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Gap Up strategy
taro shinsei
posted

Hi there.

Here is my first Algorithm.

While I tried to find good Gap Up Gap Down algo, I have accidentally found that if I see the gap from the day before yesterday's close to today's open, not the gap from yesterday's close to today's open, gives better results.

Let's say, today was July / 12 / 2017.
In this case, see the close prices as of July / 10 / 2017 and compare to the open prices as of July / 12 / 2017.

This is what I wrote:

  1. get SP500ish symbols
  2. at Open, find assets which price are UP from the day before yesterday's close to today's open. (Gap should be 5% < gap < 100% )
  3. remove assets top/bottom 10 (as they might be noise)
  4. go short them
  5. at 10:10, close all of them.
2 responses
taro shinsei

Code revised.
Use QTradableStocksUS and clean messy stuff.

taro shinsei

I have rerun my gap up strategy today and found the return has been changed dramatically down from the last time. I am not sure, but it might be because that Quantopian has changed default slippage model on Dec 19 2017.
Changes Coming to the Default Slippage Model - https://www.quantopian.com/posts/changes-coming-to-the-default-slippage-model

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