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Sorting by momentum factor

I would like to sort the securities by highest momemtums in a specific window length( for example 3 days)

close = history of close price for securities for past 3 days

factor = close[-1] / close[0]

and then sort securities by this factor.

after that select top n security + bottom n security for long short strategy

Can you help me achieve this?

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Check out this example in the Strategy Library which does something very similar.

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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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