Hi Guys,
I need help please, I am trying to create a long-only portfolio of US stocks.
Criteria:
Top 20 companies with the highest cash reserves, equally weighted.
I am getting an error on line 72, not sure what I am doing wrong?
Notebook attached.
Thanks
Luke
Try something like this:
from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline.data.factset import Fundamentals as fcf
from quantopian.pipeline.filters import QTradableStocksUS
from quantopian.pipeline import Pipeline
import quantopian.optimize as opt
import pandas as pd
# ---------------------------------------------
STK_SET, N, LEV = QTradableStocksUS(), 20, 1.00
# ---------------------------------------------
def initialize(context):
schedule_function(trade, date_rules.every_day(), time_rules.market_open())
cash_only = fcf.cash_only.latest
universe = cash_only.top(N) & STK_SET
pipe = Pipeline(columns = {'cash_only': cash_only}, screen = universe)
attach_pipeline(pipe, 'my_pipeline')
def trade(context, data):
output = pipeline_output('my_pipeline')
securities_to_hold = output.query('cash_only > 10000000000.0').index
weight = 1.0 / len(securities_to_hold)
weights = pd.Series(index = securities_to_hold, data = weight)
order_optimal_portfolio(opt.TargetWeights(weights), [opt.MaxGrossExposure(LEV)])
def before_trading_start(context, data):
record(leverage = context.account.leverage, num_positions = len(context.portfolio.positions)) 
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