The problem is that the above logic is within a for loop

for stock in context.portfolio.positions:

The code above is being executed as many times as there are open positions. Therefore, if you have 4 ETFs in your portfolio, you will sell sid(23921) 4 times. You really just want to sell it once. The fix is to move that statement outside of the for loop. There are a few other problems with the code too. You don't need to call close each month for example. You also do not need to check if a security is currently held to close the position

if sid(23921) in context.portfolio.positions:  
    order_target_percent(sid(23921), 0)

Just do this

order_target_percent(sid(23921), 0)  

Anyway, attached is an algorithm which I think does what what you want...

Good luck.

Hey Dan,
First of all, thanks for your time and effort! However, in the second part (bull market), I think you are buying but not selling the ETFs that you already have. For example:
Month 1 I have the following ETFs: A, B, C, D
Month 2 (I need to have the new top 4): A, B, C, E >> You just need to sell D, and replace it for E. In the algo you kindly attached, it doesn't sell.

else:  
    # Sell Treasury Bond 1-3 years if held and buy sector ETFs #that's fine for selling the bond  
    if data.can_trade(context.shy):  
        order_target_percent(context.shy, 0.0)  

    for stock in context.longs:  
        if data.can_trade(stock):  
            order_target_percent(stock, 1.0 / len(context.longs))  
            log.info("Buy" + str(stock))  

    log.info("ETF Month")  

In bear markets the problem is this:
Month 1 (bear): I buy the bond
Month 2 (bear): I don't need to sell the bond (which in your algorithm it does), I just need to keep it and don't buy or sell.

Thank you very much for helping! Best regards

Oops. Correct. Forgot to sell anything that isn't currently in 'context.longs'.

This should be what you want. See attached algo.

Hey Dan! Thanks again for your time and patience, I truly appreciate it.
The bond keeps being bought and sold each month. Maybe I should add something like:
if spy_ma1 < spy_ma200:
if context.shy not in context.portfolio.positions:
order_target_percent(stock, 0)

A condition that says:
If it's a bear market and I have the bond in my portfolio, pass
and if it's a bear market and I don't have the bond, buy the bond and sell the stocks

Third times a charm? Maybe do your ordering a bit differently. Separate the algo logic from the actual trading logic. That might keep things cleaner. So, put in your algo logic

    if spy_ma1 < spy_ma200:  
        # Go long 100% of Treasury Bond  
        longs = [context.shy]  
        log.info("Safety Month")  

    else:  
        # Go long the ETFs returned in the pipeline  
        longs = context.output.index.tolist()  
        log.info("ETF Month")  

Then do your trading logic which simply buys everything in 'longs' and sells everything else...

    # Now do actual trading  
    # Buy everything in longs  
    for stock in longs:  
        if data.can_trade(stock):  
            order_target_percent(stock, 1.0 / len(longs))  
            log.info("Buy" + str(stock))


    # Sell everything in current positions but not in longs  
    for stock in context.portfolio.positions:  
        if not stock in longs:  
            if data.can_trade(stock):  
                order_target_percent(stock, 0.0)  
                log.info("Sell" + str(stock))  

See attached backtest...

Hey Dan! That look's pretty good. Thanks so much for the help! Separating the algo logic from the actual orders was the key. Thanks again