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# This section is only importable in the backtester
from quantopian.algorithm import attach_pipeline, pipeline_output
# General pipeline imports
from quantopian.pipeline import Pipeline
from quantopian.pipeline.factors import AverageDollarVolume
# Using the free sample in your pipeline algo
from quantopian.pipeline.data.accern import alphaone_free
def initialize(context):
# Schedule our rebalance function to run at the start of each week.
schedule_function(my_rebalance, date_rules.every_day())
attach_pipeline(make_pipeline(), "pipeline")
def make_pipeline():
# Screen out penny stocks and low liquidity securities.
dollar_volume = AverageDollarVolume(window_length=20)
is_liquid = dollar_volume.rank(ascending=False) < 1000
# Add pipeline factors
impact = alphaone_free.impact_score.latest
sentiment = alphaone_free.article_sentiment.latest
return Pipeline(columns={
'impact': impact,
'sentiment':sentiment,
},
screen = is_liquid)
def before_trading_start(context, data):
port = pipeline_output('pipeline')
# Grab stocks with 100 impact and >0.5 sentiment and go long.
context.longs = port[(port['impact']==100) & (port['sentiment']>0.75)].index.tolist()
# Grab stocks with 100 impact and <-0.5 sentiment and go long.
context.shorts = port[(port['impact']==100) & (port['sentiment']< -0.75)].index.tolist()
context.long_weight, context.short_weight = my_compute_weights(context)
def my_compute_weights(context):
# Compute even target weights for our long positions and short positions.
long_weight = 0.5 / len(context.longs)
short_weight = -0.5 / len(context.shorts)
return long_weight, short_weight
def my_rebalance(context, data):
for security in context.portfolio.positions:
if security not in context.longs and security not in context.shorts and data.can_trade(security):
order_target_percent(security, 0)
for security in context.longs:
if data.can_trade(security):
order_target_percent(security, context.long_weight)
for security in context.shorts:
if data.can_trade(security):
order_target_percent(security, context.short_weight)