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example algo showcasing usage of minute data with the new feature Q500US

Attached is an example algo showcasing the usage of minute data with Q500US.

The algo is a long-short momentum strategy that buys stocks with high volume and high return and shorts the other end (30 stocks per leg). Purchased stocks are held in the portfolio for only one minute. As many might expect, turning on the transaction cost kills this simple algo. :)

Kudos to the Quantopian team for pushing out all the features within the past 2 years.

1 response

Lee, Charles, and Bhaskaran Swaminathan. "Price momentum and trading volume." the Journal of Finance 55.5 (2000): 2017-2069.
http://onlinelibrary.wiley.com/doi/10.1111/0022-1082.00280/full

Volume might be something worth looking into.