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Intra-day Momentum

This algorithm attempts to pick volatile stocks for a short day-trade. It is supposed to not hold overnight positions and trades in and out frequently based on short term moving averages. It makes reasonable returns in both 2015 and 2016 YTD if you assume NO commissions. Once you have to factor in commissions it can't turn a profit.

Putting it out here for anyone who wants to play around with it to see if they can improve it.

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: 582e2ed1c3443c1075a84a9c
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