def open_position(context, data):
for ticker in context.tickers:
macd, signal = _get_macd(data, ticker)
if macd[-1] > signal[-1] and not context.bought[ticker]:
order_target_percent(ticker, context.weights[ticker])
context.boughtPrice[ticker] = data.current(ticker, 'price')
context.bought[ticker] = True
log.info(
"Opened Long %s Position; MACD_val: %.5f; Open Position Price: %.5f; Bought: %s; Sold: %s"
% (ticker, macd[-1] - signal[-1], context.boughtPrice[ticker],
context.bought[ticker], context.sold[ticker]))
if macd[-1] < signal[-1] and not context.sold[ticker]:
order_target_percent(ticker, -context.weights[ticker])
context.boughtPrice[ticker] = data.current(ticker, 'price')
context.sold[ticker] = True
log.info(
"Opened Short %s Position; MACD_val: %.5f; Open Position Price: %.5f; Bought: %s; Sold: %s"
% (ticker, macd[-1] - signal[-1], context.boughtPrice[ticker],
context.bought[ticker], context.sold[ticker]))
def close_position(context, data):
for ticker in context.tickers:
#If we have a position check sell conditions
macd, signal = _get_macd(data, ticker)
if macd[-1] < signal[-1] and context.portfolio.positions[
ticker].amount != 0 and context.bought[ticker]:
order_target_percent(ticker, 0)
context.bought[ticker] = False
log.info(
"Closed Long %s Position; MACD_val: %.5f; Close Position Price: %.5f; Bought: %s; Sold: %s"
%
(ticker, macd[-1] - signal[-1], data.current(ticker, 'price'),
context.bought[ticker], context.sold[ticker]))
if macd[-1] > signal[-1] and context.portfolio.positions[
ticker].amount != 0 and context.sold[ticker]:
order_target_percent(ticker, 0)
context.sold[ticker] = False
log.info(
"Closed Short %s Position; MACD_val: %.5f; Close Position Price: %.5f; Bought: %s; Sold: %s"
%
(ticker, macd[-1] - signal[-1], data.current(ticker, 'price'),
context.bought[ticker], context.sold[ticker]))
def handle_data(context, data):
if context.portfolio.positions[context.XIV].amount > 0:
price = data.current(context.XIV, 'price')
# set break even
if price - context.XIV_BuyPrice >= 1:
if context.XIV_BuyPrice > context.XIV_SellLossPrice:
context.XIV_SellLossPrice = context.XIV_BuyPrice
#If we have a position check sell conditions
if price <= context.XIV_SellLossPrice and len(get_open_orders()) == 0:
order_target_percent(context.XIV, 0)
context.xiv_sell = False
context.xiv_buy = False
if context.portfolio.positions[context.VXX].amount > 0:
price = data.current(context.VXX, 'price')
if price <= context.VXX_SellLossPrice and len(get_open_orders()) == 0:
order_target_percent(context.VXX, 0)
context.vxx_buy = False
context.vxx_sell = False
if price >= context.VXX_SellProfitPrice and len(
get_open_orders()) == 0:
order_target_percent(context.VXX, 0)
context.vxx_buy = False
context.vxx_sell = False
def watch(context, data): # On schedule, process any sids in watch_list
prices = data.history(context.watch_list, 'close', 2,
'1d') # Daily, couple days
for s in context.watch_list:
if s not in context.portfolio.positions: # If sold elsewhere, drop it from watch
context.watch_list.remove(s)
continue
# Slope of prices, minute
slp = slope(
data.history(s, 'close', 60,
'1m').dropna()) # Minutes, note dropna(), important
if slp < 0: # Close if downward
log.info('sell {} at {} prv {} {}%'.format(
s.symbol, data.current(s, 'price'), '%.2f' % prices[s][0],
'%.0f' % (100 * data.current(s, 'price') / prices[s][0])))
order_target(s, 0) # Close/sell
context.watch_list.remove(s)
