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Intraday "Rolling History"
Gregory Milne
posted Nov 7, 2014

As I familiarize myself with Quantopian's back testing software (which is pretty cool) I have a curious question.

I am looking to write a sample algorithm to learn how intraday trades are handled. Is it possible to do the following:

As a pure momentum play, follow a stock minutely to see if new intraday highs keep occurring, wait for a 1% or greater retreat off the days current high. Then, if the stock rebounds and crosses the previous intraday high by 0.5% market buy with a stop-loss placed at the cost-basis.

I was playing with the history function for a while but couldn't quite get this to work.

Any help is much appreciated.

Thanks

1 response
Alisa Deychman
Nov 9, 2014

Hi Greg,

Welcome to Quantopian! I can point you in the right direction to get started. You'll need the history function to track the previous prices, can place a stop-loss order using the built-in order functions, and can access the cost basis through the position object.

If you want some code examples of other intraday strategies, check out these previous threads:
https://www.quantopian.com/posts/intraday-strategy-gap-play-please-help
https://www.quantopian.com/posts/how-to-build-an-intraday-strategy
https://www.quantopian.com/posts/intraday-high-frequency-basket-trading-strategy

Cheers,
Alisa

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.