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Do the algorithms have access to fundamental economic indicators? I was thinking of creating an forex algo using the interest rates of the two countries in a currency pair.
In general, are the available indicators mainly the technical ones?
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Yes, the indicators available by QuantConnect are all technical ones. QuantConnect's documentation allows you to search through all of the potential indicators (and candlestick patterns) available.
That being said, fundamental economic indicators can be outsourced from places like Quandl. QuantConnect has made importing data, especially from Quandl quite easy. Here is some sample code:
Quandl provides a lot of free economic data sets, such as FRED. The interest rates for the two countries could be found on Quandl. Regardless of the source, this strategy is very much implementable through QuantConnect.
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Thanks, Atacan for a great example! QuantConnect has modeled many Quantpedia algorithms, including this one. Feel free to look at QuantConnect's strategy library here. These algorithms can be great references when using LEAN.
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hi how do you view the carrying fees/income from carrying a trade overnight? is there a self.portfolio command? i want to see the interest income earned for this tutorial.
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Hi Apollos,
When looking through the docs, a potential portfolio command could be:
Portfolio.TotalUnrealizedProfit //Holdings profit/lossThis allows the trader to see the potential profit in the open trades (the short and long positions).
Regarding trying to determine the interest income earned for this tutorial, it is important to note that this carry trade just uses the official interest rates of the countries. When the highest/smallest currencies are longed/shorted, it is going to be hard to determine what part of the profit is due to the interest rate differential between the two currencies and what part of the profit is due to appreciation. There will need to be more research necessary than just a self.portfolio command.
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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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