I have read the book of Andreas Clenow about future momentum algorithm and created the algo in C# for the stock version like many others.. and most likely I will trade it if I have a good indicator for stock drawdown.

However, I have the idea that futures are a better way to go for a diversed strategy. However, in the book it is mentioned you need at least 1 mln of underlying capital. I do not have :-). I informed at http://www.millburncorp.com/ which does 15-20% yearly since 1974. Unfortunately, they are not interested in retail traders only investors like pension funds. A pity as that would make live easier as they have a more diversed portfolio of billions. Now I have to create my own algo and go for the 1 mln of underlying capital :-).

Maybe there are others with the same ambitions who want to collaborate on that algorithm. The difficult part will first of all get the data, I do not believe the data of QuantConnect has continous futures. I can buy that data. No problem with that. I am more wondering how to trade over various market hours globally and in different markets with QuantConnect as most of the time you only trade one market.

Any ideas, or others that also like a challenge? I would like to go for C#, but if the majority is for Python. I go for Python as well.