Intraday trading strategy for futures calendar spreads. Uses crude oil futures and 1-minute bid/ask bars from Interactive Brokers with a Bollinger Band mean reversion strategy. Runs in Moonshot. Demonstrates using exchange native spreads for live/paper trading, and non-native spreads for backtesting.
CLI:
quantrocket codeload clone 'calspread'Python:
from quantrocket.codeload import clone
clone("calspread")Start here: calspread/Introduction.ipynb
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