dynamic stop loss implementation

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dynamic stop loss implementation

posted Jan 28, 2017

Seeking Help Getting Started Momentum

Hi community,

I am new in both Quantopian and python, so bear with me and my horrible programming skills. I am trying to implement a simple Dynamic Stop loss in few random securities. So far, I am using a small percentage of the entry price i.e. 1-2% to set up the width of the STOP LOSS.

However, after analyzing results and transactions I appreciate there is a problem buying/selling. I switched on a counter to monitor the amount of times I buy or sell shares of a security.

QUESTIONS:
1-When I plot SMA on record()...which of the securities is being displayed? Presumably each security has its own SMA value...
2-If I rebalance everyday, I should only buy shares of a security ONCE every day. Looking into the transaction details I see I buy multiple times the same security.
3-How can I implement a cleaner code to control the dynamic stop loss and the transactions?

Many thanks,

Juan

2 responses

Sebastian Groß

Hey, here some answers:

Since the SMAs are recorded after looping through the SMA-calculation for all securities, you will record the last security. You could use record in the for loop (see appended backtest) to record the SMA10 for all securities.
The rebalance-function is only called once a day at market open. After placing your order, it must be filled. But this can take some time depending on the security.
In Python, you don't have to initialize variables. Adjust your comments, when changing code. Try to set your algos parameters at the begin, then you are able to change them more easily. Use if ... else .... and stack them, when possible. Don't catch an error in an finished algrithm, unless the Exception is a feature.

Hi Sebastian,

Many thanks for your example algo and your good tips. I had a go to modify your example and clearly now I have more control of what the code does. (attached backtest only buying SPY for debugging)

Now, the only thing that still is not under control is when the price goes over the trailing width. It seems it does not update the stop loss.

I have recorded the value of the the stop loss to monitor when the trailing is switching on...I am sure it must be a simple thing I am not seeing right now.

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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.