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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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