This is my take on scheduled intraday universe selection, written in Python (LEAN). The attached code is not a tradable strategy, it’s a template for others to use in building their own strategies. Feel free to re-use this, customize it, make it better and re-share. General ArchitectureThere are three universe selection phases: Coarse, Fine and Intraday (scheduled). In the Fine and...
It seems that the Kalman filter and Laguerre filter work well with EMAs for entries/exits. The attached algorithm trades Crypto (or any ‘trendy’ asset), using crossovers between the three. It has a 60% