Hello all. I am new to QuantConnect and want to share an intraday strategy for equities on this platform provided by QuantConnect.
I am looking for an experienced programmer who can volunteer to code the algorithm, back test it on a data set of your choice and publish the results here with your observations. The algorithm will remain the intellectual property of the programmer who volunteers to develop it.
I welcome all questions and inquiries and look forward to finding that right fit for my needs.
Regards,
Joemon Henry.
Important Points
1) Entry Point:- Create an array with Open Price of the Symbol as the reference point. Range can be defined based on the permissible % of intraday movement from the reference point for the Symbol.
2) Entry-Exit Time:- It is advisable to set the entry time 30 minutes from the open time and exit time 30 minutes before market close to avoid extreme volatility that would result in slippage.
3) Price Points:- While maintaining the 3:6:9 ratio for Step:Profit:SL you can use -0.05 for SL Buy (A), +0.05 for Profit (C), & +0.1 for SL Sell (D) to the price points across the arrays to avoid duplicate values.
4) Slippage:- In case of slippage, order will be open only for the farthest price point from the reference point. The reference point here will be the most recent price point where there is fully or partially filled order.
5) Quantity:- It is important we do not choke the directional price movements of the Symbol using the strategy. Hence the quantity should be based on average traded quantity for the Symbol derived from historical data and not on size of fund allocation.
6) Open Orders:- Once we maintain the 3:6:9 ratio for Step:Profit:SL maximum open orders per Symbol would be four, factor this in while allocating the funds.
Please Note: Tips 7,8 & 9 are not standard but premium features. User discretion recommended.
7) Stock Picking:- Add codes to pick Volume and Turnover of the preferred Symbols from the exchange to determine the volatility. Based on a predetermined ratio to the historically traded volumes most volatile Symbols can be picked for the day.
8) Input Parameters:- Input parameters Symbol, Quantity, Step, Profit & SL can be uploaded using a .csv file if you intend to rotate the symbols based on your analysis. If you have predetermined Symbols for a definite period you can include them into the codes and run on autopilot mode.
9) Kill Switch:- As widely advised for automated trading place a kill switch to shut down the strategy if the realized P&L turns negative.
Joemon Henry
Additional Information
Calculate the minimum value for STEP to cover the transaction cost by using the formula -
STEP = Open Price * Transaction Cost
Any value above this for STEP would generate profits assuming zero slippage.
Petter Hansson
Just had a very quick look at that link. Looks like the strategy needs access to best bid/ask? That data is not on QuantConnect at the time for equities.
Joemon Henry
Thank you for the input. At QUANTPRO we never back test the strategies and hence limited information on the same. We analyse the performance of algorithms through rigorous and continuous tests on the paper (virtual) trading platform provided by NSE (National Stock Exchange, India). Whole intend of publishing the strategy on QuantConnect is to share a succesful strategy with the trading community.
Joemon Henry
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!