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class CalibratedHorizontalCompensator(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 1, 30)  # Set Start Date
        self.SetCash(15000)  # Set Strategy Cash
        # Add SPY to set scheduled events
        self.AddEquity("SPY", Resolution.Minute)
        # Setting Universe
        self.UniverseSettings.Resolution = Resolution.Minute
        self.SetUniverseSelection(QC500UniverseSelectionModel())
        # Dictionary to keep track of previous close for each symbol
        self.previousClose = {}
        # Dictionary to keep track of weekly cumulative performance for each symbol
        self.performance = {}
        
        # Our Scheduled Events
        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 5), self.GetTopPerformers)
        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.Every(TimeSpan.FromMinutes(1)),self.sellAfter5prcnt)
        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 1), self.OnMarketClose)
        #self.Schedule.On(self.DateRules.Every(DayOfWeek.Friday) , self.TimeRules.BeforeMarketClose("SPY", 5), self.GetTopPerformers)
        
        # list for top performers of week
        self.top = []
    
    def OnSecuritiesChanged(self, changes):
        
        for security in changes.AddedSecurities:
            symbol = security.Symbol
            # Make a history call for symbol to get last closing price
            if symbol not in self.previousClose:
                history = self.History(symbol, 1, Resolution.Daily)
                if not history.empty:
                    history = history.close.unstack(0)[symbol]
                    if not history.empty:
                        self.previousClose[symbol] = history[0]
            
        # Remove symbols from previous close as they are removed from the universe
        for security in changes.RemovedSecurities:
            symbol = security.Symbol
            self.previousClose.pop(symbol, None)
    
    def sellAfter5prcnt(self):
         # Dictionary to keep track of percent change from last close
        percentChange = {}
        currentSymbol={}
        currentPrice={}
        # Populate Dictionary
        for symbol, previousClose in self.previousClose.items():
            currentSymbol=symbol
            if self.CurrentSlice.ContainsKey(symbol):
                #Debug(symbol)
                currentPrice = self.CurrentSlice[symbol].Close
                change = (currentPrice - previousClose)/previousClose
                percentChange[symbol] = change
                if(change>5):
                    stopMarketOrder(currentSymbol,Portfolio[currentSymbol].Quantity,0.90*currentPrice)
                
        
    def Rebalance(self):
        # Dictionary to keep track of percent change from last close
        percentChange = {}
        
        # Populate Dictionary
        for symbol, previousClose in self.previousClose.items():
            if self.CurrentSlice.ContainsKey(symbol):
                price = self.CurrentSlice[symbol].Close
                change = (price - previousClose)/previousClose
                percentChange[symbol] = change
        
        # Symbols under consideration
        symbols = list(percentChange.keys())
        # Sort symbols by percent change
        sortedSymbols = sorted(symbols, key=lambda x : percentChange[x], reverse = True)
        # Get top 6 symbols
        selected = sortedSymbols[:6]
        # Set holdings equally to those symbols
        for symbol in selected:
            self.SetHoldings(symbol, 1 / len(selected))
    
    def OnMarketClose(self):
        # Store cumulative performance for symbols in portfolio
        for kvp in self.Portfolio:
            symbol = kvp.Key
            holding = kvp.Value
            if holding.Invested:
                if symbol not in self.performance:
                    self.performance[symbol] = holding.UnrealizedProfitPercent
                else:
                    self.performance[symbol] = self.performance[symbol] + holding.UnrealizedProfitPercent
        # Liquidate portfolio        
        self.Liquidate()
        
        # Store new previous close values
        for symbol in self.previousClose:
            if self.CurrentSlice.ContainsKey(symbol):
                self.previousClose[symbol] = self.CurrentSlice[symbol].Close
        
            
    def GetTopPerformers(self):
        # Symbols under consideration
        symbols = list(self.performance.keys())
        # Symbols sorted by performance
        sortedSymbols = sorted(symbols, key=lambda x: self.performance[x], reverse=True)
        # Top 10 performers
        self.top = sortedSymbols[:6]
        #Debug(sortedSymbols[:6])
        # Reset performances
        self.performance = {}

Hi Ben J,

Please see my previous post on this issue.

Best,
Shile Wen