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Hi,
I am wondering if the futures data of Quantconnect covers what is required in this book of Andreas Clenov. It needs to be adjusted. On page 53 of this book the asset categories are listed:
Agricultural: Cotton, Corn, Lumber, Live cattle, Lean hogs, Oats, Rough rice, Soybeans, Sugar, Wheat
Non-agricultural: Gasoil, crude oil, heating oil, gasoline, gold, copper, palladium, platium, silver
Currencies: AUD/USD, GBP/USD, EUR/USD, JPY/USD, NZD/USD, EUR/CHF, EUR/GBP, EUR/JPY, CHF/USD, CAD/USD
Equities: CAC40, DAX, FTSE 100, HS China Enterprises, Hang Seng, Nasdag 100, Nikkei 225, SP500, EuroStoxx 50, Russell 2000
Rates: Bunt, Schatz, Long gilt, Canadian Bankers', Acceptance, US 2-year note, US 10 year note, Eurodollar, EuroSwiss, Euribor, Short Sertling.
Does anybody has experience in trading this algorithm or is interested to build it? Of course first question where to get proper data on a daily basis?
J.
Quant Trader
The progress on my algo. I read the book for 25%. Seems you need > 1 mln dollar to run a proper futures strategy over diverse sectors. Anyhow, for a hobby I would like to finish the algorithm. For some reason I do not get future data. I must oversee something. Tomorrow a new day.
Quant Trader
Future data only comes in minute data. So that was the challenge.
Quant Trader
My last results. Asking myself why the ATR is a sigsaw and price of the futures contract is the same over a period of time.
Islander
Interesting. I don't like csharp. I would like to write in python.
I don't have access to this book, do you have a description of this strategy?
Pavel Fedorov
so did anyone finish writing up this strategy? it would be great to see how to implement in Python a simple strategy of buy and hold strategy for multiple futures using a filter to choose which of the list of future to long or short each period .. i am sure there must be some example that would be great to take a look atÂ
Quant Trader
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