Attach is a simple trend following model. Buy if price is higher than 250 days ago, Sell if price is lower than 250 days ago. There is allocation logic using ATR. The modell only trades once per week. The issue is that this works well on futures, but since futures are not available on QuantConnect, I used future ETF's. The model is completely falling apart as compared to the Futures model. Could it be the only reason?? Any input word be much appreciated.
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Momentum Model
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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.
Brian,
Check out these links:
https://www.tradingfloor.com/posts/trend-following-small-portfolios-part-1-1935284086
https://www.tradingfloor.com/posts/trend-following-small-portfolios-part-2-2011322415
Check out these links:
https://www.tradingfloor.com/posts/trend-following-small-portfolios-part-1-1935284086
https://www.tradingfloor.com/posts/trend-following-small-portfolios-part-2-2011322415
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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.
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