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Day trading within whole numbers

This month Stocks and Commodities had an article by Ken Calhoun on day trading using whole numbers.

Algorithm

  1. Find stock getting ready to take out their 2-day high
    • just above a whole number
    • priced $15 to $50 (configurable)
    • >15k shares per minute traded (configurable)
  2. Set buy-stop order 0.20 above whole number (configurable)
  3. On entry set stop at whole number
    1. Exit trade on 0.80 gain (configurable)

Extensions

  1. You can set global_tolerance_to_whole_number to allow stocks at 13.98, 14.02, etc.
  2. You can cease entering new positions at end of day (configurable)
  3. You can set the time at end of day to close all positions (configurable)

Comments

Uses pipeline with custom filters and custom factors
Uses order_optimal_portfolio

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 59b5a83c11c46b50eb7ebd5d
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