# Any new for price jump watch_list
prices = data.history(context.portfolio.positions.keys(), 'close', 2,
'1d') # Couple days
for s in context.portfolio.positions: # Add to watch_list with price jump
if not data.can_trade(s): continue
if data.current(
s,
'price') > 1.10 * prices[s][0]: # If price has jumped upward
if s in context.watch_list: continue
log.info('{} to watch_list at {} prv {} {}%'.format(
s.symbol, data.current(s, 'price'), '%.2f' % prices[s][0],
'%.0f' % (100 * data.current(s, 'price') / prices[s][0])))
context.watch_list.append(s)
def my_rebalance(context, data):
DBC_prices = data.history(context.DBC, "price", 100, "1d")
ema12 = talib.EMA(DBC_prices, 12)
ema26 = talib.EMA(DBC_prices, 26)
macd = ema12 - ema26
signal = talib.EMA(macd, 9)
record(MACD_val=macd[-1] - signal[-1])
record(macd=macd[-1])
record(exp3=signal[-1])
if macd[-2] < signal[-2] and macd[-1] > signal[-1] and not context.bought:
order(context.DBC, 40)
log.info("------------------------------------")
log.info(
"Opened Long Position; MACD_val: %.3f; PNL: %.3f; Market Value: %.5f"
% (macd[-1] - signal[-1], context.portfolio.pnl,
context.portfolio.portfolio_value))
# log.info(context.portfolio.positions)
context.boughtPrice = data.current(context.DBC, 'price')
context.bought = True
context.sold = False
if macd[-2] > signal[-2] and macd[-1] < signal[-1] and not context.sold:
order(context.DBC, -40)
log.info("------------------------------------")
log.info(
"Opened Short Position; MACD_val: %.5f; PNL: %.5f; Market Value: %.5f"
% (macd[-1] - signal[-1], context.portfolio.pnl,
context.portfolio.portfolio_value))
# log.info(context.portfolio.positions)
context.boughtPrice = data.current(context.DBC, 'price')
context.bought = False
context.sold = True
def set_fixed_stop_short(context, data):
#Only call this once when the stock is bought
if data.can_trade(context.GDXJ):
price = data.current(context.GDXJ, 'price')
context.BuyPrice = price
context.SellLossPrice= price + (context.StopLossPct * price)
context.SellProfitPrice= price - (price * context.TakeProfitPct)
def set_fixed_stop_vxx(context, data):
#Only call this once when the stock is bought
if data.can_trade(context.VXX):
price = data.current(context.VXX, 'price')
context.VXX_BuyPrice = price
context.VXX_SellLossPrice= max(context.StopPrice, price - (context.VXX_StopLossPct * price))
context.VXX_SellProfitPrice= (price * context.VXX_TakeProfitPct) + price
def handle_data(context, data):
#If we have a position check sell conditions
if context.portfolio.positions[context.XIV].amount > 0:
price = data.current(context.XIV, 'price')
if price < context.SellLossPrice and len(get_open_orders()) == 0:
order_target_percent(context.XIV, 0)
context.sell = False
print("SL hit")
def handle_data(context, data):
#If we have a position check sell conditions
if context.portfolio.positions[context.GDXJ].amount != 0 and context.bought:
price = data.current(context.GDXJ, 'price')
if price > context.SellProfitPrice and len(get_open_orders()) == 0:
order_target_percent(context.GDXJ, 0)
context.bought = False
if price < context.SellLossPrice and len(get_open_orders()) == 0:
order_target_percent(context.GDXJ, 0)
context.bought = False
if context.portfolio.positions[context.GDXJ].amount != 0 and context.sold:
price = data.current(context.GDXJ, 'price')
if price < context.SellProfitPrice and len(get_open_orders()) == 0:
order_target_percent(context.GDXJ, 0)
context.sold = False
