Share New Research 
The aim is to capitalize in turbulent markets, aiming to buy stocks at the bottom of troughs and sell at the top of peaks. See how it worked on the S&P since the turn of the millennium. Please let me know if you guys have suggestions
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Jared Broad
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.
Tadas Talaikis
Tadas Talaikis
EdwardTse
TimCo
Mason chang
EdwardTse
Jared Broad
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.
Jared Broad
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.
Mauro Andrade
@Jared - I, too, had the same issue as @Mauro when attempting to run the algo. Any ideas?
Jeff Miller
@ Daniel and @Mauro - The reason no trades are placed is because the algo is using minute resolution and trying to apply its logic at the day's open with Time.Hour == 9 && Time.Minute == 30. However, it looks like the earliest tick of the day always comes in as 9:31. Not sure if 9:30 or 9:31 is correct, but apparently it's changed since the time of this post. Since the minute resolution didn't seem necessary and performance was slow, I tried to convert it to a daily resolution. So I changed the following AddData("CAPE", Resolution.Daily);
AddSecurity(SecurityType.Equity, stock, Resolution.Daily);
And removed
Time.Hour == 9 && Time.Minute == 30
This appears to work, however I think I'm running into some async issues now that's causing duplicate trades.
Securities[stock].Holdings.Quantity is not reporting properly after a SetHoldings or Liquidate.
Do I need to throw a thread.sleep in somewhere to give Holdings time to update?
I'm new to the quantconnect platform and this is my first algo to poke with a stick, so any help would be appreciated.
Michael Handschuh
When you make a call to SetHoldings what it does it submit a MarketOrder. If the market's are closed (as is the case with daily data which fires at midnight), then we'll convert the MarketOrder into a MarketOnOpenOrder. So you holdings aren't updated immediately because we'll need to wait for the market to re-open to process the fill.
Jared Broad
Nice diagnostics @Jeff; you're correct the time behavior has changed since the post. Now the times are "end times" - the data is synchronized to the most forward moment which for minute bars is 9.31am after market open.
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.
TimCo
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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