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I am currently trying to migrate the Equity Momentum Strategy by Andreas Clenow to the Quantconnect Algorithm Framework. The strategy estimates the momentum of stocks by averaging two slopes, calculated over two different time windows.
The algorithm is still a stub, since I am currently stuck at a few very basic problems:
- How can I set an execution frequency, such that the Update method of the AlphaModel and each subsequent step is called once a week or month at a specified time?
- When I include a bull market filter by setting indexAverageWindow != o , I get a Runtime Error: ArgumentException : Unable to locate exchange hours for Base-empty-[*] error.
Any help would be appreciated. The next step would be to implement a PortfolioConstructionModel that allocates positions based on the inverse volatilty of each candidate stock.
Jack Simonson
Hi Filib,
I've made some comments on your other recent posts and included a backtest for this one. Give the code a review and see if it helps with building the rest of your algorithm, and if you need more guidance someone in the community or on our team will be happy to help.
Jack Simonson
Hi Filib,
My apologies about that. I just re-opened the thread so have a look and let me know what your thoughts are there.
Filib Uster
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