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Large-Cap Momentum + Breadth Risk-Off + T-Bill Cash Sweep (improved fork of QC community #285 "US Large-Cap Momentum Crowding-Controlled" by Rowan Whiteside)
Sector-neutral large-cap momentum (multi-horizon, above 189-day EMA, ADX
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Vidal boreal
same as original code, have different results in same period when start date changes
Sanchari
Hey vidal boreal , it's not the same code. the original strategy has issue of pre close fills and alse i've extended the straregy to dive into T-Bill  instead of cash.Â
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please do check the header comments.Â
Based on the QuantConnect community strategy "US Large-Cap Momentum Crowding-Controlled" (#285, Rowan Whiteside). This version adds a short-duration Treasury (BIL) cash sweep so unallocated / de-risked capital earns yield instead of sitting idle, and uses a clean next-open fill model: decide on the prior session's data at 15:55, then fill via MarketOnOpenOrder at the next session's open -- no look-ahead (the original placed market orders at 15:55 which, on Daily resolution, fill at the prior-day close -- an unachievable-live, inflating fill).
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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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