Quantopian to QC - Modified QUALITY+IN-OUT Strat

Perhaps you can clone one on the existing versions of in and out strategy and then modify it to include the updated logic?  The Flex 4 version looks like a solid one to work with.

Thanks but I need a bit more help than this! :)

I yet don't know how to code the stock selection part into it. If anyone would like to cooperate I can share the code.

Are you specifying a number of stocks to trade into in place of QQQ/SPY, or do you want auto picking based on criteria?  Specifying predetermined stocks should be easy.  I don't know the autopicking routines.  I'm also very new to this platform.

Hi S.T.E.,

Consider reviewing our Universe Selection documentation and Framework Boot Camp for a better understanding of stock selection. For further assistance, publish the Quantopian code to this forum.

Best,
Derek Melchin

"""
Based on 'In & Out' strategy by Peter Guenther 10-04-2020
expanded by Tentor Testivis and coded by Dan Whitnable (Quantopian)
AND
'Quality companies in an uptrend' by Chris Cain 11-22-2019
coded by Dan Whitnable (Quantopian) with bonds weights  fixed by Vladimir
"""
# Import necessary algo and Pipeline modules
import quantopian.algorithm as algo
from quantopian.pipeline import Pipeline
# Import specific filters and factors which will be used
from quantopian.pipeline.factors import CustomFactor, Returns
from quantopian.pipeline.filters import Q500US, Q1500US, Q3000US, QTradableStocksUS, StaticAssets
from quantopian.pipeline.factors import SimpleMovingAverage as SMA 
# Import datasets which will be used
from quantopian.pipeline.data.builtin import USEquityPricing
from quantopian.pipeline.data.morningstar import Fundamentals as ms
# import optimize
import quantopian.optimize as opt
# Import numpy and pandas because they rock
import numpy as np
import pandas as pd
class Mean_Over_STD(CustomFactor):
    window_length = 756
    def compute(self, today, assets, out, value):
            out[:] = np.nanmean(value, axis=0) / np.nanstd(value, axis=0)
class total_earning_growth(CustomFactor):
    window_length = 1
    def compute(self, today, assets, out, eps, dps, equity):
            out[:] = eps[0]+dps[0]+equity[0]
class acc_earning_growth(CustomFactor):
    window_length = 140
    def compute(self, today, assets, out, eps, dps, equity):
            out[:] = (eps[-1]+dps[-1]+equity[-1])/(eps[1]+dps[1]+equity[1])
class sales_growth(CustomFactor):
    window_length = 252
    def compute(self, today, assets, out, sales):
            out[:] = (sales[-1])/(sales[1])
def initialize(context): 
    set_commission(commission.PerShare(cost=0.00, min_trade_cost=0.00))
    #########################################
    ## In & Out parameters ##################
    ## based on "New Strategy - In & out" ##
    context.WAIT_DAYS = 15 # min days of being out; 3 trading weeks
    context.XLI = symbol('XLI') # industrials
    context.DBB = symbol('DBB') # materials
    context.BIL = symbol('SHY') # bond / interest rate
    context.UUP = symbol('UUP') # USD index
    context.VIXY = symbol('TVIX')
    context.SIGNAL_UNIVERSE = symbols('XLI', 'DBB', 'SHY', 'UUP', 'TVIX')
    # Assets and associated weights when 'out' of the market
    # Any asset held but not in the list will be closed
    context.TRADE_WEIGHTS_OUT = {symbol('TIPZ'): 0.0, 
                                symbol('TYD'): 0.5, symbol('TMF'): 0.3
                                }
    ##############################################
    ## Your stock selection strategy parameters ##
    ## based on "New Strategy - Quality companies in an uptrend ##
    # Set target number of securities to hold and top ROE qty to filter  
    context.TARGET_SECURITIES = 10  
    context.TOP_ROIC_QTY = 50 #First sort by ROE
    # This is for the trend following filter  
    context.SPY = symbol('SPY')  
    context.TF_LOOKBACK = 126  
    context.TF_CURRENT_LOOKBACK = 10
    # This is for the determining momentum  
    context.MOMENTUM_LOOKBACK_DAYS = 126 #Momentum lookback  
    context.MOMENTUM_SKIP_DAYS = 6 
    # Initialize any other variables before being used  
    context.stock_weights = pd.Series()
    # Schedule functions  
    schedule_function(  
        # daily rebalance if OUT of the market
        rebalance_when_out_of_the_market,  
        date_rules.every_day(),
        time_rules.market_open(minutes = 30)
    ) 
    schedule_function(  
        # weekly rebalance if IN the market
        rebalance_when_in_the_market,  
        date_rules.week_start(days_offset=4),
        time_rules.market_open(minutes = 30)
    )
    schedule_function(  
        # record signals every day
        record_signals,  
        date_rules.every_day(),
        time_rules.market_open()
    )
    algo.attach_pipeline(make_pipeline(context), 'pipeline')  
   # context.tvix= sid(40515)#1.5x leveraged VIX ETF
   # context.vix=sid(38054)#2x leveraged VIX
   # schedule_function(ma_crossover_handling, date_rules.every_day(),time_rules.market_open(hours=1))
class Days_Since_True(CustomFactor): 
    """
    Finds the number of days since a signal was last True
    Max lookback is 100
    """
    window_length = 100
    def compute(self, today, assets, out, input_factor): 
        # Flip the factor first to last so argmax finds the last occurance
        # Set the earliest day to True so it always finds at least 1 True 
        input_factor[0] = True
        out[:] = np.argmax(np.flipud(input_factor), axis=0)        
def make_pipeline(context):
    ###############################
    ## In & Out pipeline content ##
