def initialize(context):
c = context
# Some Risk-On universes
core_etf = symbols('QQQ', 'XLP', 'TLT', 'IEF')
tact_etf = symbols('XLV', 'XLY', 'TLT', 'GLD')
VAAG12 = symbols('SPY', 'IWM', 'QQQ', 'VGK', 'EWJ', 'VWO', 'VNQ', 'GSG',
'GLD', 'TLT', 'LQD', 'HYG')
VAAG4 = symbols('SPY', 'VEA', 'VWO', 'BND')
c.RISK = VAAG4 # Which Riskasset universe to use?
alletf = symbols('QQQ', 'XLP', 'TLT', 'IEF', 'SPY', 'IWM', 'QQQ', 'VGK',
'EWJ', 'VWO', 'VNQ', 'GSG', 'GLD', 'TLT', 'LQD', 'HYG',
'XLV', 'XLY', 'GLD', 'VEA') # 'TLO' repleced by 'TLT'
# Some Risk Off (Cash) universes
c.CASH = symbols('SHY', 'IEF', 'LQD')
schedule_function(define_weights, date_rules.month_end(Month_Offset),
time_rules.market_open(minutes=64))
log.info('define_weights for last trading day of the month')
schedule_function(trade_sell, date_rules.month_end(Month_Offset),
time_rules.market_open(minutes=65))
log.info('trade_sell for last trading day of the month')
if TplusX > 0:
schedule_function(
trade_buy, date_rules.month_start(max(0,
TplusX - 1 - Month_Offset)),
time_rules.market_open(minutes=66))
log.info('trade_buy for month day ' +
str(max(0, TplusX - Month_Offset)))
else:
schedule_function(trade_buy, date_rules.month_end(Month_Offset),
time_rules.market_open(minutes=66))
log.info('trade_buy last trading day of the month')
stocks = core_etf + tact_etf
context.sell = {}
context.buy = {}
for stock in stocks:
context.sell[stock] = 0
context.buy[stock] = 0
context.difference_perc = 0.02
context.stops = {}
context.stoploss = 0.30
context.stoppedout = []
def get_date_rules(freq):
if freq == "day":
start_rule = date_rules.every_day()
end_rule = date_rules.every_day()
elif freq == "week":
start_rule = date_rules.week_start()
end_rule = date_rules.week_end()
elif freq == "month":
start_rule = date_rules.month_start()
end_rule = date_rules.month_end()
else:
start_rule = date_rules.every_day()
end_rule = date_rules.every_day()
date_rule = {"start": start_rule, "end": end_rule}
time_rule = {
"start": time_rules.market_open(),
"end": time_rules.market_close()
}
return date_rule, time_rule
def initialize(context):
"""
Called once at the start of the algorithm.
"""
context.assets = [
(symbol('IEF'), 0.40), # bond etf
(symbol('QQQ'), 0.60)
] # Nasdaq etf
context.first_rebalance = 0
set_commission(commission.PerShare(cost=0.005, min_trade_cost=1))
# Rebalance every month, at market open.
schedule_function(my_rebalance, date_rules.month_end(days_offset=0),
time_rules.market_open(minutes=1))
def initialize(context):
"""
Called once at the start of the algorithm.
"""
# Rebalance every day, 1 hour after market open.
schedule_function(rebalance, date_rules.month_end(),
time_rules.market_open(hours=1))
# Record tracking variables at the end of each day.
schedule_function(
record_vars,
date_rules.every_day(),
time_rules.market_close(),
)
# Create our dynamic stock selector.
print('ATTACH PIPELINE')
attach_pipeline(make_pipeline(), 'pipeline')
print('PIPELINE ATTACHED')
def initialize(context):
context.universe = StaticAssets(symbols(
'XLY', # Select SPDR U.S. Consumer Discretionary
'XLP', # Select SPDR U.S. Consumer Staples
'XLE', # Select SPDR U.S. Energy
'XLF', # Select SPDR U.S. Financials
'XLV', # Select SPDR U.S. Healthcare
'XLI', # Select SPDR U.S. Industrials
'XLB', # Select SPDR U.S. Materials
'XLK', # Select SPDR U.S. Technology
'XLU', # Select SPDR U.S. Utilities
))
# my_pipe = Pipeline()
my_pipe = make_pipeline(context)
# context.universe = StaticAssets(etfs)
attach_pipeline(my_pipe, 'my_pipeline')
schedule_function(func=rebalance,
date_rule=date_rules.month_end(days_offset=2),
# date_rule=date_rules.every_day(),
time_rule=time_rules.market_close(minutes=30))