As the title suggests, I'm looking for a way to extract the top 10 holdings in the S&P500 (possibly from this url: http://portfolios.morningstar.com/fund/holdings?t=SPY). The algorithm will ideally rebalance at the start of each month and place an equal weight on each of the top 10 holdings. Thank you for any and all help.
Need Help Building a Pipeline of the Top 10 Weighted Stocks in the S&P500
Have you done something to get the top 10 holdings? I was planning to do the same with the bottom 20, and rebalancing every 12 months.
The S&P 500 index is weighted by float-adjusted market capitalization.
So if you take top 10 by market capitalization from Q500US they should in most cases be in top 10 holdings in S&P 500 index.
Try something like this:
from quantopian.pipeline import Pipeline, factors, filters, classifiers
from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline.data import Fundamentals
def initialize(context):
schedule_function(trade, date_rules.every_day(), time_rules.market_open(minutes = 65))
market_cap = Fundamentals.market_cap.latest
top_market_cap = market_cap.top(10, mask = filters.Q500US())
attach_pipeline(Pipeline(columns = {'market_cap': market_cap}, screen = top_market_cap), 'stock_set')
def trade(context, data):
output = pipeline_output('stock_set')
stocks = output.sort_values('market_cap', ascending = False).head(10).index
print stocks and compare to morningstar data
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