if price > context.SellLossPrice and len(get_open_orders()) == 0:
order_target_percent(context.GDXJ, 0)
context.sold = False
def handle_data(context, data):
if context.portfolio.positions[
context.XIV].amount > 0 and context.BuyPrice > 0:
price = data.current(context.XIV, 'price')
if price / context.BuyPrice >= 1.1:
if context.BuyPrice > context.SellLossPrice:
context.SellLossPrice = context.BuyPrice
#context.SellLossPrice = price / 1.1
log.info("New XIV stop loss price %.2f" %
context.SellLossPrice)
#FR#1: Add profit take 50%
if price / context.BuyPrice >= 1.5:
if context.BuyPrice > context.SellLossPrice:
context.SellLossPrice = price
#If we have a position check sell conditions
if price <= context.SellLossPrice and len(get_open_orders()) == 0:
order_target_percent(context.XIV, 0)
context.sell = False
context.buy = False
def daily(context, data):
log.info("Weights: DBC %.5f, SPY %.5f, IEI %.5f, GLD %.5f, IEF %.5f, TLT %.5f" %\
(context.weights[context.DBC], context.weights[context.SPY],\
context.weights[context.IEI], context.weights[context.GLD],\
context.weights[context.IEF], context.weights[context.TLT]))
# log.info("Amount: DBC %.5f, SPY %.5f, IEI %.5f, GLD %.5f, IEF %.5f, TLT %.5f" %\
# (context.portfolio.positions[context.DBC].amount,\
# context.portfolio.positions[context.SPY].amount,\
# context.portfolio.positions[context.IEI].amount,\
# context.portfolio.positions[context.GLD].amount,\
# context.portfolio.positions[context.IEF].amount,\
# context.portfolio.positions[context.TLT].amount))
# log.info("Prices: DBC %.5f, SPY %.5f, IEI %.5f, GLD %.5f, IEF %.5f, TLT %.5f" %\
# (data.current(context.DBC,'price'), data.current(context.SPY,'price'),\
# data.current(context.IEI,'price'), data.current(context.GLD,'price'),\
# data.current(context.IEF,'price'), data.current(context.TLT,'price')))
DBC = context.portfolio.positions[context.DBC].amount * data.current(
context.DBC, 'price')
SPY = context.portfolio.positions[context.SPY].amount * data.current(
context.SPY, 'price')
IEI = context.portfolio.positions[context.IEI].amount * data.current(
context.IEI, 'price')
GLD = context.portfolio.positions[context.GLD].amount * data.current(
context.GLD, 'price')
IEF = context.portfolio.positions[context.IEF].amount * data.current(
context.IEF, 'price')
TLT = context.portfolio.positions[context.TLT].amount * data.current(
context.TLT, 'price')
log.info("Market Value: DBC %.5f, SPY %.5f, IEI %.5f, GLD %.5f, IEF %.5f, TLT %.5f" %\
(DBC, SPY, IEI, GLD, IEF, TLT))
log.info("Portfolio Value: %.5f" % (context.portfolio.portfolio_value))
leverage = context.account.leverage
log.info("Daily Leverage: %.5f" % (leverage))
record(leverage=leverage)
def daily(context, data):
log.info(
"Weights: DBC %.5f, SPY %.5f, IEI %.5f, GLD %.5f, IEF %.5f, TLT %.5f" %
(context.weights[context.DBC], context.weights[context.SPY],
context.weights[context.IEI], context.weights[context.GLD],
context.weights[context.IEF], context.weights[context.TLT]))
log.info(
"Amount: DBC %.5f, SPY %.5f, IEI %.5f, GLD %.5f, IEF %.5f, TLT %.5f" %
(context.portfolio.positions[context.DBC].amount,
context.portfolio.positions[context.SPY].amount,
context.portfolio.positions[context.IEI].amount,
context.portfolio.positions[context.GLD].amount,
context.portfolio.positions[context.IEF].amount,
context.portfolio.positions[context.TLT].amount))
log.info(
"Prices: DBC %.5f, SPY %.5f, IEI %.5f, GLD %.5f, IEF %.5f, TLT %.5f" %
(data.current(context.DBC, 'price'), data.current(
