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Trading in the minute

Inspired by "sell in May and go away", I tried to repeat the pattern each day - sell in the beginning and buy at the end. To make it fun, I used randomly picked stocks in the universe. Doesn't seem bad. Any comment is appreciated.

Clone Algorithm
Backtest from to with initial capital
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Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 517b000c650df0069749c79b
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2 responses

Hi Taibo - thanks for sharing.

First thing to think about with increasing the rebalance frequency to "intraday" is that you'll want to consider sensitivity to transaction costs. Not sure if you happened to catch Tomas Bok's meetup in Boston this week - but if you get a chance take a look at his slides, he covers this topic far better than I could attempt to here (or maybe there will be an upcoming webinar?).

Incorporating one of Quantopian's slippage models (or at least just a fixed commission assumption) will be informative - my (albeit generic) concern is that in practice it will be challenging to achieve returns in excess of costs at the intraday frequency.


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Hi Jessica, thank you so much for sharing your ideas! You're right that the transaction cost may become the limiting factor of more frequent rebalances, and indeed slippage model does influence its performance. I'll look deeper into it.

I was in fact more into the idea that selling/buying at the beginning/end of the day would work better than most of the signals that I have been using thus far. In fact, even for randomly chosen stocks in this case, such a strategy greatly reduced volatility as compared to, say, this post.