I am looking for a basic example of using the MACD indicator for the S&P Mini Futures.
1. Select S&P E Mini Futures Contract
2. Get the contract with the highest open interest
3. Prep MACD Indicator at the minute level
4. If the Signal passed the MACD, enter long with take profit of 2 points
5. Set Stop loss to 4 points
6. Same for shorting
I have tried multiple times, but can't get this to work as my Take Profit and Stop Loss limits don't are not updated.
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Attached backtest
Hi Lordy,
To get the contract with the greatest open interest, we sort the contracts by this property in OnData
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for chain in slice.FutureChains:
contracts = [contract for contract in chain.Value]
if len(contracts) == 0:
self.oi_contract = None
self.macd = None
break
contract = sorted(contracts, key=lambda k : k.OpenInterest, reverse=True)[0]We then make a MACD indicator for the filtered contract.
self.macd = self.MACD(contract.Symbol, 12, 26, 9, MovingAverageType.Exponential, Resolution.Minute)To use the MACD values as the entry condition, we utilize a tolerance level. When deploying the initial market order, we also set the take profit and stop loss orders too.
tolerance = 0.003
signalDeltaPercent = self.macd.Current.Value - self.macd.Signal.Current.Value
if signalDeltaPercent < -tolerance:
#Go long
self.MarketOrder(symbol, 1)
self.takeProfit = self.LimitOrder(symbol, -1, price*1.01)
self.stopLoss = self.StopMarketOrder(symbol, -1, price*0.99)
if signalDeltaPercent > tolerance:
#Go short
self.MarketOrder(symbol, -1)
self.takeProfit = self.LimitOrder(symbol, 1, price*0.99)
self.stopLoss = self.StopMarketOrder(symbol, 1, price*1.01)To ensure we don't have dangling orders in the market when one of our TP/SL is hit, we cancel open orders when one of these is filled.
def OnOrderEvent(self, orderEvent):
if orderEvent.Status != OrderStatus.Filled:
return
self.Cancel(orderEvent.OrderId)
def Cancel(self, id):
if self.takeProfit is not None and id == self.takeProfit.OrderId:
self.stopLoss.Cancel()
elif self.stopLoss is not None and id == self.stopLoss.OrderId:
self.takeProfit.Cancel()
else:
return
self.takeProfit = None
self.stopLoss = NoneSee the attached backtest for reference. To learn more, I recommend reviewing our Bootcamp lesson on trading futures.
Best,
Derek Melchin
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.
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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