Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Close Open Positions X Days After Opening Them
David Styers
posted Oct 13, 2018
API Getting Started Using Data Tools and Tips Value

Hey Guys,

I am trying to get my algorithm to cover positions that it has entered into 10 trading days after it opened the position. I tried this using context.holding_time to create an empty dict. Then I added securities that I have entered into as a key with a value of zero and added to that value in the rebalance function until it gets to 10 then close the position. This doesn't seem to work as the backtest results aren't indicative of it following this pattern. I'd appreciate any help with this that you guys can offer, this has had me scratching my head. Thanks!

2 responses
Dan Whitnable
Oct 13, 2018

Take a look at the attached algo. The logic to update the 'days held' is put into a separate function and, more importantly, is based on if a security is in the portfolio and not simply that it was ordered. That should be more positive.

There is also an added logging line to list the currently held positions and how long they have been held. The logs show that securities are indeed held for 10 days and then closed.

Note that an interesting thing happens when a security is held for 10 days AND it is still in the open list. Take a look at FCX on 2011-01-28 in the logs as an example. Not sure how you want your logic to handle that situation.

Hope that helps.

David Styers
Oct 13, 2018

Thank you, this is exactly what I was trying to accomplish.

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.