Hi, I am looking to create an algorithm. I am new to Quantconnect and am just working through the bootcamp tutorials. I was hoping someone would be able to review what I am trying to achieve for my first algo and before I make a start give me some pointers as to the best way to structure it:

From a yet to be defined Universe of equities;

  • Buys equities just before the close if the price is within 5% of HOD
  • Sells equities just before the close if the price is within 5% of LOD

They would be ranked based on relative volume so the algo would hypothetically:

  • buy 5 positions within 5% of high of day, with the highest relative volume.
  • sell 5 positions wthin 5% of low of day, with highest relative volume
 Thanks Marc

Author