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Help needed with momentum rotation strategy
patrick duffy
edited
Seeking Help Getting Started Pairs Trading Momentum ETFs

I'm just learning python and cannot get this code to run properly.
Can anyone identify what I am doing incorrectly in the code

Heres what I am trying to do

  1. take the daily log returns of XLF and XLU
  2. subtract XLU daily log return from XLF log return. (how much more XLF has returned each day)
  3. take the cumulative sum
  4. get the 200 day moving average of the cumulative sum
  5. if the cumulative sum is greater than its 200 day moving average then buy XLF otherwise buy XLU

edit: fyi, the problem in the attached algorithm is that it doesn't rotate between ETFs. I think something is wrong with the IF statement, I cant figure out what I need to do to fix the code though

3 responses
patrick duffy

this notebook shows what I am trying to do.

Lucy Wu

Hi Patrick,

It looks like the issue occurs when you subtract XLU_log_change from XLF_log_change. In the way it's currently implemented, it will return NaNs for every day -- you can verify this by setting a breakpoint after line 87 and checking XLF_XLU.

I've attached a modified version of your algorithm that fixes this problem. (You'll probably still need to tweak it a bit to get exactly what you want, though.)

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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.

patrick duffy

Lucy, thank you for taking the time to help. This is the syntax I was looking for

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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.