Learning momentum-based/trend-following strategies

Momentum-based/trend-following strategies are types of technical analysis strategies. They assume that the near-time future prices will follow an upward or downward trend.

Rolling window mean strategy

This strategy is to own a financial asset if its latest stock price is above the average price over the last X days.

In the following example, it works well for Apple stock and a period of 90 days:

%matplotlib inline
from zipline import run_algorithm 
from zipline.api import order_target_percent, symbol, set_commission
from zipline.finance.commission import PerTrade
import pandas as pd
import pyfolio as pf
import warnings
warnings.filterwarnings('ignore')
def initialize(context): 
    context.stock = symbol('AAPL')
    context.rolling_window = 90
    set_commission(PerTrade(cost=5)) 
def handle_data(context, data): 
    price_hist...