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Volume Moving Averages

Hi all,
I thought this interesting, a simple moving average cross over with the volume. Increased volatility and elevated volumes tend to occur together, so this algo gets out of the market when the fast moving average goes over the slow, to hopefully dodge volatile times.

Gist of the strategy/settings
- Trading SPY
- Either 0% or 100% invested
- No commission/slippage
- (fast, med, slow) moving average days are (10, 80, 200)
- If the fast < both of of the others, it buys
- otherwise, it sells

I'm looking for more learning material, anybody have a good read on volume strategies?

David

2 responses

Hello David,

I don't have a reference, but this may be of interest:

https://www.quantopian.com/posts/custom-money-flow-index-mfi-w-slash-history-api

The MFI incorporates volume, so perhaps you can apply it here.

Grant

I like the idea but be careful because I just tested the signals with data starting in 1993 and I got lower risk adjusted returns than a buy and hold.