How to get data feeds for future momentum algorithm: Following the trend: diversed managed future trading


I am wondering if the futures data of Quantconnect covers what is required in this book of Andreas Clenov. It needs to be adjusted. On page 53 of this book the asset categories are listed:

Agricultural: Cotton, Corn, Lumber, Live cattle, Lean hogs, Oats, Rough rice, Soybeans, Sugar, Wheat

Non-agricultural: Gasoil, crude oil, heating oil, gasoline, gold, copper, palladium, platium, silver


Equities: CAC40, DAX, FTSE 100, HS China Enterprises, Hang Seng, Nasdag 100, Nikkei 225, SP500, EuroStoxx 50, Russell 2000

Rates: Bunt, Schatz, Long gilt, Canadian Bankers', Acceptance, US 2-year note, US 10 year note, Eurodollar, EuroSwiss, Euribor, Short Sertling.

Does anybody has experience in trading this algorithm or is interested to build it? Of course first question where to get proper data on a daily basis?

Update Backtest

The progress on my algo. I read the book for 25%. Seems you need > 1 mln dollar to run a proper futures strategy over diverse sectors. Anyhow, for a hobby I would like to finish the algorithm. For some reason I do not get future data. I must oversee something. Tomorrow a new day.


Future data only comes in minute data. So that was the challenge.


My last results. Asking myself why the ATR is a sigsaw and price of the futures contract is the same over a period of time.


Update Backtest


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