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Hi Everyone!!!
I was trying to code a strategy that goes long if the return on the opex date is negative and short if positive. I had issue with getting the return on the opex date. I will be grateful if anyone could help me write this code. The strategy is profitable and could be a good addition. 🚀
Thanks. 😊
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Varad Kabade
Hi S.T.E,
We recommend creating a rate of change indicator and warming it up using SetWarmUp (automatic) helper method or historical data (manual). Refer to the following doc for more information.
We can use OnData event handler to check if the current date is equal to the OPEX date and checking the trade signal using:
here the self.roc is the rate of change indicator created for SPX
Best,
Varad Kabade
S.T.E
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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