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FX Macro Economic Sentiment Algorithm

Hi there guys!

Here is a pretty simple but promising algorithm.

It has two modules, the alpha generator that makes uses of the FXCM Macro Economic Sentiment (Lean example) to get the signals. And, the risk manager I already shared in this forum.

The code is commented, so you can follow the logic there.

Now, I need some advices.

Quant front:

The take profit is very simple; is that bad? how can I improve it?

Also the volatility model, that in turns defines the stop loss price and –in turn- the take profit price is just a STD. Seems it works, but I have the feeling it can be improved. Maybe different indicator or same indicator with different configuration for each pair can be used. What do you think?

Implementation front:

When I try to use the trailing order from the RiskManager, the algorithm runs out of memory. After reading in this post, I call the Garbage Collector once per day. The algorithm runs a little longer, but in it hits the memory limit again. Any ideas of how the trailing order can be improved?

Any hint, advice, idea will be much appreciated.

Have a nice Weekend!

Update Backtest






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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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.


Why does this not pull DailyFX data properly now? I get an error that DailyFX isn't a recognized type. Is the code missing an include?

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DailyFX.cs is no longer included in Lean. I found an old version of it and created a new DailyFX.cs in my cloned project, this gets rid of the compile errors I was getting. It seems like the URL in the DailyFX.cs file that points to where it should be pulling data from doesn't get the data it needs for back testing. 

DailyFX.com has no documentation I can find, and actually just getting to a serializable version of the data they host isn't something I have found yet. I am going to keep looking into it.

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This data was removed because its timestamps were incorrect and it did not

perform the same in live trading
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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.


Update Backtest





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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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