Intraday momentum strategy that buys (sells) the S&P 500 when the first half hour return and penultimate half hour return are both positive (negative). Uses VIX filter to restrict strategy to high volatility regimes. Uses 1-minute SPY data from QuantRocket and 30-minute VIX data from Interactive Brokers. Runs in Moonshot.
CLI:
quantrocket codeload clone 'first-last'Python:
from quantrocket.codeload import clone
clone("first-last")Start here: first_last/Introduction.ipynb
Find more code in QuantRocket's Codeload Library