# https://quantpedia.com/strategies/momentum-effect-in-stocks-in-small-portfolios/
#
# The investment universe consists of all UK listed companies (this is the investment universe used in the source academic study, 
# and it could be easily changed into any other market – see Ammann, Moellenbeck, Schmid: Feasible Momentum Strategies in the US Stock Market). 
# Stocks with the lowest market capitalization (25% of the universe) are excluded due to liquidity reasons. Momentum profits are calculated 
# by ranking companies based on their stock market performance over the previous 12 months (the rank period). The investor goes long 
# in the ten stocks with the highest performance and goes short in the ten stocks with the lowest performance. The portfolio is equally weighted 
# and rebalanced yearly. We assume the investor has an account size of 10 000 pounds.
#
# QC implementation changes:
#   - Universe consists of 1000 most liquid US stocks.
#   - Instead of 10 000 pounds we use 100 000 dollars.
#   - Decile is used instead of 10 stocks.

from AlgorithmImports import *
from typing import Dict, List
import pandas as pd

class MomentumEffectinStocksinSmallPortfolios(QCAlgorithm):

    def Initialize(self) -> None:
        self.SetStartDate(2010, 1, 1)
        self.SetCash(100_000)

        self.UniverseSettings.Leverage = 10
        self.UniverseSettings.Resolution = Resolution.Daily
        self.AddUniverse(self.FundamentalSelectionFunction)
        self.Settings.MinimumOrderMarginPortfolioPercentage = 0.0

        self.fundamental_count: int = 1_000
        self.fundamental_sorting_key = lambda x: x.DollarVolume
        self.rank_period: int = 12 * 21 # days
        self.quantile: int = 10
        self.month_counter: int = 11
        self.rebalance_period: int = 12 # months
        
        # daily prices
        self.symbol_data: Dict[Symbol, SymbolData] = {}
        self.long_symbols: List[Symbol] = []
        self.short_symbols: List[Symbol] = []
        self.selection_flag: bool = True
        
        market = self.AddEquity('SPY', Resolution.Daily).Symbol
        self.Schedule.On(self.DateRules.MonthStart(market), 
                        self.TimeRules.AfterMarketOpen(market), 
                        self.Selection)
    
    def OnSecuritiesChanged(self, changes: SecurityChanges) -> None:
        for security in changes.AddedSecurities:
            security.SetFeeModel(CustomFeeModel())
    
    def FundamentalSelectionFunction(self, fundamental: List[Fundamental]) -> List[Symbol]:
        # update the rolling window every day
        for f in fundamental:
            if f.Symbol in self.symbol_data:
                self.symbol_data[f.Symbol].update(f.Price)

        # selection once a month
        if not self.selection_flag:
            return Universe.Unchanged

        filtered: List[Fundamental] = [
            f for f in fundamental if f.HasFundamentalData and f.MarketCap != 0
        ]

        sorted_filter: List[Fundamental] = sorted(filtered,
                                                key=self.fundamental_sorting_key,
                                                reverse=True)[:self.fundamental_count]
        
        # warmup price rolling windows
        for f in sorted_filter:
            if f.Symbol in self.symbol_data:
                continue
            
            self.symbol_data[f.Symbol] = SymbolData(f.Symbol, self.rank_period)
            history: pd.DataFrame = self.History(f.Symbol, self.rank_period, Resolution.Daily)
            if history.empty:
                self.Log(f"Not enough data for {f.Symbol} yet")
                continue
            closes: pd.Series = history.loc[f.Symbol].close
            for time, close in closes.items():
                self.symbol_data[f.Symbol].update(close)
                
        ready_symbols: List[Symbol] = [f.Symbol for f in sorted_filter 
                                        if self.symbol_data[f.Symbol].is_ready()]
        
        # performance sorting
        performance: Dict[Symbol, float] = {symbol: self.symbol_data[symbol].performance() 
                                            for symbol in ready_symbols}

        if len(performance) >= self.quantile:
            quantile: int = int(len(performance) / self.quantile)
            sorted_by_perf: List[Symbol] = sorted(performance, key=performance.get, reverse=True)
            self.long_symbols = sorted_by_perf[:quantile]
            self.short_symbols = sorted_by_perf[-quantile:]
        
        return self.long_symbols + self.short_symbols
            
    def OnData(self, slice: Slice) -> None:
        if not self.selection_flag:
            return
        self.selection_flag = False

        # trade execution
        targets: List[PortfolioTarget] = []
        for i, portfolio in enumerate([self.long_symbols, self.short_symbols]):
            for symbol in portfolio:
                if slice.ContainsKey(symbol) and slice[symbol] is not None:
                    targets.append(PortfolioTarget(symbol, ((-1) ** i) / len(portfolio)))

        self.SetHoldings(targets, True)
        self.long_symbols.clear()
        self.short_symbols.clear()
        
    def Selection(self) -> None:
        # rebalance every 12 months
        if self.month_counter == self.rebalance_period:
            self.selection_flag = True

        self.month_counter += 1
        if self.month_counter > self.rebalance_period: 
            self.month_counter = 1

class SymbolData():
    def __init__(self, symbol: Symbol, period: int) -> None:
        self.Symbol: Symbol = symbol
        self.Price: RollingWindow = RollingWindow[float](period)
    
    def update(self, value: float) -> None:
        self.Price.Add(value)
    
    def is_ready(self) -> bool:
        return self.Price.IsReady
        
    def performance(self) -> float:
        closes: List[float] = [x for x in self.Price]
        return closes[0] / closes[-1] - 1

class CustomFeeModel(FeeModel):
    def GetOrderFee(self, parameters: OrderFeeParameters) -> OrderFee:
        fee: float = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
        return OrderFee(CashAmount(fee, "USD"))