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
Shile Wen
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
Keith G
Thank you! I will look into this!
Keith G
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