context.SPY, 'price'), data.current(context.IEI, 'price'),
data.current(context.GLD, 'price'), data.current(
context.IEF, 'price'), data.current(context.TLT, 'price')))
DBC = context.portfolio.positions[context.DBC].amount * data.current(
context.DBC, 'price')
SPY = context.portfolio.positions[context.SPY].amount * data.current(
context.SPY, 'price')
IEI = context.portfolio.positions[context.IEI].amount * data.current(
context.IEI, 'price')
GLD = context.portfolio.positions[context.GLD].amount * data.current(
context.GLD, 'price')
IEF = context.portfolio.positions[context.IEF].amount * data.current(
context.IEF, 'price')
TLT = context.portfolio.positions[context.TLT].amount * data.current(
context.TLT, 'price')
log.info(
"Market Value: DBC %.5f, SPY %.5f, IEI %.5f, GLD %.5f, IEF %.5f, TLT %.5f"
% (DBC, SPY, IEI, GLD, IEF, TLT))
log.info("Portfolio Value: %.5f" % (context.portfolio.portfolio_value))
def set_fixed_stop(context, data):
#Only call this once when the stock is bought
if data.can_trade(context.XIV):
price = data.current(context.XIV, 'price')
context.BuyPrice = price
context.SellLossPrice= price - (context.StopLossPct * price)
def my_rebalance(context,data):
xiv_prices = data.history(context.XIV, "price", 1600, "1m").resample('30T', closed='right', label='right').last().dropna()
#convert to 2 hour:
xiv2hr = []
if '20:00:00+00:00' in str(xiv_prices.index[-1]) or '21:00:00+00:00' in str(xiv_prices.index[-1]):
xiv2hr.append([xiv_prices.index[-28], xiv_prices[-28]])
xiv2hr.append([xiv_prices.index[-27], xiv_prices[-27]])
xiv2hr.append([xiv_prices.index[-23], xiv_prices[-23]])
xiv2hr.append([xiv_prices.index[-19], xiv_prices[-19]])
xiv2hr.append([xiv_prices.index[-15], xiv_prices[-15]])
xiv2hr.append([xiv_prices.index[-14], xiv_prices[-14]])
xiv2hr.append([xiv_prices.index[-10], xiv_prices[-10]])
xiv2hr.append([xiv_prices.index[-6], xiv_prices[-6]])
xiv2hr.append([xiv_prices.index[-2], xiv_prices[-2]])
xiv2hr.append([xiv_prices.index[-1], xiv_prices[-1]])
context.last_bar = True
elif '19:30:00+00:00' in str(xiv_prices.index[-1]) or '20:30:00+00:00' in str(xiv_prices.index[-1]):
xiv2hr.append([xiv_prices.index[-31], xiv_prices[-31]])
xiv2hr.append([xiv_prices.index[-27], xiv_prices[-27]])
xiv2hr.append([xiv_prices.index[-26], xiv_prices[-26]])
xiv2hr.append([xiv_prices.index[-22], xiv_prices[-22]])
xiv2hr.append([xiv_prices.index[-18], xiv_prices[-18]])
xiv2hr.append([xiv_prices.index[-14], xiv_prices[-14]])
xiv2hr.append([xiv_prices.index[-13], xiv_prices[-13]])
xiv2hr.append([xiv_prices.index[-9], xiv_prices[-9]])
xiv2hr.append([xiv_prices.index[-5], xiv_prices[-5]])
xiv2hr.append([xiv_prices.index[-1], xiv_prices[-1]])
context.last_bar = False
elif '17:30:00+00:00' in str(xiv_prices.index[-1]) or '18:30:00+00:00' in str(xiv_prices.index[-1]):
xiv2hr.append([xiv_prices.index[-31], xiv_prices[-31]])
xiv2hr.append([xiv_prices.index[-27], xiv_prices[-27]])
xiv2hr.append([xiv_prices.index[-23], xiv_prices[-23]])
xiv2hr.append([xiv_prices.index[-22], xiv_prices[-22]])
xiv2hr.append([xiv_prices.index[-18], xiv_prices[-18]])
xiv2hr.append([xiv_prices.index[-14], xiv_prices[-14]])
xiv2hr.append([xiv_prices.index[-10], xiv_prices[-10]])
xiv2hr.append([xiv_prices.index[-9], xiv_prices[-9]])
xiv2hr.append([xiv_prices.index[-5], xiv_prices[-5]])
xiv2hr.append([xiv_prices.index[-1], xiv_prices[-1]])
context.last_bar = False
elif '15:30:00+00:00' in str(xiv_prices.index[-1]) or '16:30:00+00:00' in str(xiv_prices.index[-1]):
