How do i share a custom indicator across multiple projects ?
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How do i share a custom indicator across multiple projects ?
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Jared Broad
Welcome Mike! No sorry this feature is not supported yet but its on our todo list! :)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Nicholas Stein
@Makio I do not understand what you mean by a COT indicator. I believe by COT you mean Commitment of Traders. Jake Berstein and Chris Moody wrote a COT indicator on TradingView that tracks the Commercials for currencies. I think it is based on the Legacy report. The short form CFTC reports are available as free data sets on Quandl. Looking at his code, it looks like that is where he is getting his data.
You do not need Quandl, you can download the history of the commodities both combined and futures only directly from the CFTC web site on both short and long form.
Of course you could relate the reports to specific symbols. For example you could relate CFTC Contract Market Code 88691 for Gold to GLD (which is tradable) or the XAUUSD (which is an index and not tradable) or the GC which is the futures for the index (which is tradable).
Then you need to decide which column to use as your indicator. You could use Open Interest or one of the long or short columns for one of the groups that the CFTC reports such as: Producers, Money Managers, Swaps or Other.
Then there is the matter of getting the data into QC. You could use a custom data source or download it into a List when you initialize your algorithm.
I decided to download the data from the CFTC and process it in Excel to create graphs relating the daily closing price for an instrument to the weekly COT report. I am charting Open Interest, Long and Short positions for each of the groups, and next change for each of the groups. I plot those value along with the Bollinger Bands and the price of the underlying and look for a signal. Then I can use that intelligence to select an underlying symbol and trade it using RSI. In other words the signal is generated offline and I use other indicators to make the trades.
Take a look at Yang Zhang Volatility for an example of this technique.
Nick
Mike_pp
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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