Free Friday #19 from Build Alpha
www.buildalpha.com/freefriday/
Was poking around this website that had a lot of interesting ideas and strategies to look at, decided to build this one here since it's pretty quick and easy scalping strategy, was built for IWM but I had SPY open and so why not haha. I remove the day of month filter as I felt like that may have been curve fitting the strategy since I can't think of a logical reason to not trade only the first 4 days of the month, I believe that was the only change I made, I havent used pine in a bit so may have made some errors, I will post the backtest results from QuantConnect in the comments in a bit as that will likely be more accurate.
Thanks again to the author of that blog, he's on twitter @dburgh I believe, just stumbled upon his stuff today but it is some great work.
Was poking around this website that had a lot of interesting ideas and strategies to look at, decided to build this one here since it's pretty quick and easy scalping strategy, was built for IWM but I had SPY open and so why not haha. I remove the day of month filter as I felt like that may have been curve fitting the strategy since I can't think of a logical reason to not trade only the first 4 days of the month, I believe that was the only change I made, I havent used pine in a bit so may have made some errors, I will post the backtest results from QuantConnect in the comments in a bit as that will likely be more accurate.
Thanks again to the author of that blog, he's on twitter @dburgh I believe, just stumbled upon his stuff today but it is some great work.