Overall Statistics
#https://quantpedia.com/Screener/Details/36
from QuantConnect.Data.UniverseSelection import *
import math
import numpy as np
import pandas as pd
import scipy as sp

class NetPayoutYield(QCAlgorithm):

def Initialize(self):

self.SetStartDate(2000, 6, 1)
self.SetEndDate(datetime.now())
self.SetCash(1000000)
self.UniverseSettings.Resolution = Resolution.Daily
self.sorted_by_npy = None
self.Schedule.On(self.DateRules.MonthStart("SPY"), self.TimeRules.AfterMarketOpen("SPY"), self.rebalance)
# Count the number of months that have passed since the algorithm starts
self.months = -1
self.yearly_rebalance = True
def CoarseSelectionFunction(self, coarse):
if self.yearly_rebalance:
# drop stocks which have no fundamental data or have low price
self.filtered_coarse = [x.Symbol for x in coarse if (x.HasFundamentalData)]
return self.filtered_coarse
else:
return []

def FineSelectionFunction(self, fine):
if self.yearly_rebalance:
# Filter stocks with nonzero Total Assets
fine = [x for x in fine if (x.FinancialStatements.BalanceSheet.TotalAssets.TwelveMonths != 0)]
# Calculate the market cap and add the "MakretCap" property to fine universe object
for i in fine:
i.MarketCap = float(i.EarningReports.BasicAverageShares.ThreeMonths * (i.EarningReports.BasicEPS.TwelveMonths*i.ValuationRatios.PERatio))
fine = [x for x in fine if (x.MarketCap != 0)]
# sorted stocks in the top market-cap list by Net Payout Yield
top_npy = sorted(fine, key = lambda x: ((x.ValuationRatios.TotalYield * x.MarketCap)-x.FinancialStatements.CashFlowStatement.CommonStockIssuance.TwelveMonths)/ x.MarketCap)
self.sorted_by_npy = [i.Symbol for i in top_npy]
return self.sorted_by_npy
else:
return []

def rebalance(self):
# yearly rebalance
self.months += 1
if self.months%12 == 0:
self.yearly_rebalance = True

def OnData(self, data):
if not self.yearly_rebalance: return
if self.sorted_by_npy:
portfolio_size = int(len(self.sorted_by_npy)/10)
#pick the upper decile to long
long_stocks = self.sorted_by_npy[-portfolio_size:]
stocks_invested = [x.Key for x in self.Portfolio]
for i in stocks_invested:
#liquidate the stocks not in the filtered
if i not in self.sorted_by_npy:
self.Liquidate(i)
#long the stocks in the list
elif i in long_stocks:
self.SetHoldings(i, 1/(portfolio_size))
self.yearly_rebalance = False