first-last

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.

Clone in QuantRocket

CLI:

quantrocket codeload clone 'first-last'

Python:

from quantrocket.codeload import clone
clone("first-last")

Browse in GitHub

Start here: first_last/Introduction.ipynb

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