Hi! I'm fairly new to Quantopian and am slowly getting the hang of things. In my attached algorithm everything is working fine EXCEPT even though I'm resorting my list of ETFs before trading starts every time, my trades aren't being launched according to that list. Is there any way I could make it so it trades the top 3 momentum ETFs every time? Also does anyone know any way to attach the risk management pipeline to this algorithm?
Thanks!
Something very similar and may help you:
from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline.filters import StaticAssets
from quantopian.pipeline import Pipeline
import quantopian.pipeline.factors as Factors
# --------------------------------------------------------------------
ASSETS, MOM, N, LEV = symbols('SPY', 'XLV', 'TLT', 'IEF'), 80, 2, 1.0
# --------------------------------------------------------------------
def initialize(context):
schedule_function(trade, date_rules.month_start(), time_rules.market_open(minutes = 65))
m = StaticAssets(ASSETS)
momentum = Factors.Returns(window_length = MOM + 1, mask = m)
pipe = Pipeline(columns = {'Momentum': momentum}, screen = m)
attach_pipeline(pipe, 'pipeline')
def before_trading_start(context, data):
output = pipeline_output('pipeline')
output.sort_values(['Momentum'], ascending = False, inplace = True)
context.etfs = output.head(N).index
record(leverage = context.account.leverage, num_positions = len(context.portfolio.positions))
def trade(context, data):
if get_open_orders(): return
weight = LEV/len(context.etfs)
for etf in context.portfolio.positions:
if data.can_trade(etf):
if etf not in context.etfs:
order_target(etf, 0)
for etf in context.etfs:
if data.can_trade(etf):
order_target_percent(etf, weight) 
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.