    # Set universe to only the assets we use for signals
    mask_io = StaticAssets(context.SIGNAL_UNIVERSE)
    # Get the returns for basic metals, industrials and bonds
    # Get the cost of debt which is the inverse the bond returns
    returns = Returns(window_length=58, mask=mask_io)
    basic_metals_down = returns[context.DBB] < -.07
    industrial_sector_down = returns[context.XLI] < -.07
    short_term_bond_down = returns[context.BIL] < -.006
    cost_of_debt_up = short_term_bond_down
    dollar_up = returns[context.UUP] > .07
    vix_up = returns[context.VIXY] > 0.25
    # Bear signal if any one of the above is true
    bear_signal = (basic_metals_down |
                   industrial_sector_down |
                   cost_of_debt_up |
                   dollar_up |
                   vix_up
                   )-
    days_since_last_bear_signal = Days_Since_True([bear_signal], mask=mask_io)
    # Go out of the market if bear in recent days
    go_out_of_the_market = days_since_last_bear_signal < context.WAIT_DAYS 
    ##################################################
    #Your stock selection strategy pipeline content ##
    universe = QTradableStocksUS() & Q3000US() & Q500US()
    cash_return = ms.cash_return.latest.rank(mask=universe) 
    fcf_yield = ms.fcf_yield.latest.rank(mask=universe)
    ey = ms.earning_yield.latest.rank(mask=universe)
    rev_growth = ms.revenue_growth.latest.rank(mask=universe)
    roic = ms.roic.latest.rank(mask=universe)
    stable_roic = Mean_Over_STD(
        inputs=[ms.roic],
        mask=universe
    ).rank(mask=universe)
    ltd_to_eq = ms.long_term_debt_equity_ratio.latest.rank(mask=universe)  
    value = (cash_return + fcf_yield).rank()
    qs=sales_growth(inputs=[ms.total_revenue],mask=universe).rank(mask=universe)
    profit=(ms.operation_income_growth.latest.rank(mask=universe))
    pg=ms.diluted_eps_growth.latest.rank().rank(mask=universe)
    quality = roic + ltd_to_eq + stable_roic
    # Create a 'momentum' factor.  
    returns_overall = Returns(window_length=context.MOMENTUM_LOOKBACK_DAYS+context.MOMENTUM_SKIP_DAYS)  
    returns_recent = Returns(window_length=context.MOMENTUM_SKIP_DAYS)  
    momentum = returns_overall - returns_recent  
    # Filters for top quality and momentum to use in our selection criteria  
    top_quality = quality.top(context.TOP_ROIC_QTY, mask=universe)  
    top_quality_momentum = momentum.top(context.TARGET_SECURITIES, mask=top_quality)  
    pipe = Pipeline(columns={ 
            ## In & out pipeline output ##
            'go_out_of_the_market': go_out_of_the_market,
            'bear_signal': bear_signal,
            'days_since_last_bear_signal': days_since_last_bear_signal,
            'basic_metals_down': Days_Since_True([basic_metals_down], mask=mask_io) < context.WAIT_DAYS,
            'industrial_sector_down': Days_Since_True([industrial_sector_down], mask=mask_io) < context.WAIT_DAYS,
            'cost_of_debt_up': Days_Since_True([cost_of_debt_up], mask=mask_io) < context.WAIT_DAYS,
            'dollar_up': Days_Since_True([dollar_up], mask=mask_io) < context.WAIT_DAYS,
            'mask_io': mask_io,
            ## Your stock selection strategy pipeline output ##  
            'top_quality_momentum': top_quality_momentum,
            'universe': universe,
            },
    )
    return pipe
def rebalance_when_out_of_the_market(context, data):
    # Get signal. All rows with non-missing values are the same. Just choose the first one.
    df = algo.pipeline_output('pipeline') 
    go_out_of_the_market = df.loc[df.mask_io].go_out_of_the_market[0]
    if go_out_of_the_market:
        # Go all bonds
        order_optimal_portfolio(  
            objective = opt.TargetWeights(context.TRADE_WEIGHTS_OUT), 
            constraints = []  
        )
def rebalance_when_in_the_market(context, data):
    # Get signal. All rows with non-missing values are the same. Just choose the first one.
    df = algo.pipeline_output('pipeline') 
    go_out_of_the_market = df.loc[df.mask_io].go_out_of_the_market[0]
    if not go_out_of_the_market:
        ## Your stock selection strategy ##
        df = algo.pipeline_output('pipeline')  
        current_holdings = context.portfolio.positions
        #rule = 'top_quality_momentum & (trend_up or (not trend_up & index in @current_holdings))'
        rule = 'top_quality_momentum'
        stocks_to_hold = df[df['universe']].query(rule).index
        # Set desired stock weights  
        # Equally weight  
        stock_weight = 1.0 / context.TARGET_SECURITIES  
        context.stock_weights = pd.Series(index=stocks_to_hold, data=stock_weight)  
        order_optimal_portfolio(  
            objective = opt.TargetWeights(context.stock_weights), 
            constraints = []  
        )
def record_signals(context, data):
    df = algo.pipeline_output('pipeline') 
    in_the_market = not df.loc[df.mask_io].go_out_of_the_market[0]
    dollar = df.dollar_up[0]
    debt = df.cost_of_debt_up[0]
    metals = df.basic_metals_down[0]
    industrials = df.industrial_sector_down[0]
    # Record values for testing
    record(in_the_market=in_the_market)
    record(dollar=dollar, debt=debt, metals=metals, industrials=industrials)

Hi, I had a similar-ish strategy, but I was wondering whether there was anyway to do the six month momentum indicator faster? I found a similar strategy to what I wanted to do on the quant connect forums, but it's taking way too long to backtest. 

Hi Thanks for sharing, I think the momentum factor in the text strat performs better. I am still trying to get it work on Quantconnect but not even close!