def initialize(context):
context.lookback = 12 * 21
context.offset = 1 * 21
context.min_volume = 1E8
context.max_size = 10
context.min_size = 5
context.weight = 0
context.universe = []
if context.broker.name == 'regT':
context.hedge = symbol('SPY')
elif context.broker.name == 'nse-backtest':
context.hedge = symbol('NIFTY-I')
else:
raise ValueError(f'this broker not supported:{context.broker.name}')
context.hedge_threshold = 10000
schedule_function(strategy, date_rules.month_start(days_offset=0),
time_rules.market_close(hours=2, minutes=30))
attach_pipeline(make_strategy_pipeline(context), name='strategy_pipeline')
schedule_function(hedge, date_rules.every_day(),
time_rules.market_open(hours=0, minutes=30))
schedule_function(hedge, date_rules.every_day(),
time_rules.market_close(hours=0, minutes=30))
def initialize(context):
context.lookback = 12*21
context.offset = 1*21
context.size = 5
context.weight = 0
context.candidates = []
context.universe = [
symbol('SPY'), # large cap
symbol('QQQ'), # tech
symbol('VUG'), # growth
symbol('QUAL'), # quality
symbol('MTUM'), # momentum
symbol('IWM'), # small cap
symbol('USMV'), # min vol
symbol('HDV'), # dividend
symbol('VEU'), # world equity
symbol('VWO'), # EM equity
symbol('DBC'), # commodities
symbol('USO'), # oil
symbol('GLD'), # gold
symbol('AGG'), # bonds
symbol('TIP'), # inflation
]
attach_pipeline(make_strategy_pipeline(context), name='strategy_pipeline')
schedule_function(rebalance,
date_rules.month_start(days_offset=0),
time_rules.market_close(hours=2, minutes=30))
def initialize(context):
context.params = {'lookback': 12, 'min_volume': 1E7}
schedule_function(strategy, date_rules.month_start(),
time_rules.market_close(minutes=1))
attach_pipeline(make_strategy_pipeline(context), name='strategy_pipeline')
def initialize(context):
"""
function to define things to do at the start of the strategy
"""
# The context variables can be accessed by other methods
context.params = {'lookback': 12, 'percentile': 0.05, 'min_volume': 1E8}
# Call rebalance function on the first trading day of each month
schedule_function(strategy, date_rules.month_start(),
time_rules.market_close(minutes=1))
# Set up the pipe-lines for strategies
attach_pipeline(make_strategy_pipeline(context), name='strategy_pipeline')
def initialize(context):
"""
function to define things to do at the start of the strategy
"""
context.weights = {} # the weights to trade
# strategy parameters
context.params = {'lookback_vol':252,
'lookback_ret':5,
'percentile':0.05,
'min_volume':1E8,
'universe':100,
}
# Call rebalance function on the first trading day of each week
schedule_function(strategy, date_rules.week_start(),
time_rules.market_close(minutes=30))
# Set up the pipeline
attach_pipeline(make_strategy_pipeline(context),
name='strategy_pipeline')
