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This algorithm trades ETFs according to the trend from regression. The regression uses half-year daily data. If the absolute value of the slope is high enough and recent residual breaks the regression line, a long/short position is open. Idealy it takes profit when the residual breaks 1.64(90% confidence interval) or 1.96(95% confidence interval), at which moment we think the trend is going to reverse. For safety, I also added stoploss threshold for it.
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Yan Xiaowei
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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