QUANTCONNECT COMMUNITY

No Results

Join Our Discord Channel

Join QuantConnect's Discord server for real-time support, where a vibrant community of traders and developers awaits to help you with any of your QuantConnect needs.

Quarterly Open-Source Trading Competition

The Open-Quant League is a quarterly competition between universities and investment clubs for the best-performing strategy. The previous quarter's code is open-sourced, and competitors must adapt to survive.

pending review This research is under review. To publish this research attract three community upvotes.

Draft Discussions

Bookmarked Discussions

Share New Research

Start New Discussion Sign up

SEARCH DISCUSSIONS

TOP 5 Research PUblications

About Quant League

The Open-Quant League is a quarterly competition between universities and investment clubs for the best performing strategy. Previous quarter's code is open-sourced, and competitors must adapt to survive.

competition rules

See the competition code of conduct and rules for participation in prizes.

Read Rules

previous competitions

Browse strategies and organization entries from previous quarter's competitions.

STRATEGY

333,300 Quants.

Become a Quant

VOTE FOR UPCOMING FEATURES

Share your input and vote on our future direction.

LEAN Roadmap

Create an account on QuantConnect for the latest delivered to your inbox.

ETF Region Rotation Strategy

Hi together,

I am referring to a research paper by Gary Antonacci, available for free here: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1833722

Gary suggests to perform a rotation between regional ETFs, Gold and Treasuries:

IWB, IEV, EWJ, EPP, IEF, SHY, GLD

He suggests to determine the 6-Months-Momentum (e.g. about 120 days) and rebalance the portfolio every month by buying 2 or 3 ETFs with the highest Momentum(120d). He writes about annual returns of 15-30%.

My search in the forums and the help function yielded no results for this specific problem.

Could someone provide me with some help how to code this rotation strategy for backtesting? Unfortunately I am an absolute beginner to algorithmic programming and Python, but willing to learn. Some help at the start nonetheless would be great!

Thanks so much in advance, and sorry for my bad English - I am from Germany.

Best wishes,

Stephan

Update Backtest

person upvoted this people upvoted this

Stephan Ellmann

| |

Accepted Answer

Update Backtest

Notebook

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.

Michael H

35.4k ,

Hey Stephan! Checkout this algorithm I shared a couple weeks ago. You can use it as the skeleton to create your own strategy. I've updated it to have a real Momentum indicator. This momentum indicator is the n-period percent change in the security. Also, in this algorithm I'm using a weighted average of the 30 day and the 90 day momentum to determine an objective score. Feel free to clone and modify to suit your needs! If you have any specific questions on how to modify this please feel free to ask here!

HelmuthVollmeier

424 ,

Michael, where can we find the algorithm you talk about in your post ? There is no link in your comment or in your profile under the 'shared algorithms' section :-(

Michael H

35.4k ,

Hey Helmuth! In my post above there is an 'Edit Algorithm' button. Clicking this will clone the algorithm and allow you to run/edit it.

HelmuthVollmeier

424 ,

Thanks Michael. I 'discovered' it just after asking in my comment :-)

NathanGeorge

3.9k ,

Hey Michel, It's giving me a some errors trying to run this code, I think the new updates to LEAN broke this code. Unfortunately, I'm such a novice at C# and LEAN, I don't even know where to begin fixing the errors. For example, the first one says: WindowIndicator takes one argument I tried changing public class Momentum : WindowIndicator to public class Momentum : WindowIndicator or public class Momentum : WindowIndicator and it didn't work, I'm not sure what else to try. there are some other errors, like 'WindowIndicator.WindowIndicator(string, int)' is inaccessible due to its protection level : base("MOM" + period, period) Operator '*' cannot be applied to operands of type 'decimal' and 'Momentum' return (weight1 * OneMonthPerformance + weight2 * ThreeMonthPerformance) / (weight1 + weight2); but no luck. If you have the time and energy, it would be really helpful to share how we can fix these problems. Thanks, Nate

Michael Handschuh

50.5k ,

Hey Nathan, this code is pretty old, from before we released our indicator library. So the compiler is complaining about Momentum being redefined as it's now included as part of the product I've attached a new version which just removes the Momentum file.

Stephan Ellmann INVESTOR

Update Backtest

Notebook

person upvoted this people upvoted this

To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!

Organization

Organization Website

Update Competition

Team

Clone Strategy

Copy this strategy code to your QuantConnect account and deploy it live with your brokerage.

Clone

Previous Ranking

Browse strategies and organization entries from previous quarter's competitions.

Author:

Platform

Radically Open-Source Algorithmic Trading Engine

Join Our Discord Channel

Quarterly Open-Source Trading Competition

Draft Discussions

Bookmarked Discussions

SEARCH DISCUSSIONS

TOP 5 Research PUblications

About Quant League

competition rules

previous competitions

333,300 Quants.

VOTE FOR UPCOMING FEATURES

ETF Region Rotation Strategy

Organization

Team

Clone Strategy

Previous Ranking

IN THIS RESEARCH

PARTICIPANTS

Discussion Awards

Actions

Join QuantConnect for Free

Platform

SIGN IN

Radically Open-Source Algorithmic Trading Engine

Join Our Discord Channel

Quarterly Open-Source Trading Competition

Draft Discussions

Bookmarked Discussions

SEARCH DISCUSSIONS

TOP 5 Research PUblications

About Quant League

competition rules

previous competitions

333,300 Quants.

VOTE FOR UPCOMING FEATURES

ETF Region Rotation Strategy

Organization

Team

Clone Strategy

Previous Ranking

IN THIS RESEARCH

PARTICIPANTS

Discussion Awards

SHARE RESEARCH

SHARE DISCUSSION

SHARE ARTICLE

SHARE

Actions

Join QuantConnect for Free