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I have been working with the kei strategy algo , modified by Vladimir, Frank ?, and Tom Penrose.
The algo uses following Quandl data source:
Leading indicator, amplitude adjusted, OECD - Total, Level, ratio or index, Monthly
(OECD/KEI_LOLITOAA_OECD_ST_M)
The FRED data source has a similar data source called
Leading Indicators OECD: Leading indicators: CLI: Normalised for the United States
(USALOLITONOSTSAM)
The two data sources are 90 percent correlated but the FRED source is US only.
I do not see the FRED data set available in the Quantconnect documentation.
Am I missing it or is it not available
Any help greatly appreciated
Frank
Fred Painchaud
Hi Frank,
Sorry my memory is failing on this - I certainly do remind reading posts on FRED availability / unavailability. It was certainly available at one point but then it stopped working. That I recall. But then, I don't know if it came back because the issue was fixed or it was gone for good because it could not be offered anymore by QC or something like that.
Anyway.
Have you tried that? https://www.quantconnect.com/docs/alternative-data/federal-reserve-economic-data
That's what I know used to work and then ceased, and then don't recall what happened next 😊…
Fred
Frank Giardina
Fred,
Thanks for the reply. I did check out the documentation but the data set I am looking for is not there. On the FRED site there is this one OECD based Recession Indicators for the United States from the Peak through the Trough (USARECDM). But it is not the one. The other issue is resolving the QuantConnect data set name with the FRED name. For example i use the FRED API in google Colab and the datasets are all referenced by the name in parns (USARECDM). I will just continue to us the FRED data through the API. I can't incorporate into a Quantconnect strategy but i can graph it and see if it is meaningful.
Thanks again
Frank
Fred Painchaud
I got a flash.
https://www.quantconnect.com/datasets/us-federal-reserve-economic-data
Also look at the examples tab.
You may be already referencing that in your last post but I send it anyway. It does not look like what you are searching for.
Fred
Varad Kabade
Hi Frank Giardina
The Fred dataset is available; please use the following link for more information regarding the same. Note that the Quandl dataset is now a Nasdaq data link; refer to the following for more information. Note that we are also going to add FREDs subcategories on the landing page.
Best,
Varad Kabade
Frank Giardina
Varad,
Thanks for the reply. I see the FRED datasets and I looked at the Quantconnect documentation. The specific dataset i am looking for is Leading Indicators OECD: Leading indicators: CLI: Normalised for the United States (USALOLITONOSTSAM). I do not see that under this link
Everything I see in the docs are for Recession Indicators From Peak Through The Period Preceding. In the FRED API you can access datasets by using the code name for example USALOLITONOSTSAM. Again not sure how these dataset names translate for Quantconnect access.
Thanks Frank
Frank Giardina
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