Maximilian,

Try this very similar momentum strategy from my library.

# Momentum Strategy

def initialize(context):  
    schedule_function(trade, date_rules.month_start(), time_rules.market_open(minutes = 65))

def trade(context, data):  
    # --------------------------------------------------------------------------------------------  
    market, bond = symbol('SPY'), symbol('IEF')  
    mom, n, ma_f, ma_s, lev = 80, 5, 50, 200, 1.0  
    stocks = symbols('XLV', 'XLK', 'XLI', 'XLP', 'XLE', 'XLU', 'XLB', 'XLY', 'XLF', 'IYR', 'TLT',)  
    # --------------------------------------------------------------------------------------------  
    if get_open_orders(): return 

    C = data.history(stocks, 'price', mom + 1, '1d')  
    M = C.iloc[-1] / C.iloc[0]  
    M = M.dropna()  
    M.sort_values(ascending = False, inplace = True)  
    picks = M.head(n)  
    wt = lev / len(picks) if len(picks) != 0 else 0

    uptrend = data.history(market, 'price', ma_f, '1d').mean() > data.history(market, 'price', ma_s, '1d').mean()

    for asset in stocks:  
        if data.can_trade(asset):  
            if asset in picks and uptrend:  
                order_target_percent(asset, wt)  
            else:  
                order_target(asset, 0)

    if data.can_trade(bond):  
        if not uptrend:  
            order_target_percent(bond, lev)  
        else:  
            order_target(bond, 0)

def before_trading_start(context, data):  
    record(leverage = context.account.leverage)  

        for l in MomList:  
            stock = l[0]  
            hist = data.history(**context.stocks**, "price", 200, "1d")  
            log.info(hist.head())  
            sma1_200 = hist.mean()  
            sma1_50 = hist[-50:].mean()  
            if sma1_50 > sma1_200:  
                order_target_percent(stock, 1.0)  

Problem in bold. You're getting the price history of all yours stocks, but comparing it as if it were just one stock.

Does this fix it:

hist = data.history(stock, "price", 200, "1d")  

Thanks Vladimir,

really helped out a lot.
Just one problem left, which is, that I only want to use those of the highest 20 day momentum, that also have a 50 day sma > 200 day sma. And that needs to be checked individually. The problem is, that I only know how to test, if the rule applies, but then it just combines all the True and False and gives me one in total instead of one for each stock. Obviously it could be done one by one, that isn't really what I was going for though.

Hope you can maybe help me out a little more, thanks.