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Rebalance quarterly, monthly
Brian Cahill
posted Apr 8, 2016
API Seeking Help Using Data

I'm attempting to run an algorithm to take 11 stocks and rebalance them. I'm looking to do a comparison of a weekly, monthly, quarterly, and annual rebalance. It looks like the only dropdown option is daily on the backtest. Is there a way to do this programatically. Here is the code I'm using from one of the sample algorithms. I'm pretty new to coding so I'm not sure where to start.

def initialize(context):  
    set_symbol_lookup_date('2005-01-01')  
    context.stocks = symbols('VHT', 'VDE', 'VDC', 'VOX', 'VAW', 'VNQ', 'VGT', 'VIS', 'VCR', 'VPU', 'VFH') 

def handle_data(context, data):  
    # This will order as many shares as needed to  
    # achieve the desired portfolio allocation.  
    # In our case, we end up with 20% allocation for  
    # one stock and 80% allocation for the other stock.  
    order_target_percent(context.stocks[0], .11)  
    order_target_percent(context.stocks[1], .11)  
    order_target_percent(context.stocks[2], .11)  
    order_target_percent(context.stocks[3], .11)  
    order_target_percent(context.stocks[4], .11)  
    order_target_percent(context.stocks[5], .11)  
    order_target_percent(context.stocks[6], .11)  
    order_target_percent(context.stocks[7], .11)  
    order_target_percent(context.stocks[8], .11)  
    order_target_percent(context.stocks[9], .11)  
    order_target_percent(context.stocks[10], .11)  
    # Plot portfolio allocations  
    pv = float(context.portfolio.portfolio_value)  
    portfolio_allocations = []  
    for stock in context.stocks:  
        pos = context.portfolio.positions[stock]  
        portfolio_allocations.append(  
            pos.last_sale_price * pos.amount / pv * 100  
        )
5 responses
Brian Cahill
Apr 8, 2016

Nevermind, I found the schedule_function. Here it is if anyone else is looking: https://www.quantopian.com/help#ide-schedulefunction

Jonathan Soll
May 14, 2016

Did you figure out how to do it quarterly? It looks like the highest date rule is monthly

Brian Cahill
May 15, 2016

Yeah, I got some help here https://www.quantopian.com/posts/scheduler-overide-beyond-1-month#570735ae06b3b90b58000137

Here's an example on how to rebalance the first day of each quarter:

    for sec in context.secs:  
        today = get_datetime()  
        if today.month == 1 or today.month == 4 or today.month == 7 or today.month == 10:  
            order_target_percent(sec, context.weights, limit_price=None, stop_price=None)  
            # Get the current exchange time, in the exchange timezone  
            if writelog == False:  
                exchange_time = pd.Timestamp(get_datetime()).tz_convert('US/Eastern')  
                log.info("Rebalanced to target portfolio weights at %s" % str(exchange_time))  
                writelog = True
Kin Sung Chan
Feb 11, 2017

def initialize(context): 

context.spy = sid(8554)  

schedule_function(open_positions, date_rules.month_start(0), time_rules.market_open(minutes=30))  

schedule_function(close_positions, date_rules.month_end(1), time_rules.market_close(minutes=30))

def open_positions(context, data):

today = get_datetime('US/Eastern')  

if today.month in [1, 4, 7, 10] :  
    order_target_percent(context.spy, 1)

def close_positions(context, data): 

today = get_datetime('US/Eastern')  

if  today.month in [3, 6, 9, 12]:  
    order_target_percent(context.spy, 0)
Patrick Marum
Sep 16, 2020

I'm using a modulo to check months

def rebalance(context, data):  
    today = get_datetime()  
    if not((today.month%3) == 0):  
        pass
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