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Equity Momentum Strategy (Andreas Clenow)

I am currently trying to migrate the Equity Momentum Strategy by Andreas Clenow to the Quantconnect Algorithm Framework. The strategy estimates the momentum of stocks by averaging two slopes, calculated over two different time windows. 

The algorithm is still a stub, since I am currently stuck at a few very basic problems:

  • How can I set an execution frequency, such that the Update method of the AlphaModel and each subsequent step is called once a week or month at a specified time?
  • When I include a bull market filter by setting indexAverageWindow != o , I get a Runtime Error: ArgumentException : Unable to locate exchange hours for Base-empty-[*]  error.

Any help would be appreciated. The next step would be to implement a PortfolioConstructionModel that allocates positions based on the inverse volatilty of each candidate stock. 

 

Update Backtest








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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.


Hi Filib,

I've made some comments on your other recent posts and included a backtest for this one. Give the code a review and see if it helps with building the rest of your algorithm, and if you need more guidance someone in the community or on our team will be happy to help.

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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.


Hi Filib,

My apologies about that. I just re-opened the thread so have a look and let me know what your thoughts are there.

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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.


Update Backtest





0

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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