day trade the ES mini?

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day trade the ES mini?

posted May 11, 2018

Getting Started Asset Allocation Futures

I have an algo that day trades the ES mini. I'm considering porting it to quantopian. The algo determines if a trend day is likely to occur, when there is a high probability a trend day will occur then it will trade in that direction. Based on the following it seems my algo wouldn't be considered by quantoptian.

"As a rule of thumb, we are looking for algorithms that seek to limit their maximum exposure to any single sector to less than 10%, and ideally target an average exposure of as close to 0% as possible." - since ES is based on several sectors does it satisfy this requirement?

"As a rough approximation, we are looking for algorithms that limit their single stock exposure to 10% of their portfolio value or less at any given time."

An alternative would be the algo could determine a trend day is likely to occur then day trade 10 different stocks in 10 different sectors. However there could be days when it doesn't make sense to enter trades for 10 different stocks in 10 different sectors.

Thanks in advance.

Cheers.

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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 Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.