Hello all,
I wanted to share some useful code to make switching to, and working with, minute data easier.
The aim is to make it easy to get from one day to the next, so only your entry point during the day needs to be worried about. It tends to shorten your handle_data function too, which is nice.
This backtest was run on daily data with batch_transform, the next backtest is the same algorithm switched to minute data to give an example of making the switch.
The algorithm is an MPT tangency portfolio. It imports the 3 month t-bill rates from Quandl to be used as the risk free rate.
Dave