this is an old algorithm i used to run on robinhood I built myself. I am a dentist and not a mathematician or finance guru but I think theres something here. will anyone help me update this code so I can try and see if it will work with commissions and update it to interactive brokers?
The biggest change that has been made since this algo was written is the move to pipelines to fetch data instead of get_fundamentals. Creating a pipeline definition to match the original query and filter logic is the first step.
@Tyler Trumbo could you verify that the following is the basic strategy
Choose stocks on the first trading day of the month and store in context.stocks. Total quantity determined by constant 'context.max_positions'.
Every day set hedge True if 10 day SMA < 100 day SMA of IWM (Russel 2000 ETF)
Every day 20 min after market open sell everything if hedge is True. If it's False sell everything except TLT
Every day 30 min after market open buy 100% TLT if hedge is True. If it's False place orders for stocks in context.stocks where 10 day SMA of stock > 100 day SMA of stock. Equally weight stocks.
Record, context.account.leverage, context.portfolio.cash/context.portfolio.portfolio_value, number of positions, and max cost basis)
One thing this algo does is not buy stocks where 10 day SMA of stock < 100 day SMA. This leaves that portion of the portfolio, which that stock would normally occupy, in cash. Is that intended? Would you rather always be 100% invested? This means selecting other stocks which meet the original criteria but also meet the SMA requirement. Also, this algo sells everything 20 minutes after open but then potentially buys the same stocks back 10 minutes later. Would you rather just rebalance once a day and adjust the weights as needed?
Is that close to what you intended? Anything I missed?
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Here is an algo which I think reflects what you intended (though not exactly like the original)? Take a look and verify. The attached backtest is run over the same dates as the original but with a different starting balance ($4000K vs $4500). The returns are significantly different. You may want to tweak it to be more like the original and see if it gets closer to your original returns?
Good luck.
Disclaimer
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.
Thank you so much Dan,
Yes, that's the basic concept. For some reason without pipeline it does a lot better. I'll try and see what the difference is.
I'll have to add a line that keeps the stocks if they are in the batch for that month rather than selling then re-buying.
@Dan Whitnable,
I noticed the funds were both a Russel ETF, just by switching the other fund to TLT, the results were a little better. It looks like since 2016 it doesn't perform though. Maybe someone discovered my technique lol. I can't figure out what the difference between the old algorithm and pipeline is. I can't figure out what to tweak. I've tried a couple things.
Anyways, thank you for all the help!
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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.