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