.trail_cut_loss[order.Symbol] = 0
                else:
                    if 'error' in Roboto.MSGS: self.Error("{} Key already existed for {}".format(self.Time, order.Symbol))
                    
class RiskModelWithSpy(RiskManagementModel):
    
    def __init__(self, spy, lookback = 200,  resolution = Resolution.Daily):
        self.spy = spy
        
        self.lookback = lookback
        self.resolution = resolution
        
        self.symboldata = {}
        
        #Flag so we only instanciate it once
        self.init = False
        
    def ManageRisk(self, algorithm, targets):
        
        targets = []
        
        if self.init == False:
            #Takes in spy, our lookback and resolution
            self.symboldata[self.spy.Symbol] = EMASymbolData(algorithm, self.spy, self.lookback, self.resolution)
            self.init = True
            
        
        for symbol, symboldata in self.symboldata.items():
            #logic. If price is below the current value for EMA, we send a portfoliotarget of 0
            spyValue = self.spy.Price
            AlmaValue = symboldata.EMA.Current.Value
            
            for kvp in algorithm.ActiveSecurities:
                security = kvp.Value
                
                if not security.Invested:
                    continue
                
                if spyValue <= AlmaValue:
                    targets.append(PortfolioTarget(security.Symbol, 0))
                    
        return targets
        

class MomentumAlphaModel(AlphaModel):
    def __init__(self, lookback = 200, resolution = Resolution.Daily):
        self.lookback = lookback
        self.resolution = resolution
        self.predictionInterval = Expiry.EndOfMonth
        self.symbolDataBySymbol = {}
        
        self.num_insights = 10
        self.lastMonth = -1
        

    def Update(self, algorithm, data):
       
        if algorithm.Time.month == self.lastMonth:
            return []
        self.lastMonth = algorithm.Time.month
        
        insights = []

        for symbol, symbolData in self.symbolDataBySymbol.items():
            if symbolData.CanEmit:

                direction = InsightDirection.Flat
                magnitude = symbolData.Return
                if magnitude > 0: 
                    direction = InsightDirection.Up
                if magnitude < 0: 
                    continue

                insights.append(Insight.Price(symbol, self.predictionInterval, direction, magnitude, None))

        insights1 = sorted([x for x in insights], key = lambda x: x.Magnitude, reverse=True)
        
        return [x for x in insights1[:self.num_insights]]

    def OnSecuritiesChanged(self, algorithm, changes):
        
        # clean up data for removed securities
        for removed in changes.RemovedSecurities:
            symbolData = self.symbolDataBySymbol.pop(removed.Symbol, None)
            if symbolData is not None:
                symbolData.RemoveConsolidators(algorithm)

        # initialize data for added securities
        symbols = [ x.Symbol for x in changes.AddedSecurities ]
        history = algorithm.History(symbols, self.lookback, self.resolution)
        if history.empty: return

        tickers = history.index.levels[0]
        for ticker in tickers:
            symbol = SymbolCache.GetSymbol(ticker)

            if symbol not in self.symbolDataBySymbol:
                symbolData = SymbolData(symbol, self.lookback)
                self.symbolDataBySymbol[symbol] = symbolData
                symbolData.RegisterIndicators(algorithm, self.resolution)
                symbolData.WarmUpIndicators(history.loc[ticker])


        
        
class EMASymbolData:
    
    def __init__(self, algorithm, security, lookback, resolution):
        symbol = security.Symbol
        self.Security = symbol
        self.Consolidator = algorithm.ResolveConsolidator(symbol, resolution)
        
        smaName = algorithm.CreateIndicatorName(symbol, f"ALMA{lookback}", resolution)
        self.EMA = ExponentialMovingAverage(smaName, lookback)
        algorithm.RegisterIndicator(symbol, self.EMA, self.Consolidator)
        
        history = algorithm.History(symbol, lookback, resolution)
        if 'close' in history:
            history = history.close.unstack(0).squeeze()
            for time, value in history.iteritems():
                self.EMA.Update(time, value)
        

        
# Quandl often doesn't use close columns so need to tell LEAN which is the "value" column.
class QuandlCustomColumns(PythonQuandl):
    def __init__(self):
        # Define ValueColumnName: cannot be None, Empty or non-existant column name
        self.ValueColumnName = "Value"
        
class SymbolData:

    def __init__(self, symbol, lookback):
        self.Symbol = symbol
        self.ROC = RateOfChange('{}.ROC({})'.format(symbol, lookback), lookback)
        self.Consolidator = None
        self.previous = 0

    def RegisterIndicators(self, algorithm, resolution):
        self.Consolidator = algorithm.ResolveConsolidator(self.Symbol, resolution)
        algorithm.RegisterIndicator(self.Symbol, self.ROC, self.Consolidator)

    def RemoveConsolidators(self, algorithm):
        if self.Consolidator is not None:
            algorithm.SubscriptionManager.RemoveConsolidator(self.Symbol, self.Consolidator)

    def WarmUpIndicators(self, history):
        for tuple in history.itertuples():
            self.ROC.Update(tuple.Index, tuple.close)

    @property
    def Return(self):
        return float(self.ROC.Current.Value)

    @property
    def CanEmit(self):
        if self.previous == self.ROC.Samples:
            return False

        self.previous = self.ROC.Samples
        return self.ROC.IsReady

    def __str__(self, **kwargs):
        return '{}: {:.2%}'.format(self.ROC.Name, (1 + self.Return)**252 - 1)