Basic sector rebalance monthly algorithm

main.py

import numpy as np

class BasicTemplateAlgorithm(QCAlgorithm):
    '''Basic template algorithm simply initializes the date range and cash'''

    def Initialize(self):
        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
        self.SetStartDate(2004, 1, 1)  #Set Start Date
        self.SetEndDate(2018, 2, 16)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage) 
        self.AddEquity("SPY", Resolution.Daily)
        
        self.load_symbols()
        
        self.rebalance = True
        if self.rebalance:
            self.Schedule.On(self.DateRules.MonthStart("SPY"), \
                self.TimeRules.AfterMarketOpen("SPY"), \
                Action(self.trade)
            )
        else:
            self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 30), Action(self.trade))
            

    def OnData(self, data):
        pass

    def trade(self):
        for symbol in self.symbols:

            holdings = self.Portfolio[symbol].Quantity
            
            if self.rebalance:
                # always monthly rebalance
                self.SetHoldings(symbol, symbol.weight)
                
            if holdings <= 0:
                self.SetHoldings(symbol, symbol.weight)


    def load_symbols(self):
        sectors = {
            'VOO': 0.25,
            'VWO': 0.25,
            'BND': 0.25,
            'VNQ': 0.15,
            'VT': 0.1
        }
        
        self.symbols = []
        for key, value in sectors.iteritems():
            symbol = self.AddEquity(key, Resolution.Daily, Market.USA, True, 1.0).Symbol
            symbol.weight = value
            self.symbols.append(symbol)