SPY Stop Loss Strat

SPY Stop Loss Strat

from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline import Pipeline
from quantopian.pipeline.data.builtin import USEquityPricing
from quantopian.pipeline.factors import AverageDollarVolume
from quantopian.pipeline.filters.morningstar import Q500US
from quantopian.pipeline.factors import Returns
from quantopian.pipeline import CustomFactor
 
def initialize(context):
    # Rebalance at the end of every month
    schedule_function(my_rebalance, date_rules.month_end(), time_rules.market_open(hours=1))
     
    # Record tracking variables at the end of each month.
    schedule_function(my_record_vars, date_rules.month_end(), time_rules.market_close())
     
    context.SPY = sid(8554)
    context.SSO = sid(32270)          
    
    set_slippage(slippage.VolumeShareSlippage(volume_limit=0.025, price_impact=0.1))
    set_commission(commission.PerShare(cost=0.0075, min_trade_cost=1))
 
def my_rebalance(context,data):
    
    #moving average
    moving_average = data.history(context.SPY, 'price', 100, '1d')[:-1].mean()
    
    #12 month returns
    prices = data.history(context.SPY, "price", bar_count=365, frequency="1d")
    pct_change = (prices.ix[-1] - prices.ix[0]) / prices.ix[0]
    
    #if (SPY > moving average) or 12 month average > 0, purchase
    if data.current(context.SPY, 'price') > moving_average and pct_change > 0 and data.can_trade(context.SPY) and data.can_trade(context.SSO):
        log.info("leverage = 1.75")
        order_target_percent(context.SPY, .25)
        order_target_percent(context.SSO, .75)    
    elif data.current(context.SPY, 'price') > moving_average or pct_change > 0 and data.can_trade(context.SPY) and data.can_trade(context.SSO):    
        log.info("leverage = 1.25")
        order_target_percent(context.SPY, .75)
        order_target_percent(context.SSO, .25)   
    else:
         log.info("sold")
         order_target_percent(context.SPY, 0)
         order_target_percent(context.SSO, 0)        
    pass
 
def my_record_vars(context, data):
    """
    Plot variables at the end of each day.
    """
    pass