1-3-momentum-based-tactical-allocation.py

class MomentumBasedTacticalAllocation(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2007, 8, 1)
        self.SetEndDate(2010, 8, 1)
        self.SetCash(3000)
        self.spy = self.AddEquity("SPY", Resolution.Daily)
        self.bnd = self.AddEquity("BND", Resolution.Daily)
        self.spyMomentum = self.MOMP("SPY", 50, Resolution.Daily)
        self.bondMomentum = self.MOMP("BND", 50, Resolution.Daily)
        self.SetBenchmark(self.spy.Symbol)
        self.SetWarmUp(50)

    def OnData(self, data):
        if self.IsWarmingUp:
            return
        if not self.Time.weekday() == 1:
            return
        if self.spyMomentum.Current.Value > self.bondMomentum.Current.Value:
            self.Liquidate("BND")
            self.SetHoldings("SPY", 1)
        else:
            self.Liquidate("SPY")
            self.SetHoldings("BND", 1)