import talib def initialize(context): context.secs = [ symbol('SPY') ] context.history_depth = 30 context.iwarmup = 0 context.BBANDS_timeperiod = 16 context.BBANDS_nbdevup = 1.819 context.BBANDS_nbdevdn = 0.470 def handle_data(context, data): context.iwarmup = context.iwarmup + 1 if context.iwarmup <= ( context.history_depth + 1 ) : return dfHistD = history(30, '1d', 'price') S=context.secs[0] CurP=data[S].price BolU,BolM,BolL = talib.BBANDS( dfHistD[S].values, timeperiod=context.BBANDS_timeperiod, nbdevup=context.BBANDS_nbdevup, nbdevdn=context.BBANDS_nbdevdn, matype=0) record(CurP=CurP,BolU=BolU[-1],BolM=BolM[-1],BolL=BolL[-1]) if CurP < BolL[-1] : order_target_percent(S,+0.97) else: if CurP > BolU[-1] : order_target_percent(S,-0.97) return