Monthly Cross-Sectional Momentum in Currency Futures

Summary

This QuantConnect example implements a monthly momentum strategy across eight currency futures. It measures each contract’s return over roughly twelve months, ranks the available contracts, then targets the three strongest positions long and the three weakest short. It uses daily data, waits for a warm-up period, and rebalances when the calendar month changes. The example also specifies a fee model and leverage for the futures data.

Key ideas

• The strategy ranks currency futures by approximately twelve-month return against the U.S. dollar.
• It goes long the three strongest contracts and short the three weakest when at least six contracts have usable data.
• Positions are reviewed monthly, and contracts outside the selected groups are liquidated.
• The example includes modeled transaction fees and leverage, but provides no performance results or risk analysis.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.