Hi.
I'm new to quantopian and I'm trying to write my first algorithm.
What I want to do is:-
- use the Q500US stocks.
- each day, 5 mins before close - grab the current price, yesterday's close price as well as the close price from 5, 10 and 30 days ago.
- apply a simple filter e.g. only keep the stocks whose current price is above the 1, 5, 10 and 30 day close prices.
- Of the stocks selected, keep the top 10 by market capitalisation.
- rebalance the portfolio to hold these 10 stocks in equal proportion.
Any help would be greatly appreciated.