Sell-on-Gap Zipline Strategy¶
Intraday Zipline strategy for US stocks that sells stocks which gap below their moving average after previously trading above it.
The strategy rules are as follows:
- Universe Selection:
- Starting universe, top 10% of US stocks by dollar volume
- limit to stocks that closed above their 20-day moving average
- Entry rules:
- Sell stocks that gap down at least 1 standard deviation and open below their 20-day moving average. Enter positions 10 minutes after the open.
- Exit rules:
- Close positions 5 minutes before the close.
Historical Data Collection
- Part 1: Historical Data Collection
Research and Backtesting
- Part 2: Universe Selection
- Part 3: Interactive Strategy Development
- Part 4: Zipline Strategy Code
- Part 5: Backtest
- Part 6: Trade Inspection
Live/Paper Trading
- Part 7: Broker-Specific Steps for Live Trading
- Part 7A: Alpaca/Polygon Steps
- Part 7B: Interactive Brokers Steps
- Part 8: Account Allocation and Scheduling