I'm new for quantopian and try a simple day average algorithm that buy when 5 day moving average is higher than 12 day moving average and sell short when 5 day moving average is lower than 12 day moving average. But I face an strange problem that return go extremely up and down which is crazy and impossible in real world, Why?
If you run it in minute mode handle_data will get called every minute and execute the orders. Was that the intention?
If you want to place the orders daily use schedule_function as shown below. You can look at your transactions in "Transaction Details".
def initialize(context):
set_benchmark(symbol('AAPL'))
context.stock=[sid(24),sid(35920),sid(25006),sid(2754),sid(5261),sid(3788)]
set_commission(commission.PerTrade(cost=7))
schedule_function(func=execute_daily_order,
date_rule=date_rules.every_day(),
time_rule=time_rules.market_open())
def execute_daily_order(context, data):
for stock in context.stock:
#mvag of 5, 12, 30 and 120 mins to evaluate mins level trend
bench5=history(5,'1d','price').mean()[stock]
bench12=history(12,'1d','price').mean()[stock]
bench30=history(30,'1d','price').mean()[stock]
bench120=history(120,'1d','price').mean()[stock]
if bench5>bench12:
order_target_percent(stock,0.2,style=LimitOrder(data[stock].price))
if bench5<bench12:
order_target_percent(stock,-0.2,style=LimitOrder(data[stock].price))
# Will be called on every trade event for the securities you specify.
def handle_data(context, data):
pass
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