Hi so I'm fairly new to Quantopian but I have been watching and reading to try and learn as much as possible about how to go about building an algorithm. My first algorithm I'm attempting to filter stocks to the top 1% of stocks by average dollar volume, and then deciding on whether to long or short these depending on pairs of moving averages. However something isn't working and I can't figure out what. Running a backtest I get no errors, but no orders are made. If anyone can spot my mistake I would be very thankful.
Thanks
Newbie struggling with first algorithm, help very much appreciated!
Try this:
from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline import Pipeline
from quantopian.pipeline.data.builtin import USEquityPricing
from quantopian.pipeline.factors import AverageDollarVolume
def initialize(context):
pipe = Pipeline()
attach_pipeline(pipe, name='my_pipeline')
dollar_volume = AverageDollarVolume(window_length=30)
pipe.add(dollar_volume, 'dollar_volume')
high_dollar_volume = dollar_volume.percentile_between(99, 100)
pipe.set_screen(high_dollar_volume)
context.securities = None
def before_trading_start(context, data):
results = pipeline_output('my_pipeline').index
context.pipeline_results = results
context.securities = results
def handle_data(context,data):
cash = context.portfolio.cash
for s in context.securities:
context.price = data.current(s,'price')
number_of_positions_possible = int((cash/len(context.securities))/context.price)
ma1 = data[s].mavg(30)
ma2 = data[s].mavg(60)
if ma1>ma2 and sid not in context.portfolio.positions:
order(s, number_of_positions_possible)
elif ma1<ma2 and sid not in context.portfolio.positions:
order(s, -number_of_positions_possible)
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