Peter,
Need guidance on some EXIT logic using the ATR stop on Daily data for aapl (out of a basket of 10 stocks):

• If LONG aapl, Then
  
• .. If Close Close + aapl_atr14
  -...Then Sell entire position

How would this look in code?

Thanks!

Conversely:
- If SHORT aapl, Then
- .. If Close > Close + aapl_atr14
-...Then Sell entire position

...basically need to know if there's a parameter i can call that checks if:

1. I have a position in the security either LONG or SHORT... (from a set of securities)
   
2. ..if so....If I"m LONG or SHORT in that security
   
3. Then add the logic:
   
4. If LONG then: If Close (is less than) Close -aapl_atr14, Then SELL entire position
   
5. If SHORT then: If Close (is greater than) Close +aapl_atr14, Then SELL entire position

How would 4 and 5 look in code?

Thanks again!

Hello Adam,

(Sorry - I deleted the wrong post.)

I've made a start so maybe you can build on this? I've disabled the volume slippage model (I think) otherwise the algo would keep selling the same security repeatedly in the case of partial fills.

P.

Thanks Peter...will surely take a look! Would "context.portfolio.positions[stock]" define 1) what open positions i have? 2) whether each of those open positions are long OR short.....given a long/short strategy?

Hello Adam,

I believe that

 context.portfolio.positions[stock]  

is the net position for the security, with a short position denoted by a -ve amount. So purchasing 100 shares at $100 and 100 shares later at $120 would give an 'amount' of 200 and a 'cost_basis' of $110. It's an assumption I haven't checked thoroughly.

P.

Hello Adam,

Here is an algo that enters trades based on candle patterns and exits with ATR stops. It may give you some further ideas.

(I've just realised it's a bad teaching example. The '-100, 100' indicator values have nothing to do with the '-100, 100' position sizes.)

P.

for @batch_transform(window_length=20, refresh_period=0)....does '20' corresponding to last 20 trading days? For 'refresh_period' , if i want to check it on a daily basis, would i enter '1'? what does refresh_period = 0 correspond to?

...Also if i wanted to add in , say, 2 more exit signals? Such that i have 3 total exit signals, and whichever is triggered first, i will stop out of that postion? could you provide some insight how that would look in code?
Thanks!

Hello Adam,

Yes, the '20' denotes the length of a rolling windows of trading days. To see what 'batch_transform is doing run this:

@batch_transform(window_length=4, refresh_period=0)  
def get_data(datapanel):  
    Close  = datapanel['close_price']  
    return Close

def initialize(context):  
    context.stocks =[sid(2)]  
def handle_data(context, data):  
    Close = get_data(data)  
    if Close is None:  
        return  
    print Close  

You will see that in daily mode the batch transform updates each day for a frequency of 0 and 1. Try a frequency of 2.

To add more exit signals imply use the 'or' syntax:

if exit_condition_1 or \  
        exit_condition_2 0r \  
        exit_condition_3:  
    order(stock, -position)  

P.

Thanks Peter..that's exactly what i was looking for. Had another question:

1. How to calculate daily drawdowns on a) current positions b) portfolio?
   
2. How to calculate 1% of a given position?

Could you give some guidance what the syntax would look like?
Thanks much!

Hello Peter,
Can you possibly reply to above post?

Thanks!

Hello Adam,

I haven't done any drawdown calculations yet, sorry. There is a post here that might help: https://www.quantopian.com/posts/calculation-of-cumulative-max-drawdown

To calculate 1% of a position in a particular security use:

data[sid(24)].close_price * context.portfolio.positions[sid(24)].amount * 0.01  

P.

Hi Peter,
Your algo above has given me an idea how to solve my problem with comparing past values with new values that you tried to solve for me earlier.
Thanks
Omar