trading-wti-brent-spread.py

#region imports
from AlgorithmImports import *
#endregion
# https://quantpedia.com/strategies/trading-wti-brent-spread/
#
# A 20-day moving average of WTI/Brent spread is calculated each day. If the current spread value is above SMA 20 then we enter a short position
# in the spread on close (betting that the spread will decrease to the fair value represented by SMA 20). The trade is closed at the close of the
# trading day when the spread crosses below fair value. If the current spread value is below SMA 20 then we enter a long position betting that 
# the spread will increase and the trade is closed at the close of the trading day when the spread crosses above fair value.

class WTIBRENTSpread(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2000, 1, 1)
        self.SetCash(100000)
        
        self.symbols = [
            "ICE_WT1",  # WTI Crude Futures, Continuous Contract
            "ICE_B1"    # Brent Crude Oil Futures, Continuous Contract
        ]

        self.spread = RollingWindow[float](20)
        
        for symbol in self.symbols:
            data = self.AddData(QuantpediaFutures, symbol, Resolution.Daily)
            data.SetLeverage(5)
            data.SetFeeModel(CustomFeeModel())
        
    def OnData(self, data):
        symbol1 = self.Symbol(self.symbols[0])
        symbol2 = self.Symbol(self.symbols[1])
        
        if symbol1 in data.Keys and symbol2 in data.Keys and data[symbol1] and data[symbol2]:
            price1 = data[symbol1].Price
            price2 = data[symbol2].Price
            
            if price1 != 0 and price2 != 0:
                spread = price1 - price2
                self.spread.Add(spread)
        
        # MA calculation.
        if self.spread.IsReady:
            if (self.Time.date() - self.Securities[symbol1].GetLastData().Time.date()).days < 5 and (self.Time.date() - self.Securities[symbol2].GetLastData().Time.date()).days < 5:
                spreads = [x for x in self.spread]
                spread_ma20 = sum(spreads) / len(spreads)
                
                current_spread = spreads[0]
                
                if current_spread > spread_ma20:
                    self.SetHoldings(symbol1, -1)
                    self.SetHoldings(symbol2, 1)
                elif current_spread < spread_ma20:
                    self.SetHoldings(symbol1, 1)
                    self.SetHoldings(symbol2, -1)
            else:
                self.Liquidate()

# Quantpedia data.
# NOTE: IMPORTANT: Data order must be ascending (datewise)
class QuantpediaFutures(PythonData):
    def GetSource(self, config, date, isLiveMode):
        return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)

    def Reader(self, config, line, date, isLiveMode):
        data = QuantpediaFutures()
        data.Symbol = config.Symbol
        
        if not line[0].isdigit(): return None
        split = line.split(';')
        
        data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1)
        data['back_adjusted'] = float(split[1])
        data['spliced'] = float(split[2])
        data.Value = float(split[1])

        return data
        
# Custom fee model.
class CustomFeeModel(FeeModel):
    def GetOrderFee(self, parameters):
        fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
        return OrderFee(CashAmount(fee, "USD"))