Help defining a futures chain for different SetHolding weighting

Back

This is my first futures attempt, I want this to be simple monthly rebalancing with NQ and VX. I know my roll logic is not preferable, but its enough for me right now. So for now its fine with just NQ, but I want to add VX with a smaller weighting. I tried adding:

if contracts.Key.Value == Futures.Indices.NASDAQ100EMini:

after line 28: "for contracts in data.FutureChains.Values:" But I get an error, and I'm stuck how to define this chain for just the NQ, so I can add another "for contracts..." loop for the VX to set it with a smaller SetHoldings amount.

I hope that makes sense.

thanks!

mark

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.


Hi Mark,

To access the base contract symbol for a Futures Contract, we need to access it's .Symbol.ID.Symbol field. I've shown this in the attached backtest.

Best,
Shile Wen

1

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.


Thanks Shile!

0

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.


Loading...

To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!