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Backtesting intraday extreme moves on large caps

Hello,

I need help figuring out how to backtest largecaps (mcap > 10Bil).  I'd like to short if there is a move over 5% in a 15 minute duration (at any time of day), and long if there is a drop more than 5%.  I'm hoping someone can point me in the right direction, or maybe knows of a backtest(s) with similar criteria or something I can look at and refit.  I am aware of filtercoarse and filterfine for filtering down to mcap > 10Bil.  I am lost at the point of trying to flag a 5% move within a 15 minute intraday window, then backtesting that on all stocks in my universe (as opposed to just SPY, or any single ticker).  Preferably in Python.

 

Thanks so much,

Keith

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Hi Keith,

I suggest using MOMP with Minute Resolution and a period of 15. Furthermore, this Strategy Library addition demonstrates how to apply this MOMP indicator to a Universe of stocks.

Best,
Shile Wen

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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.


Thank you!  I will look into this!

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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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