Momentum Model

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. 

Update Backtest


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