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Getting an error
Leon Offengenden
posted

I would like to run a backtest on a 50d over a 200d exponential moving average. If 50d dips below the 200D I would like to sell all my position and when 50d goes above 200d, I would like to buy all my position. Currently i have used the following logic but it craps out. Do i have to adjust for the holding period to be in cash?

vwap200 = data[context.spy].vwap(200)  
vwap50 = data[context.spy].vwap(50)

if vwap2 > vwap20: #If last 50 day average is greater than 200, buy  
        order_target_percent(context.spy, 100)  
if vwap2 < vwap20: #If last 50 day average is less than 200, sell  
        order_target_percent(context.spy, -100)
2 responses
Alisa Deychman

The code was failing because your long vwap and short vwap are called "vwap200" and "vwap50" respectively, but you were referencing "vwap20" and "vwap2" in the code.

Also, when you say, 

order_target_percent(context.spy, -100)

this will take your entire portfolio and short SPY, instead of selling your existing position. If you want to close out your position, you can do the following which will seek to own 0 shares of the security.

order_target_percent(context.spy, 0)

I've made the changes in the attached backtest. Clone it and keep playing around!

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Leon Offengenden

Awesome! Thank you, I accidentally messed up the variables!

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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.