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in the same way as we have in stocks cross-sectional strategies where we select stocks from a universe based on some indicator e.g. momentum or value, and then we gain exposure to those for a set holding period,, has anyone seen a quantconnect Python example how we do this for Futures? i.e. an example where we select N number of futures contracts based on a trend filter and some criteria like minimum open interest and then hold those for one month with equal weighting for example…
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Pavel Fedorov
and also does anyone know how to calculate the carry yield for futures contracts? i see there is no way to do it with the standard futures objects in algoseek documentation
Louis Szeto
Hi Pavel
You can take a look at some of the explore strategies (example) for futures.
Best
Louis
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.
Pavel Fedorov
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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