Hi, I'm just getting started on quantopian.
I would like to test a simple strategy based on a monthly timeframe :
At the beginning of each month :
• If the SPY is >= to it's 10 months simple moving average we buy it.
• Else we exit all of our positions
I don't manage to get the monthly SMA(10) to test it...
How can I manage this ?
Thank you
Here is a sample algorithm which does something close to what you are asking. See if it makes sense.
Good luck!
Thank you very much Dan.
So we must use a daily timeframe ?
We cannot change the timeframe to another basis like weekly or monthly ?
olivier,
You may get any time frame from Quantopian data.history() using .resample()
Hope this simple code will help you.
def initialize(context):
schedule_function(trade, date_rules.month_start(), time_rules.market_open(minutes = 65))
def trade(context, data):
#---------------------------------------------
stock, TimeFrame, ma = symbol('SPY'), '1M', 10
#---------------------------------------------
bars = ma*21
if get_open_orders(): return
curr_price = data.current(stock, 'price')
daily_prices = data.history(stock, 'price', bars, '1d')
monthly_prices = daily_prices.resample(TimeFrame).last()
print monthly_prices
mavg = monthly_prices.mean()
if data.can_trade(stock):
if curr_price >= mavg:
order_target_percent(stock, 1.0)
else:
order_target_percent(stock, 0)
record(price = curr_price, mavg = mavg)
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