Merge pull request #229 from AlexCatarino/bug-quantpedia-91

Fixes Logic in Momentum and Style Rotation Effect

Author: simonsonjack

04 Strategy Library/91 Momentum and Style Rotation Effect/02 Method.html

@@ -6,23 +6,25 @@
 <div class="section-example-container">
 <pre class="python">
 def Initialize(self):
+
     self.SetStartDate(2001, 1, 1)
     self.SetEndDate(2018, 8, 1)
     self.SetCash(100000)
-    self.tickers = [
-                    "IJJ", # iShares S&P MidCap 400 Value Index ETF
-                    "IJS", # iShares S&P SmallCap 600 Value ETF
-                    "IVE", # iShares S&P 500 Value Index ETF
-                    "IVW", # iShares S&P 500 Growth ETF
-                    "IJK", # iShares S&P Mid-Cap 400 Growth ETF
-                    "IJT", # iShares S&P Small-Cap 600 Growth ETF
-                    ]
-    self.symbols = []
-    for ticker in self.tickers:
-        self.symbols.append(self.AddEquity(ticker, Resolution.Daily).Symbol)
-    self.SetWarmUp(timedelta(days=12*20))
-    # save all momentum indicator in the dictionary
-    self.mom = {i:self.MOM(i, 12*20, Resolution.Daily) for i in self.symbols}
+
+    tickers = ["IJJ",   # iShares S&P Mid-Cap 400 Value Index ETF
+               "IJK",   # iShares S&P Mid-Cap 400 Growth ETF
+               "IJS",   # iShares S&P Small-Cap 600 Value ETF
+               "IJT",   # iShares S&P Small-Cap 600 Growth ETF
+               "IVE",   # iShares S&P 500 Value Index ETF
+               "IVW"]   # iShares S&P 500 Growth ETF
+
+    lookback = 12*20
+
+    # Save all momentum indicator into the dictionary
+    self.mom = dict()
+    for ticker in tickers:
+        symbol = self.AddEquity(ticker, Resolution.Daily).Symbol
+        self.mom[symbol] = self.MOM(symbol, lookback)
 </pre>
 </div>
 <p>
@@ -33,12 +35,15 @@
 <div class="section-example-container">
 <pre class="python">
 def Rebalance(self):
+    # Order the MOM dictionary by value
     sorted_mom = sorted(self.mom, key = lambda x: self.mom[x].Current.Value)
-    invested = [x.Key for x in self.Portfolio if x.Value.Invested]
-    for i in invested:
-        if i not in [sorted_mom[0], sorted_mom[1]]:
-            self.Liquidate(i)
-    self.SetHoldings(sorted_mom[0], -0.5)
-    self.SetHoldings(sorted_mom[-1], 0.5)
+
+    # Liquidate the ETFs that are no longer selected
+    for symbol in sorted_mom[1:-1]:
+        if self.Portfolio[symbol].Invested:
+            self.Liquidate(symbol, 'No longer selected')
+
+    self.SetHoldings(sorted_mom[-1], -0.5)   # Short the ETF with lowest MOM
+    self.SetHoldings(sorted_mom[0], 0.5)     # Long the ETF with highest MOM
 </pre>
-</div>
+</div>

04 Strategy Library/91 Momentum and Style Rotation Effect/03 Algorithm.html

@@ -1,6 +1,6 @@
 <div class="qc-embed-frame" style="display: inline-block; position: relative; width: 100%; min-height: 100px; min-width: 300px;">
     <div class="qc-embed-dummy" style="padding-top: 56.25%;"></div>
     <div class="qc-embed-element" style="position: absolute; top: 0; bottom: 0; left: 0; right: 0;">
-        <iframe class="qc-embed-backtest" height="100%" width="100%" style="border: 1px solid #ccc; padding: 0; margin: 0;" src="https://www.quantconnect.com/terminal/index.php?key=processCache&request=embedded_backtest_d0b1d400ad21477d83ae2b4f85616318.html"></iframe>
+        <iframe class="qc-embed-backtest" height="100%" width="100%" style="border: 1px solid #ccc; padding: 0; margin: 0;" src="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_95cffbeec0d003da873b791d3a10f60f.html"></iframe>
     </div>
 </div>

quantpedia.json

@@ -34,7 +34,7 @@
      77: "0483e5a7094604254ab37eda8b5141b8",
      78: "27fb5f05b0e48f488f0994d8d83ddc77",
      83: "fdfcddd132eaf55039d867c03efe3012",
-     91: "d0b1d400ad21477d83ae2b4f85616318",
+     91: "95cffbeec0d003da873b791d3a10f60f",
      100: "5ee5507fef6bf190ae533ce05ccaa785",
      102: "cd2d187e44a00c7b19f64aee8b0895d9",
      113: "9b1291a5f08dcc07df86363e46144084",