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Sell after a given time interval

Dear all,

First I would like to say that I enjoy quantopian very much. I think it is a fascinating idea and the implementation of the IDE and backtester is very well done!

I am new to algorithmic trading and I have some basic questions about pitfalls, in particular in the light of global variables.

I would like to design an algorithm that buys stocks, holds them for a given fixed time and then sells them. This means, a function will decide at the point the item is bought also the time it is sold.

I have attached a template which illustrates how I imagine this could be done, but I would be interested in possible better ways of doing this. In particular, I have to introduce a global variable which keeps track of all the stock that is in the portfolio with a date when to sell it.

Are there any concerns using global variables for such long running jobs? Is there a built in global variable that I should use instead? The goal is live trading - is there any pitfalls with this approach?

best regards
Wolfgang

2 responses

To my knowledge maintaining state in a global collection is the only way to manage conditional changes over time. I would point out that using a fixed number of periods would give you a calendar based offset which would not reflect actual trading periods transpired. 50 days calendar would end up being perhaps only 35 days trading. Incrementing or decrementing a state counter would give you a more accurate trading periods lapsed count.

If you are using a period count exit for testing of "edge" then you would want to use actual trading period counts and not calendar durations.

Hi Wolfgang,

Is there a reason that you're using a global variable versus 'context'? Here's an example with context

import datetime

def initialize(context):  
    context.security = symbol('AAPL')  
    # this dictionary uses sid as key and stores either: -1 which means we don't own any of it,  
    # or a date at which it should be sold.  
    context.global_data = {context.security.symbol : -1}  
def handle_data(context, data):  
    # This is a possible template for an algorithm which buys at a given date  
    # and sells after a given time. These calculations will be done in the function  
    # analyse(sid) which gives back the number of days after which sid should be sold.  
    exchange_time = get_datetime()  
    # if we don't have it already, we may buy  
    if context.global_data[context.security.symbol] == -1:  
        #analyse does all the work in deciding whether sid should be bought and when to sell it  
        buynow,percentage,sellafter = analyse(context.security.symbol)  
        if buynow:  
            order_percent(context.security, percentage)  
            context.global_data[context.security.symbol] = exchange_time +  datetime.timedelta(days=sellafter)  
    else:  
    # if we do have sid lets see if its time to sell it.  
        if exchange_time > context.global_data[context.security.symbol]:  
            order_target(context.security, 0)  
            context.global_data[context.security.symbol] = -1  

    record(stock_price=data[context.security].price)  


def analyse(sid):  
    # This function will contain the analysis of the current market situation.  
    # It returns three values:  
    # boolean buynow : should we buy the stock sid now  
    # float percentage : how much should we buy  
    # int sellafter: sell it after a fixed number of days  
    #for illustration this is set to constants  
    return True,0.5,50  
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