set_long_only()

set_symbol_lookup_date('2005-01-01') # because EEM has multiple sid's.

context.secs = symbols('TIP', 'TLT', 'VNQ', 'EEM', 'EFA', 'VTI') # Securities

context.pcts = [ 0.15, 0.15, 0.15, 0.1, 0.15, 0.3 ] # Percentages

context.ETFs = zip(context.secs, context.pcts) # list of tuples

# Change this variable if you want to rebalance less frequently

context.rebalance_days = 20 # 1 = can rebalance any day, 20 = every month

# Set the trade time, if in minute mode, we trade between 10am and 3pm.

context.rebalance_date = None

context.rebalance_hour_start = 10

# Get the current exchange time, in the exchange timezone

exchange_time = pd.Timestamp(get_datetime()).tz_convert('US/Eastern')

# If it's a rebalance day (defined in intialize()) then rebalance:

if context.rebalance_date == None or \

exchange_time >= context.rebalance_date + datetime.timedelta(days=context.rebalance_days):

# Do nothing if there are open orders:

if has_orders(context):

print('has open orders - doing nothing!')

return

"""

For every stock or cash position, if the target percent is off by the threshold

amount (5% as a default), then place orders to adjust all positions to the target

percent of the current portfolio value.

"""

# if the backtest is in minute mode

if get_environment('data_frequency') == 'minute':

# rebalance if we are in the user specified rebalance time-of-day window

if exchange_time.hour < context.rebalance_hour_start or \

exchange_time.hour > context.rebalance_hour_end:

return

need_full_rebalance = False

portfolio_value = context.portfolio.portfolio_value

# rebalance if we have too much cash

if context.portfolio.cash / portfolio_value > threshold:

need_full_rebalance = True

# or rebalance if an ETF is off by the given threshold

for sid, target in context.ETFs:

pos = context.portfolio.positions[sid]

position_pct = (pos.amount * pos.last_sale_price) / portfolio_value

# if any position is out of range then rebalance the whole portfolio

if abs(position_pct - target) > threshold:

need_full_rebalance = True

break # don't bother checking the rest

# perform the full rebalance if we flagged the need to do so

# What we should do is first sell the overs and then buy the unders.

if need_full_rebalance:

for sid, target in context.ETFs:

order_target_percent(sid, target)

log.info("Rebalanced at %s" % str(exchange_time))

# Return true if there are pending orders.

has_orders = False

for sec in context.secs:

orders = get_open_orders(sec)

if orders:

for oo in orders:

message = 'Open order for {amount} shares in {stock}'

message = message.format(amount=oo.amount, stock=sec)

log.info(message)

has_orders = True