We are trying to build a total return momentum strategy using a methodology that will facilitate live trading. I understand the "dataDataNormalizationMode.TotalReturn" does not facilitate live trading, and that it does not activate cash dividends for long positions.

I understand the better way is to use Raw prices and to activate Dividend Events, and to create indicators for each symbol we want to rank (equal to Raw Price Plus Accumulated Dividends) and to rank these 'compound symbols,' in our security selection process.

Once securities are Ranked by Total Return, on the basis of Raw Price Plus Cash Dividends, we then need to be able to buy the underlying symbols using Raw Price and to have cash dividends come into the portfolio automatically.

However, the code we have now in our abbreviated project, attached, contains a dividend activation code sample received from QC (beginning on code line 48), which only activates dividends for one symbol, SPY, and our attempts to address the multiple symbols in our symbols lists (SymbolList1 and SymbolList2) have not worked: you can't just copy and paste the dividend event activation code for multiple symbols.

How do you spell HELP?

If someone would be kind enough to take a look at our approach here and to put us on the right path we would appreciate that very much! What we are trying to do follows.

1. We need to activate dividends for a LIST of sticks.

2. We need to build compound symbols for each stock in our lists that is equal to appreciation plus accumulated dividends, giving us Total Return values.

3. Then we need to be able to trade the symbols underlying these compound symbols based on Raw prices with cash dividends paid into the portfolio.

In this project these lists are SymbolList1 and SymbolList2, beginning on code line 87.

It is important for us to capture the total return of our holdings, appreciation plus cash dividends. And we need to be able to Rank the underlying symbols based on their Total Return as part of the security selection process.

The performance available from such an approach has been independently verified and tested. We are just attempting to build this algorithm on QC to improve our control of strategy testing, and to facilitate our trading on IB; also because the QC platform and community are so damn cool!

Thank you!