One allocation problem

The formatting has some issues, here is the tidy one

Hi all, I would like to ask if someone has been worked on that or point out where is my mistake, here is the situation. We want to give allocations to some assets based on the current regime,
For example: At the end of every day, we want to do a daily asset allocation without leverage

1. if the market is in regime A, we want to hold ½ SPY and ½ QQQ
2 .if the market is in regime B, we want to hold ⅓ GLD, ⅓ SPY and ⅓TLT. 
3. if the market is in regime C, we want to hold ⅓ VXX, ⅓ IWM and ⅓ GLD

Hence, my code is something like this:

def order_excution(self): 
     if self.regime == ‘A’: 
              self.SetHoldings([PortfolioTarget("SPY", ½), PortfolioTarget("QQQ", ½)])

       elif self.regime == ‘B’:
               self.SetHoldings([PortfolioTarget("GLD", ⅓), PortfolioTarget("SPY", ⅓), PortfolioTarget("TLT", ⅓) ])

      else: # regime == C           
          self.SetHoldings([PortfolioTarget("VXX", ⅓),  PortfolioTarget("IWM", ⅓),  PortfolioTarget("GLD", ⅓)])

def OnSecuritiesChanged(self, changes):   
      '''Liquidate symbols that are removed from the dynamic universe'''   
        for security in changes.RemovedSecurities:      
            if security.Invested: 
                self.Liquidate(security.Symbol, 'Removed from universe')  
However, some orders can't be filled because the leverage > 2, what's wrong with this code.. thank you!  

I think the problem is that you do not close existing positions, try adding all symbols you are using to all SetHoldings targets, but use 0 for ones you don’t need, so that their positions could be liquidated.