xiv2hr.append([xiv_prices.index[-31], xiv_prices[-31]])
xiv2hr.append([xiv_prices.index[-27], xiv_prices[-27]])
xiv2hr.append([xiv_prices.index[-23], xiv_prices[-23]])
xiv2hr.append([xiv_prices.index[-19], xiv_prices[-19]])
xiv2hr.append([xiv_prices.index[-18], xiv_prices[-18]])
xiv2hr.append([xiv_prices.index[-14], xiv_prices[-14]])
xiv2hr.append([xiv_prices.index[-10], xiv_prices[-10]])
xiv2hr.append([xiv_prices.index[-6], xiv_prices[-6]])
xiv2hr.append([xiv_prices.index[-5], xiv_prices[-5]])
xiv2hr.append([xiv_prices.index[-1], xiv_prices[-1]])
context.last_bar = False
else:
log.error("2 HOUR CONVERSION FAILURE")
return
dates, vals = zip(*xiv2hr)
s = pd.Series(vals, index=dates)
rsi = talib.RSI(s,2)
RSI5 = talib.RSI(s, 5)
# XIV
# BUY RULE
if context.xiv_buy is False and rsi[-2] < 70 and rsi[-1] >= 70 and context.portfolio.positions[context.XIV].amount == 0:
context.xiv_buy = True
# SELL RULE
if rsi[-2] > 85 and rsi[-1] <= 85 and context.portfolio.positions[context.XIV].amount > 0:
order_target_percent(context.XIV, 0)
context.xiv_buy = False
# VXX
if RSI5[-1] < 70:
if rsi[-2] > 85 and rsi[-1] <= 85:
if context.portfolio.positions[context.VXX].amount == 0:
#if len(get_open_orders()) == 0 and context.portfolio.positions[context.VXX].amount == 0:
context.vxx_buy = True
if context.portfolio.positions[context.VXX].amount > 0 and len(get_open_orders()) == 0:
if rsi[-2] < 70 and rsi[-1] >= 70:
order_target_percent(context.VXX, 0)
# panic button
high = (data.history(context.XIV, "high", 119, "1m")).max()
if context.last_bar:
high = (data.history(context.XIV, "high", 29, "1m")).max()
price = data.current(context.XIV, 'price')
if ((high/price) - 1) > .1 and len(get_open_orders()) == 0:
order_target_percent(context.XIV, 0)
context.xiv_sell = False
context.xiv_buy = False
def set_fixed_stop_xiv(context, data):
#Only call this once when the stock is bought
price = data.current(context.XIV, 'price')
context.XIV_BuyPrice = price
context.XIV_SellLossPrice= max(context.StopPrice, price - (context.XIV_StopLossPct * price))
def my_rebalance(context, data):
xiv_prices = data.history(context.XIV, "price", 1600,
"1m").resample('30T',
closed='right',
label='right').last().dropna()
#convert to 2 hour:
xiv2hr = []
if '20:00:00+00:00' in str(
xiv_prices.index[-1]) or '21:00:00+00:00' in str(
xiv_prices.index[-1]):
xiv2hr.append([xiv_prices.index[-28], xiv_prices[-28]])
xiv2hr.append([xiv_prices.index[-27], xiv_prices[-27]])
xiv2hr.append([xiv_prices.index[-23], xiv_prices[-23]])
xiv2hr.append([xiv_prices.index[-19], xiv_prices[-19]])
xiv2hr.append([xiv_prices.index[-15], xiv_prices[-15]])
xiv2hr.append([xiv_prices.index[-14], xiv_prices[-14]])
xiv2hr.append([xiv_prices.index[-10], xiv_prices[-10]])
xiv2hr.append([xiv_prices.index[-6], xiv_prices[-6]])
xiv2hr.append([xiv_prices.index[-2], xiv_prices[-2]])
xiv2hr.append([xiv_prices.index[-1], xiv_prices[-1]])
context.last_bar = True
elif '19:30:00+00:00' in str(
xiv_prices.index[-1]) or '20:30:00+00:00' in str(
xiv_prices.index[-1]):
xiv2hr.append([xiv_prices.index[-31], xiv_prices[-31]])
xiv2hr.append([xiv_prices.index[-27], xiv_prices[-27]])
xiv2hr.append([xiv_prices.index[-26], xiv_prices[-26]])
xiv2hr.append([xiv_prices.index[-22], xiv_prices[-22]])
xiv2hr.append([xiv_prices.index[-18], xiv_prices[-18]])
xiv2hr.append([xiv_prices.index[-14], xiv_prices[-14]])
xiv2hr.append([xiv_prices.index[-13], xiv_prices[-13]])
