How do we exit positions after a specific holding time?

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Hi, 

How can we exit positions after let's say N days or N minutes?

Update Backtest







 
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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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hi Seine,

When using the Algorithm Framework, Insights can be passed a timedelta object, which will close the position after a specified interval. For example,

Insight.Price("IBM", timedelta(minutes = 20), InsightDirection.Up)

will signal a long position in IBM for 20 minutes. In regards to days, the timedelta object can be passed a days argument as well.

If the algorithm doesn't utilize the Algorithm Framework, we can save a reference to the order with

self.ticket = self.MarketOrder(symbol, 100)

and check whether the desired time interval has passed since the order fill with

if self.ticket is not None and self.UtcTime > self.ticket.Time + timedelta(minutes = 20):
self.Liquidate(symbol)
self.ticket = None

Refer to the attached backtest code for an example of the latter.

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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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





0

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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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