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SPY ETF trading strategy

4.2 Sharpe.
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Hi, is a trade by trade record available for this system?

robin4gray@gmail.com
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Hi Robin. It is possible to clone algorithm and run it to see trade by trade records.
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I should mention that it only works on some selective ETFs such as SPY, IWM, DIA and probably a few more.
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Thanks, Do you trade it live?

Any idea how it would work with emini futures?
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Impressive @Satayapravin, thank you for sharing. I'll mention it in the next newsletter. @Robin hopefully we'll get this trading live very shortly through QC.
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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.


Nice, need to learn so much but I'd love to develop something like this. What's the steps to take it live @Jared?
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@Jared Is there any update on the system? The code of this project does not compile any more.
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Hey @YuanGao - we updated the fill models to a new format for partial fills. I've patched the algorithm with the new models and it builds now.

The system worked based on short term low volatility spikes from secondary market exchanges. Tadas has done some work here by filtering the ticks from each exchange, and only displaying the ticks from main exchanges. You can clone the template below.
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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.


This is actually my first post here, ever.
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Thank you for sharing !
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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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