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Moving average crossover codes buys throughout the crossover

Hi all,

My team has put together a relatively simple code that looks to buy into a stock with 50% of my portfolio whenever the 13 day moving average cross over the 48 day moving average. The sell is triggered when the 48 crosses over the 30, and all shares are sold.

The main problem is that the buys seem to execute for as long as the 13 is above the 48, instead of at the close of the minute when the 13 crosses. Is there a way to fix this?

Clone Algorithm
45
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 57b8d19fecadad0ffe939c8c
There was a runtime error.
6 responses

Bump anyone? Any feedback would be greatly appreciated!

Hi,

The algorithm is executing every minute because the logic is in the handle_data function.
Placing the code in a separate function, and using schedule_function will cause it to be executed at a specific time (e.g. once a day at the market open).

More information about schedule_function can be found at the Getting Started tutorials.

Best,
Lotanna Ezenwa

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Lotanna,

For lack of sufficient clarification, I find the API documentation confusing. I also read "Getting Started". Can you explain how to set the schedule_function() for daily, every 5 minutes?

This is every day, 1 minute before close ...... time_rules.market_open(hours=0, minutes=1)

Is this every 5 minutes?................................

time_rules.market_open(hours=0, minutes=0) or
time_rules.market_open(hours=0, minutes=5) or
time_rules.market_open(hours=0, minutes=10) or
time_rules.market_open(hours=0, minutes=15) or
time_rules.market_open(hours=0, minutes=20) or
.... etc.

@Barry

There are multiple ways to go about it.
You could do something like this. It schedules a function to be run every five minutes.

for x in range(0,355,5):  
    schedule_function(my_func, date_rules.every_day(), time_rules.market_open(minutes=x))  

Or this way.
This exits the handle_data function if the minute isn't divisible by 5.

def handle_data(context, data):  
     now = get_datetime()  
     if now.minute % 5 !=0:  
         return  

Lotanna,

Thanks. I now see a similar code snippet of your first example in the Overview document section. I had skipped over that to look at the API Document.

If I'm correct in my thinking, the schedule_function() and get_time() functions uses/returns end-of-period times. So 'time_rules.market_open(minutes=0)' equates to one minute after open. For equities, that makes the last minute period not tradable until the opening of the next day.

How does one trade the opening bell, that is before completion of the first one minute period?

time_rules.market_open(minutes= -1)

could you possibly post your updated code?