# https://quantpedia.com/strategies/term-structure-effect-in-commodities/
#
# This simple strategy buys each month the 20% of commodities with the highest roll-returns and shorts the 20% of commodities with the lowest 
# roll-returns and holds the long-short positions for one month. The contracts in each quintile are equally-weighted. 
# The investment universe is all commodity futures contracts.

from datetime import datetime
from collections import deque

class Term_Structure_Commodities(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2010, 1, 1)
        self.SetEndDate(2019, 1, 1)
        self.SetCash(100000)
        
        self.symbols = ["CME_S",   # Soybean Futures, Continuous Contract
                        "CME_W",   # Wheat Futures, Continuous Contract
                        "CME_SM",  # Soybean Meal Futures, Continuous Contract
                        "CME_BO",  # Soybean Oil Futures, Continuous Contract
                        "CME_C",   # Corn Futures, Continuous Contract
                        "CME_O",   # Oats Futures, Continuous Contract
                        "CME_LC",  # Live Cattle Futures, Continuous Contract
                        "CME_FC",  # Feeder Cattle Futures, Continuous Contract
                        "CME_LN",  # Lean Hog Futures, Continuous Contract
                        "CME_GC",  # Gold Futures, Continuous Contract
                        "CME_SI",  # Silver Futures, Continuous Contract
                        "CME_PL",  # Platinum Futures, Continuous Contract
                        "CME_CL",  # Crude Oil Futures, Continuous Contract
                        "CME_HG",  # Copper Futures, Continuous Contract
                        "CME_LB",  # Random Length Lumber Futures, Continuous Contract
                        "CME_PA",  # Palladium Futures, Continuous Contract 
                        "CME_RR",  # Rough Rice Futures, Continuous Contract
                        
                        "ICE_CC",  # Cocoa Futures, Continuous Contract 
                        "ICE_CT",  # Cotton No. 2 Futures, Continuous Contract
                        "ICE_KC",  # Coffee C Futures, Continuous Contract
                        "ICE_O",   # Heating Oil Futures, Continuous Contract
                        "ICE_OJ",  # Orange Juice Futures, Continuous Contract
                        "ICE_SB"   # Sugar No. 11 Futures, Continuous Contract
                        ]
                        
        self.lookup_period = 12 * 21
        self.SetWarmUp(self.lookup_period)
        self.data = {}
        
        # True -> Quantpedia data
        # False -> Quandl free data
        self.use_quantpedia_data = True
        
        if self.use_quantpedia_data:
            for symbol in self.symbols:
                sym = symbol + '1'
                data = self.AddData(QuantpediaFutures, sym, Resolution.Daily)
                #data.SetLeverage(2)
        
        self.symbols2 = ['CHRIS/' + x for x in self.symbols]
        for symbol in self.symbols2:
            for symbol_index in range(1,3):
                sym = symbol + str(symbol_index)
                self.AddData(QuandlFutures, sym, Resolution.Daily)
        
        self.Schedule.On(self.DateRules.MonthStart(self.symbols2[0] + '1'), self.TimeRules.AfterMarketOpen(self.symbols2[0] + '1'), self.Rebalance)

    def Rebalance(self):
        if self.IsWarmingUp: return
        
        # Roll return sorting
        roll_return = {}
        for symbol_index in range(0, len(self.symbols2)):
            symbol = self.symbols2[symbol_index]
            sym1 = symbol + '1'
            sym2 = symbol + '2'

            traded_symbol = ''
            if self.use_quantpedia_data: 
                traded_symbol = self.symbols[symbol_index] + '1'
            else: 
                traded_symbol = sym1
            roll_return[traded_symbol] = (self.Securities[sym2].Price - self.Securities[sym1].Price) / self.Securities[sym1].Price

        if len(roll_return) == 0: return

        sorted_by_roll = sorted(roll_return.items(), key=lambda x: x[1], reverse = True)
        quintile = int(len(sorted_by_roll)/5)
        
        top = sorted_by_roll[-quintile:]
        top = [x[0] for x in top]
        
        low = sorted_by_roll[:quintile]
        low = [x[0] for x in low]
        
        # Trade execution
        count = len(top+low)
        
        self.Liquidate()
        for symbol in top:
            self.SetHoldings(symbol, 1/count)
        for symbol in low:
            self.SetHoldings(symbol, -1/count)

    def Return(self, history):
        return (history[-1] - history[0]) / history[0]
        
# Quantpedia data
class QuantpediaFutures(PythonData):
    def GetSource(self, config, date, isLiveMode):
        return SubscriptionDataSource("http://data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)

    def Reader(self, config, line, date, isLiveMode):
        data = QuantpediaFutures()
        data.Symbol = config.Symbol
        
        try:
            if not line[0].isdigit(): return None
            split = line.split(';')
            
            data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1)
            data['settle'] = float(split[1])
            data.Value = float(split[1])
        except:
            return None
            
        return data

# Quandl free data
class QuandlFutures(PythonQuandl):
    def __init__(self):
        self.ValueColumnName = "settle"