-
Notifications
You must be signed in to change notification settings - Fork 625
/
betting-against-beta-factor-in-country-equity-indexes.py
136 lines (110 loc) · 6.38 KB
/
betting-against-beta-factor-in-country-equity-indexes.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
# https://quantpedia.com/strategies/betting-against-beta-factor-in-country-equity-indexes/
#
# The investment universe consists of all country ETFs. The beta for each country is calculated with respect to the MSCI US
# Equity Index using a 1-year rolling window. ETFs are then ranked in ascending order based on their estimated beta. The ranked
# ETFs are assigned to one of two portfolios: low beta and high beta. Securities are weighted by the ranked betas, and the portfolios
# are rebalanced every calendar month. Both portfolios are rescaled to have a beta of one at portfolio formation. The “Betting-Against-Beta”
# is the zero-cost zero-beta portfolio that is long on the low-beta portfolio and that shorts the high-beta portfolio. There are a lot of
# simple modifications (like going long on the bottom beta decile and short on the top beta decile), which could probably improve the strategy’s performance.
import numpy as np
from AlgorithmImports import *
from collections import deque
class BettingAgainstBetaFactorinInternationalEquities(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2002, 2, 1)
self.SetCash(100000)
self.countries = [
"EWA", # iShares MSCI Australia Index ETF
"EWO", # iShares MSCI Austria Investable Mkt Index ETF
"EWK", # iShares MSCI Belgium Investable Market Index ETF
"EWZ", # iShares MSCI Brazil Index ETF
"EWC", # iShares MSCI Canada Index ETF
"FXI", # iShares China Large-Cap ETF
"EWQ", # iShares MSCI France Index ETF
"EWG", # iShares MSCI Germany ETF
"EWH", # iShares MSCI Hong Kong Index ETF
"EWI", # iShares MSCI Italy Index ETF
"EWJ", # iShares MSCI Japan Index ETF
"EWM", # iShares MSCI Malaysia Index ETF
"EWW", # iShares MSCI Mexico Inv. Mt. Idx
"EWN", # iShares MSCI Netherlands Index ETF
"EWS", # iShares MSCI Singapore Index ETF
"EZA", # iShares MSCI South Africe Index ETF
"EWY", # iShares MSCI South Korea ETF
"EWP", # iShares MSCI Spain Index ETF
"EWD", # iShares MSCI Sweden Index ETF
"EWL", # iShares MSCI Switzerland Index ETF
"EWT", # iShares MSCI Taiwan Index ETF
"THD", # iShares MSCI Thailand Index ETF
"EWU", # iShares MSCI United Kingdom Index ETF
]
self.leverage_cap = 5
# Daily price data.
self.data = {}
self.period = 12 * 21
self.symbol = 'SPY'
for symbol in self.countries + [self.symbol]:
data = self.AddEquity(symbol, Resolution.Daily)
data.SetFeeModel(CustomFeeModel())
data.SetLeverage(15)
self.data[symbol] = RollingWindow[float](self.period)
self.recent_month = -1
def OnData(self, data):
for symbol in self.data:
symbol_obj = self.Symbol(symbol)
if symbol_obj in data.Keys:
if data[symbol_obj]:
price = data[symbol_obj].Value
if price != 0:
self.data[symbol].Add(price)
if self.recent_month == self.Time.month:
return
self.recent_month = self.Time.month
beta = {}
for symbol in self.countries:
# Data is ready.
if self.data[self.symbol].IsReady and self.data[symbol].IsReady and self.symbol in data and symbol in data:
market_closes = np.array([x for x in self.data[self.symbol]])
asset_closes = np.array([x for x in self.data[symbol]])
market_returns = (market_closes[1:] - market_closes[:-1]) / market_closes[:-1]
asset_returns = (asset_closes[1:] - asset_closes[:-1]) / asset_closes[:-1]
cov = np.cov(asset_returns, market_returns)[0][1]
market_variance = np.var(market_returns)
beta[symbol] = cov / market_variance
weight = {}
if len(beta) != 0:
# Beta diff calc.
beta_median = np.median([x[1] for x in beta.items()])
long_diff = [(x[0], abs(beta_median - x[1])) for x in beta.items() if x[1] < beta_median]
short_diff = [(x[0], abs(beta_median - x[1])) for x in beta.items() if x[1] > beta_median]
# Beta rescale.
long_portfolio_beta = np.mean([beta[x[0]] for x in long_diff])
long_leverage = 1 / long_portfolio_beta
short_portfolio_beta = np.mean([beta[x[0]] for x in short_diff])
short_leverage = 1 / short_portfolio_beta
# Cap long and short leverage.
long_leverage = min(self.leverage_cap, long_leverage)
long_leverage = max(-self.leverage_cap, long_leverage)
short_leverage = min(self.leverage_cap, short_leverage)
short_leverage = max(-self.leverage_cap, short_leverage)
# self.Log(f"long: {long_leverage}; short: {short_leverage}")
total_long_diff = sum([x[1] for x in long_diff])
total_short_diff = sum([x[1] for x in short_diff])
# Beta diff weighting.
weight = {}
for symbol, diff in long_diff:
weight[symbol] = (diff / total_long_diff) * long_leverage
for symbol, diff in short_diff:
weight[symbol] = - (diff / total_short_diff) * short_leverage
# Trade execution.
invested = [x.Key for x in self.Portfolio if x.Value.Invested]
for symbol in invested:
if symbol not in weight:
self.Liquidate(symbol)
for symbol, w in weight.items():
self.SetHoldings(symbol, w)
# Custom fee model.
class CustomFeeModel(FeeModel):
def GetOrderFee(self, parameters):
fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
return OrderFee(CashAmount(fee, "USD"))