Back to Community
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!

Clone Algorithm
1
Loading...
Backtest from to with initial capital
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.
Disclaimer

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.

Hi,

Thank you very much! works perfectly ;)

BR,
Flo