Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Help with Simple Moving Average Crossover
Zach Smith
edited

Hi all,
I have searched the forum and found many simple moving average crossover strategies but all of them use intra-day data to calculate the crossover and execute at the moment of the crossover.

I was hoping for some help with a simple moving average crossover that calculates 10 and 30 day simple moving averages using adjusted price on closing price of the day. If the short SMA > long SMA an order to buy the stock is made the next day at the opening price (using all of cash). If the short SMA < long SMA an order is made to sell the stock (converting to all cash) the next day at the opening price. I was hoping for someone to help me with this. Thanks so much.

2 responses
Vladimir

@Zach

Try something like this:

# MAC for next day open  
# ------------------------------------------  
STOCK = symbol('AAPL'); MA_F = 10; MA_S = 30;  
# ------------------------------------------  
def initialize(context):  
    schedule_function(trade, date_rules.every_day(), time_rules.market_open())

def before_trading_start(context, data):  
    context.mavg_f = data.history(STOCK, 'close',  MA_F, '1d').mean()  
    context.mavg_s = data.history(STOCK, 'close',  MA_S, '1d').mean()  
    record(leverage = context.account.leverage)        

def trade(context, data):  
    position = context.portfolio.positions[STOCK].amount 

    if ( position == 0 ) & ( context.mavg_f > context.mavg_s ):  
        order_target_percent(STOCK, 1.0)

    elif ( position > 0 ) & ( context.mavg_f < context.mavg_s ):  
        order_target(STOCK, 0)
Zach Smith

Thanks so much for your help!

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

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.