Here's a simple toy strategy for beginners to play with. Add additional securities, or alter the MA periods to see if you can smooth the curve out.
(We still can't see the user recorded indicator lines legend...!!!)
def initialize(context):
context.MetricSymbol = symbol('SPY')
context.RiskOnSymbols = symbols('SPY','QQQ')
context.RiskOffSymbols = symbols('TLT','AGG')
def handle_data(context, data):
if get_open_orders():
return
metricClose = data[context.MetricSymbol].close_price
metricSMA = data[context.MetricSymbol].mavg(21)
metricSMA2 = data[context.MetricSymbol].mavg(84)
riskOnPct = (metricSMA/metricClose) * ((metricSMA *2 / metricSMA2) *.25) /len(context.RiskOnSymbols)
riskOffPct = (metricClose/metricSMA) * ((metricSMA2 *2 / metricSMA) *.25) /len(context.RiskOffSymbols)
for securityID in context.RiskOnSymbols:
order_target_percent(securityID, riskOnPct)
for securityID in context.RiskOffSymbols:
order_target_percent(securityID, riskOffPct)
record(RiskOnPortion = riskOnPct)
record(RiskOffPortion = riskOffPct)
record(Leverage = context.account.leverage)
