How to establish initial positions? Then rebalance thereafter?

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How to establish initial positions? Then rebalance thereafter?

posted Jun 29, 2017

Hello. I'm new to this website, and trying to code my first algorithm. Very new to this process. I'm trying to figure out how to establish the initial weighting for my portfolio, before my re-balancing strategy kicks in thereafter. So...

I put my underlyings of choice under def initialize(context):

And under it I insert schedule_function(my_rebalance, date_rules.month_end(), time_rules.market_open()) in order to rebalance monthly according to whatever strategy I insert under def my_rebalance (context, data):

But If I have two underlyings (say DIA and SPY), and I want to put 20% in DIA and 80% in SPY to start off, how do I do that? I'd guess I have to use some heading before and above def my_rebalance (context, data):?

Thank you very much in advance.

2 responses

I would set the initial weights of 20% DIA and 80% SPY in the pipeline, and then have the pipeline return modified weights when re-balancing occurs.

Awesome. Thanks so much

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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.