exit after n-days?

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exit after n-days?

posted Jun 27, 2016

My algo buys stocks based on pipeline filters. How to implement an exit for the security after an n-days?

4 responses

Maxim -

You could create a dictionary in context, keyed by security. The dictionary would hold the number of days elapsed since stocks were bought (I'd probably use order submission as the trigger). Then, it would be a matter of running something like this every day:

for stock in context.days_elapsed:  
    if context.days_elapsed[stock] > context.n:  
        order_target(stock,0)

When a stock is order is submitted, you would set context.days_elapsed[stock] = 0 and every day, for every stock, context.days_elapsed[stock] += 1.

This doesn't manage lots of a given stock. For example, if you buy 100 shares of stock A one day, and another 100 shares of stock A 2 days later, then you'll end up holding the first 100 shares for 2 days longer than you'd like.

It's a simple solution that works . Thank you!

You're welcome. Enjoy! --Grant

Thanks Grant, I was trying to find a simple solution for this the other day as well.

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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.