How to schedule a quarterly rebalance

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How to schedule a quarterly rebalance

edited May 10, 2017

I am new to Python and Quantopian.

I target to rebalance the portfolio every quarter end by using the schedule function together with an if statement. However, it just doesn't work.

1 response

A couple of things...

The 'initialize' method get's executed exactly once when you launch your algorithm. The following statements won't get executed like you probably want.

def initialize(context):  
    # Schedule our rebalance function to run at the end of each quarter.  
    now = datetime.datetime.now()  
    if now.month == 3 or now.month == 6 or now.month == 9 or now.month == 12:  
        schedule_function(my_rebalance, date_rules.month_end(), time_rules.market_close(minutes=30))

Keep your schedule_ function for month end in initialize, however move the month check into your 'my_rebalance' function. Also, don't use the 'datetime' function (it will return the current time NOT the backtest time during backtesting). Use 'get-datetime' instead (see https://www.quantopian.com/help#api-get-datetime). Your if statement will work but using an 'if n in list' may be more readable?

def my_rebalance(context, data):  
    """  
    Rebalance quarterly.  
    """  
    this_month = get_datetime('US/Eastern').month  
    if this_month not in [3, 6, 9, 12]:  
        log.info("skipping this month")  
        return  
    else:  
        log.info("trading this month")

    # put the code you want executed quarterly below

Also, consider using one of the built in universe filters (eg Q500US see https://www.quantopian.com/help#built-in-filters). You will find your algo runs much faster.

Good luck.

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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.