Hi,

I am trying to create a simple strategy for Futures Nasdaq:

Calculate return of the instrument from 9:30 to 15:30. If the return is positive, open a long position for last 30 min of the session. If it is negative, then open a short position for the last 30 min of the session. 

Unfortunately, the strategy does not open any positions. Could you please help me with this ?

 

  1. from AlgorithmImports import *
  2. from datetime import datetime
  3. import numpy as np
  4. from datetime import timedelta
  6. class MomentumAlgorithm(QCAlgorithm):
  7.     def Initialize(self):
  8.         self.SetStartDate(2023, 1, 1)
  9.         self.SetCash(100000)
  11.         self.opening_price = None
  12.         self.position_value = 0
  13.         self.open_position = False
  14.         self.closing_price = None
  15.         self.pnl = []
  16.         self.accuracy = []
  17.         self.cumulative_profit = 0.0
  18.         self.initial_capital = 100000
  20.         self.er = self.AddFuture(Futures.Indices.NASDAQ100EMini)
  21.         self.contract = None
  23.         self.Schedule.On(self.DateRules.EveryDay(self.er.Symbol), self.TimeRules.At(9, 30), self.OnMarketOpen)
  24.         self.Schedule.On(self.DateRules.EveryDay(self.er.Symbol), self.TimeRules.At(15, 30), self.OnTradeBar)
  25.         self.Schedule.On(self.DateRules.EveryDay(self.er.Symbol), self.TimeRules.At(16, 0), self.OnEndOfDay)
  27.     def OnData(self, data):
  28.         for chain in data.FutureChains.Values:
  29.             for contract in chain.Contracts.Values:
  30.                 self.contract = contract
  31.                 break
  32.             break
  34.     def OnMarketOpen(self):
  35.         if self.contract is None or self.contract.Symbol not in self.CurrentSlice.Bars:
  36.             return
  38.         bar = self.CurrentSlice.Bars[self.contract.Symbol]
  39.         self.opening_price = bar.Open
  41.     def OnTradeBar(self):
  42.         if self.contract is None or self.contract.Symbol not in self.CurrentSlice.Bars or self.opening_price is None:
  43.             return
  45.         bar = self.CurrentSlice.Bars[self.contract.Symbol]
  46.         return_value = bar.Close - self.opening_price
  48.         # opening long/short at 15:30
  49.         if return_value > 0:
  50.             self.position_value = bar.Close
  51.             self.open_position = "long"
  52.             self.SetHoldings(self.contract.Symbol, 1)
  53.         elif return_value < 0:
  54.             self.position_value = bar.Open
  55.             self.open_position = "short"
  56.             self.SetHoldings(self.contract.Symbol, -1)
  58.     def OnEndOfDay(self):
  59.         if self.contract is None:
  60.             return
  62.         if self.contract.Symbol not in self.CurrentSlice.Bars or not self.open_position:
  63.             return
  65.         bar = self.CurrentSlice.Bars[self.contract.Symbol]
  66.         return_value = bar.Close - bar.Open
  68.         # check for end of session at 16:00
  69.         if self.open_position == "long":
  70.             self.closing_price = bar.Open
  71.         elif self.open_position == "short":
  72.             self.closing_price = bar.Close
  74.         if self.closing_price:
  75.             self.Liquidate(self.contract.Symbol)  
+ Expand

Author

Sebastian Wozniczka

July 2023