This is my rewrite of the excellent strategy presented here by Jing Wu, Momentum Strategy with Market Cap and EV/EBITDA.

I took the effort of rewriting as I understand C# better than Python and my observation was C#  runs a little faster. It makes it much easier to run multiple Backtests; a few minutes vs. more than an hour to run a multi-year backtest.

I’m new to Quant Connect and want to understand a couple of things before I go live trading.

  1. How does Set Cash work when I do live trade?
    • Can I start, say with 4 or 5 grand, and ramp up over time? If yes should I update the production application?
    • In the event I want to withdraw part of the capital from the brokerage account how does it affect the application?
    • Should be a question to Interactive Brokers, but trying my luck, will it work with Interactive Lite?
  2. When I’m doing my back-tests, I often see a message “Insufficient funds” or something to its effect. Within my code, I ensure not to use more than 80% of my “cash”. Should I take of settlement days (T+3?) before I place the buy order after a sell?
  3. I’ve done 1-1 implementation of Jing’s logic (of course small changes here and there) but will eventually modify security select logic. If I’d do so how do I deployed to production? Do I liquidate all my holdings and re-deploy?
  4. In the event I maintain more than one account/portfolio with Interactive accounts can I run more than one application on a server (say “Server 512”)?

Sorry, it is a multipart, multisubject question but they are minor details that most of us will stumble upon and hence compiled many of my questions into one.