xiv2hr.append([xiv_prices.index[-9], xiv_prices[-9]])
xiv2hr.append([xiv_prices.index[-5], xiv_prices[-5]])
xiv2hr.append([xiv_prices.index[-1], xiv_prices[-1]])
context.last_bar = False
elif '17:30:00+00:00' in str(
xiv_prices.index[-1]) or '18:30:00+00:00' in str(
xiv_prices.index[-1]):
xiv2hr.append([xiv_prices.index[-31], xiv_prices[-31]])
xiv2hr.append([xiv_prices.index[-27], xiv_prices[-27]])
xiv2hr.append([xiv_prices.index[-23], xiv_prices[-23]])
xiv2hr.append([xiv_prices.index[-22], xiv_prices[-22]])
xiv2hr.append([xiv_prices.index[-18], xiv_prices[-18]])
xiv2hr.append([xiv_prices.index[-14], xiv_prices[-14]])
xiv2hr.append([xiv_prices.index[-10], xiv_prices[-10]])
xiv2hr.append([xiv_prices.index[-9], xiv_prices[-9]])
xiv2hr.append([xiv_prices.index[-5], xiv_prices[-5]])
xiv2hr.append([xiv_prices.index[-1], xiv_prices[-1]])
context.last_bar = False
elif '15:30:00+00:00' in str(
xiv_prices.index[-1]) or '16:30:00+00:00' in str(
xiv_prices.index[-1]):
xiv2hr.append([xiv_prices.index[-31], xiv_prices[-31]])
xiv2hr.append([xiv_prices.index[-27], xiv_prices[-27]])
xiv2hr.append([xiv_prices.index[-23], xiv_prices[-23]])
xiv2hr.append([xiv_prices.index[-19], xiv_prices[-19]])
xiv2hr.append([xiv_prices.index[-18], xiv_prices[-18]])
xiv2hr.append([xiv_prices.index[-14], xiv_prices[-14]])
xiv2hr.append([xiv_prices.index[-10], xiv_prices[-10]])
xiv2hr.append([xiv_prices.index[-6], xiv_prices[-6]])
xiv2hr.append([xiv_prices.index[-5], xiv_prices[-5]])
xiv2hr.append([xiv_prices.index[-1], xiv_prices[-1]])
context.last_bar = False
else:
log.error("2 HOUR CONVERSION FAILURE")
return
dates, vals = zip(*xiv2hr)
s = pd.Series(vals, index=dates)
rsi = talib.RSI(s, 2)
#rsi7 = talib.RSI(s,7)
record(RSI_2=rsi[-1])
#FR#4: Improve buy/sell condition
if context.rsi_last == -1:
context.rsi_last = rsi[-2]
#Using Agent conditions
if context.buy is False and context.rsi_last < TraderAgent_RSIBASED_RGQF.RsiUpperLimit and rsi[
-1] >= TraderAgent_RSIBASED_RGQF.RsiUpperLimit and context.portfolio.positions[
context.XIV].amount == 0:
context.buy = True
if context.rsi_last > TraderAgent_RSIBASED_RGQF.RsiUpperLimitTrend and rsi[
-1] <= TraderAgent_RSIBASED_RGQF.RsiUpperLimitTrend and context.portfolio.positions[
context.XIV].amount > 0 and len(get_open_orders()) == 0:
order_target_percent(context.XIV, 0)
context.buy = False
if context.buyVXX is False and rsi[
-1] <= TraderAgent_RSIBASED_RGQF.RsiLowerLimit and context.portfolio.positions[
context.VXX].amount == 0:
context.buyVXX = True
# Buy rule
if context.buyVXX is False and context.rsi_last > TraderAgent_RSIBASED_RGQF.RsiLowerLimit and rsi[
-1] <= TraderAgent_RSIBASED_RGQF.RsiLowerLimit and context.portfolio.positions[
context.XIV].amount == 0 and context.portfolio.positions[
context.VXX].amount == 0:
context.buyVXX = True
# Sell rule
if context.rsi_last < TraderAgent_RSIBASED_RGQF.RsiLowerLimitTrend and rsi[
-1] >= TraderAgent_RSIBASED_RGQF.RsiLowerLimitTrend and context.portfolio.positions[
context.VXX].amount > 0:
order_target_percent(context.VXX, 0)
context.buyVXX = False
#End of agent usage
# panic button hard for safety:
high = (data.history(context.XIV, "high", 119, "1m")).max()
if context.last_bar:
high = (data.history(context.XIV, "high", 29, "1m")).max()
price = data.current(context.XIV, 'price')
if ((high / price) - 1) > .1:
order_target_percent(context.XIV, 0)
context.sell = False
context.buy = False
#Update for next cicle
context.rsi_last = rsi[-1]
