🚀 Wrapping up my workflow for back-testing intraday momentum with zero-cost Alpaca data, a Python script & RealTest for lightning-fast ana…
Thread by Peter - Cracking Markets@SystematicPeter · May 23, 2025 · 3 posts · 240 words · 1 min read
🚀 Wrapping up my workflow for back-testing intraday momentum with zero-cost Alpaca data, a Python script & RealTest for lightning-fast analysis that i will share here. Here are the exact rules I’m testing: 1️⃣ Trade window: 09:30–16:00 ET, 1-min bars 2️⃣ Vol gauge: SPY’s last 15 days ⇒ average daily % swing (used for bet sizing) 3️⃣ Typical minute wiggle: for each clock minute, average the last 14 days’ intraday range |Close ÷ Open − 1| 4️⃣ Bands • Upper Band = max(Open, yesterday’s close-adj) × (1 + typical wiggle) • Lower Band = min(Open, yesterday’s close-adj) × (1 − typical wiggle) 5️⃣ Signal at every 30-min bar close (10:00, 10:30 …): 🔼 Go long if Price > Upper Band and Price > VWAP 🔽 Go short if Price < Lower Band and Price < VWAP 6️⃣ Sizing: target ±2% daily account move ⇒ Shares = Equity / Open × min(0.02 / vol gauge, 4×) 7️⃣ Exit: first minute after a 30-min bar when the long/short test fails (5️⃣) or 16:00—whichever comes first After fees, the curve still slopes 🔝. Caveat: TradeStation volume vs Alpaca differs → VWAP shifts (details in my study bellow) → results differ. If systematic edges are your jam, smash that RT & follow @CrackingMkts for more! ⚡️📊 #AlgoTrading #TradingStrategy #SystematicDaytrading
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Deep-dive on comparing affortable intraday data sources 👉 https://www.crackingmarkets.com/comparing-affordable-intraday-data-sources-tradestation-vs-polygon-vs-alpaca/
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Original study: Beat the Market An Effective Intraday Momentum Strategy for S&P500 ETF (SPY) - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4824172
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Peter - Cracking Markets answered 1 question
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@zenozsx asked
Isn’t this just the Concretum Bands strategy?
Right it is - see the post. Backted on free Alpaca data.
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