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I am self taught in Python but am still in the process of mastering it. I was told that the best way to learn is by doing so I have already been applying it anyway to this excellent website. All I need to know is how to prevent trades from triggering multiple times during Moving Average crossover strategies - or in that case any type of crossover strategy. Is there a way to require a certain percentage gain/loss from the previously opened position that would cancel the next crossover trade. Also would love to simply just limit activity to one buy and sell per security, per day.
#All Hail NASDAQ
class SamAlgorythm:
def Initialize(self):
self.SetStartDate(2013, 12, 1) # 2013/12/01 Earliest start date for selected ETFs
self.SetEndDate(2020, 6, 4)
self.SetCash(250000000) # Idk how to adjust for the 1000 splits TVIX has done
self.SetWarmup(100)
self.SetBenchmark("QQQ")
self.AddEquity("QQQ", Resolution.Hour)
self.AddEquity("TQQQ", Resolution.Hour) # 3x QQQ
self.AddEquity("TVIX", Resolution.Hour) # 2x VIX (er sumthin)
self.mothersma = self.SMA("QQQ", 25, Resolution.Hour)
self.othersma = self.SMA("QQQ", 75, Resolution.Hour)
def OnData(self, data):
if self.mothersma.Current.Value > self.othersma.Current.Value:
self.SetHoldings("TQQQ", 1) and self.SetHoldings("QQQ", 0) and self.SetHoldings("TVIX", 0)
elif self.mothersma.Current.Value <= self.othersma.Current.Value:
self.Liquidate("TQQQ")
self.SetHoldings("QQQ", 0.5) and self.SetHoldings("TVIX", 0.075)
else:
self.Liquidate("TQQQ") and self.Liquidate("QQQ") and self.Liquidate("TVIX")
Thanks in advance for any help and I look forward to eventually becoming a contributing member of this community!
Adam W
- Is there a way to require a certain percentage gain/loss from the previously opened position that would cancel the next crossover trade
Take a look here. You can for instance, access unrealized PnL withÂself.Portfolio['TQQQ'].UnrealizedProfitand add that into the trading logic (i.e. your if statements).
OnData() is called every time data is streamed into the engine - in your case, every hour. A simple way to implement this would be to keep a dictionary like self.completed_trades = {'TQQQ": False, }, add if self.completed_trades['TQQQ'] == False, then perform the trade. After the trade, set it to True. Then reset the dictionary every day by:
def Initialize(self): self.completed_trades = {'TQQQ': False} self.Schedule.On(self.EveryDay('TQQQ'), self.TimeRules.AfterMarketOpen('TQQQ', 0), self.ResetVariables) def OnData(self, data): # if trade executes self.completed_trades['TQQQ'] = True # Define a scheduled function to be called def ResetVariables(self): self.completed_trades = {'TQQQ': False}Â
Samuel Schoening
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