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Hey Everybody,
We're excited to give the community the third demonstration algorithm of how to use one of the 5 ETF universes in the competition: Volatility ETFs.
This algorithm provides a rough template of how this universe can be used in a submission and also implements some of the backtest requirements (5-year minimum, $1m starting cash minimum, and using the Alpha Streams brokerage model).
Some factors that tend to affect market volatility that you can consider when writing an algorithm:
- Major news announcements: economic changes affecting the broad market indexes, trade-war news, major geopolitical events, etc.
- US Government data: consumer sentiment, manufacturing index changes, etc.
- Corporate actions: mergers, earnings reports, etc.
- Analyst sentiment
P.S. -- Keep an eye out for new data sources regarding macro-economic updates, trade-war news, US Treasury data, and analyst sentiment to inform your trading signals!
Jack Simonson
Here is the C# version of the demonstration algorithm using the Volatility ETF universe!
Jack Simonson
We've attached a template for Classic style algorithms that can be used to get you started for the competition. Just clone the project attached and start coding!
Jack Simonson
Here's the C# version!
Jack Simonson
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