Initializing Lumibot Strategies with Parameters and Market Calendars
Summary
This documentation explains the strategy initialization lifecycle in Lumibot. The initialize method runs once when a strategy starts and can set operating parameters such as iteration interval and how long before the close trading should stop. It can also define custom parameters, which can be supplied through the strategy constructor or varied when launching backtests. The page further identifies initialization as the place to create built-in AI agents and configure their default prompt, model, tools, and external server allowlists.
The guide also describes changing the strategy’s market calendar, with examples ranging from exchange-specific schedules to continuous or near-continuous sessions. It notes that the default schedule uses NASDAQ days and hours. These are framework usage instructions rather than a trading method, and the document supplies examples but no performance evidence or discussion of how to choose parameter values. Calendar selection and iteration timing must match the instruments and strategy being run; the page itself does not assess those operational choices.
Key ideas
- The initialization method runs once at strategy startup and is used to set strategy parameters.
- Custom parameters can be passed through constructors and during backtests.
- The guide places AI agent creation and configuration in initialization.
- Market calendars can be changed, while the stated default follows NASDAQ hours.
- The documentation explains framework setup but offers no evidence about profitable parameter choices.
Tags
Full text
# self.sleeptime: the sleeptime duration between each trading iteration in minutes
def initialize
===================================
.. meta::
:description: This lifecycle methods is executed only once, when the strategy execution starts. Use this lifecycle method to initialize parameters like:.
This lifecycle methods is executed only once, when the strategy execution starts. Use this lifecycle method to initialize parameters like:
.. code-block:: python
# self.sleeptime: the sleeptime duration between each trading iteration in minutes
# self.minutes_before_closing: number of minutes before the market closes to stop trading
class MyStrategy(Strategy):
def initialize(self, my_custom_parameter=True):
self.sleeptime = "5M"
self.minutes_before_closing = 15
self.my_custom_parameter = my_custom_parameter
**Custom Parameters**
You can also use the initialize method to define custom parameters like my_custom_parameter in the example above. You can name these parameters however you'd like, and add as many as you'd like.
These parameters can easily be set using the strategy constructor later on.
**AI Trading Agents**
``initialize()`` is also where you should create built-in LumiBot AI agents with ``self.agents.create(...)``. This is the best place to set the agent's standing ``system_prompt``, default model, allowed tools, and external MCP server allowlists. See :doc:`agents` for the full guide.
.. code-block:: python
strategy_1 = MyStrategy(
name="strategy_1",
budget=budget,
broker=broker,
my_custom_parameter=False,
my_other_parameter=50
)
.. code-block:: python
strategy_2 = MyStrategy(
name="strategy_2",
budget=budget,
broker=broker,
my_custom_parameter=True,
my_last_parameter="SPY"
)
or just for backtesting
.. code-block:: python
options = [True, False]
for option in options:
MyStrategy.backtest(
YahooDataBacktesting,
backtesting_start,
backtesting_end,
stats_file=stats_file,
my_custom_parameter=option,
my_last_parameter="SPY"
budget=budget,
)
# `options` in this example is not referring to trading options contracts.
**Changing Market Hours**
If you'd like to change the market hours for which the bot operates, then you can use the set_market() function like this:
.. code-block:: python
def initialize(self, asset_symbol="MNQ", expiration=datetime.date(2021, 9, 17)):
self.set_market('24/7')
Default is NASDAQ days and hours.
Possible calendars include:
.. code-block:: python
['MarketCalendar', 'ASX', 'BMF', 'CFE', 'NYSE', 'stock', 'NASDAQ', 'BATS', 'CME_Equity', 'CBOT_Equity', 'CME_Agriculture', 'CBOT_Agriculture', 'COMEX_Agriculture', 'NYMEX_Agriculture', 'CME_Rate', 'CBOT_Rate', 'CME_InterestRate', 'CBOT_InterestRate', 'CME_Bond', 'CBOT_Bond', 'EUREX', 'HKEX', 'ICE', 'ICEUS', 'NYFE', 'JPX', 'LSE', 'OSE', 'SIX', 'SSE', 'TSX', 'TSXV', 'BSE', 'TASE', 'TradingCalendar', 'ASEX', 'BVMF', 'CMES', 'IEPA', 'XAMS', 'XASX', 'XBKK', 'XBOG', 'XBOM', 'XBRU', 'XBUD', 'XBUE', 'XCBF', 'XCSE', 'XDUB', 'XFRA', 'XETR', 'XHEL', 'XHKG', 'XICE', 'XIDX', 'XIST', 'XJSE', 'XKAR', 'XKLS', 'XKRX', 'XLIM', 'XLIS', 'XLON', 'XMAD', 'XMEX', 'XMIL', 'XMOS', 'XNYS', 'XNZE', 'XOSL', 'XPAR', 'XPHS', 'XPRA', 'XSES', 'XSGO', 'XSHG', 'XSTO', 'XSWX', 'XTAE', 'XTAI', 'XTKS', 'XTSE', 'XWAR', 'XWBO', 'us_futures', '24/7', '24/5']
Reference
----------
.. autofunction:: lumibot.strategies.strategy.Strategy.initializeShown in full with attribution under the source's licence. Licence: GPL-3.0
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.