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Percentage of ETF

Hi,

I am new to Quantopian and trying to build a simple algorithm. I want to buy/sell a percentage of an ETF relative to its mavg. For example if 50% or more of the ETF is trading above its moving average I want to buy, and if 50% or more of the ETF is trading below its mavg I want to sell. Is there a 'simple' way to get a percentage of a particular ETF?

Thank you

5 responses

Welcome to Quantopian! You can use the sid() function to manually add the ETF to your algorithm.

Once you've added the security, you can use the built-in mavg function to track the data. Here's a basic example to help you get started. You can clone it and start tinkering to make it your own.

Cheers,
Alisa

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Hi Alisa,

Thank you for your feedback. I have created an algorithm similar to the one you have mentioned above. However, what I was referring to was the ability to get 50% of the securities within the ETF that are trading above and below the ETF's moving average. I am not sure if there is the ability to do that as of now.
Here is an article of the concept I am referring to:

http://stockcharts.com/school/doku.php?id=chart_school:trading_strategies:percent_above_moving

I have also attached the algorithm I want to apply this concept to.

Regards,

Amin

Clone Algorithm
2
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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: 55c827840dc8060c59815c25
There was a runtime error.

ability to get 50% of the securities within the ETF

Ah, then this isn't possible to screen automatically within the IDE. If you already know the ETF's constituents, you can hard-code them in your algo using the sid() function.

Alisa, how would this work for backtesting? Does quantopian have historical constituent data for etfs/indexes for a backtest?

This approach would not work historically over time since the ETF constituent data is not yet on Quantopian. We've been looking to integrate it but it is not currently available.