Dual Moving Average Template

# Simple Moving Average Trend Following Strategy using two moving averages
# This strategy goes long our "risk asset" if the short MA is above the long MA
# We will exit our "risk asset" and go long our "safe asset" if the short MA is below the long MA


def initialize(context):
    #Schedule our "trade" function, to run everyday 5 minutes before the close:
    schedule_function(trade, date_rules.every_day(), time_rules.market_close(minutes=5))

    #Set up our assets.  Ill make the "risk asset" = SPY and the "safe asset" = AGG
    #Feel free to change these to your liking
    context.risk_asset = sid(8554) #SPY
    context.safe_asset = sid(25485) #AGG

    #Lets set up our moving average lengths:
    #Feel free to change these to your liking
    context.short_ma_length = 20
    context.long_ma_length = 100

def trade(context, data):

    #Lets grab some historical data for our risk asset
    history = data.history(context.risk_asset, 'close', 200, '1d')

    #Calculate our moving averages:
    #Notice we are slicing our rolling historical data we just grabbed:
    SMA_short = history[-context.short_ma_length:].mean()
    SMA_long = history[-context.long_ma_length:].mean()

    if SMA_short > SMA_long:
        order_target_percent(context.risk_asset, 1.0)
        order_target_percent(context.safe_asset, 0.0)
        print('We are long our risk asset')

    else:
        order_target_percent(context.risk_asset, 0.0)
        order_target_percent(context.safe_asset, 1.0)
        print('We are long our safe asset')