Trade / Rebalancing at first Wednesday every month

Hi all,

I've got a little tricky problem with the trading / rebalancing frequency of my strategy: Is it possible to model the trading frequency so that it always takes place on the first Wednesday of each month?

Thank you in advance for any help,
Flo

2 responses

Yes, one can rebalance only on the first Wednesday of the month. There's not a built in function like date_rules.month_start(), but by fetching the backtest date and doing some comparisons, you can get there. Something like this.

def rebalance(context, data):
"""
Place user code here.
"""

today = get_datetime()
if (today.day <= 7) and (today.weekday() == 2):
# Today is first Wednesday (ie weekday==2) so continue
pass
else:
# Not the first Wednesday so return
return
# Put any code here


Checkout the attached algo. It logs the weekday for verification.

Good luck!

1
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
 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
"""
This will execute code only the first Wed of each month
"""

def initialize(context):
# Set the function one wants to execute and time to execute
schedule_function(
rebalance,
date_rules.every_day(),
time_rules.market_open(),
)

def rebalance(context, data):
"""
Place user code here.
This does an initial check for being the first Wednesday and returns if not.
"""

today = get_datetime()

if (today.day <= 7) and (today.weekday() == 2):
# Today is first Wednesday (ie weekday==2) so continue
pass
else:
# Not the first Wednesday so return
return

# Put any code here
# Let's just log the weekday to verify it all works.
log.info('Today is ' + today.strftime("%A %d %B %Y"))
There was a runtime error.
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Hi,

Thank you very much! works perfectly ;)

BR,
Flo