# https://quantpedia.com/strategies/sector-momentum-rotational-system/
#
# Use ten sector ETFs. Pick 3 ETFs with the strongest 12-month momentum into your portfolio and weight them equally. Hold them for one month and then rebalance.

#region imports
from AlgorithmImports import *
#endregion

class SectorMomentumAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2000, 1, 1)  
        self.SetCash(100000) 
        
        # daily ROC data
        self.data:Dict[str, RateOfChange] = {}
        
        self.roc_period:int = 12 * 21
        self.SetWarmUp(self.roc_period, Resolution.Daily)
        self.selected_symbol_count:int = 3 # long symbol count

        self.long_universe:List[str] = [
            "VNQ",  # Vanguard Real Estate Index Fund
            "XLK",  # Technology Select Sector SPDR Fund
            "XLE",  # Energy Select Sector SPDR Fund
            "XLV",  # Health Care Select Sector SPDR Fund
            "XLF",  # Financial Select Sector SPDR Fund
            "XLI",  # Industrials Select Sector SPDR Fund
            "XLB",  # Materials Select Sector SPDR Fund
            "XLY",  # Consumer Discretionary Select Sector SPDR Fund
            "XLP",  # Consumer Staples Select Sector SPDR Fund
            "XLU"   # Utilities Select Sector SPDR Fund
        ]

        for ticker in self.long_universe:
            data = self.AddEquity(ticker, Resolution.Daily)
            data.SetLeverage(5)
            
            self.data[ticker] = self.ROC(ticker, self.roc_period, Resolution.Daily)
        
        self.data[self.long_universe[0]].Updated += self.OnROCUpdated
        self.recent_month:int = -1
        self.rebalance_flag:bool = False

    def OnROCUpdated(self, sender, updated) -> None:
        # set rebalance flag
        if self.recent_month != self.Time.month:
            self.recent_month = self.Time.month
            self.rebalance_flag = True
        
    def OnData(self, data: Slice) -> None:
        if self.IsWarmingUp: return

        # rebalance once a month
        if self.rebalance_flag:
            self.rebalance_flag = False
            
            # sort long universe by momentum
            sorted_by_momentum:List = sorted([x for x in self.data.items() if x[1].IsReady and \
                x[0] in self.long_universe and \
                x[0] in data and data[x[0]]], \
                key = lambda x: x[1].Current.Value, reverse = True)

            if len(sorted_by_momentum) < self.selected_symbol_count:
                self.Liquidate()
                return

            long:List[str] = [x[0] for x in sorted_by_momentum[:self.selected_symbol_count]]
            
            # trade execution
            invested:List[str] = [x.Key.Value for x in self.Portfolio if x.Value.Invested]
            for symbol in invested:
                if symbol not in long:
                    self.Liquidate(symbol)
            
            for ticker in long:
                self.SetHoldings(ticker, 1 / len(long))
            
# Custom fee model
class CustomFeeModel(FeeModel):
    def GetOrderFee(self, parameters):
        fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.0
        return OrderFee(CashAmount(fee, "USD"))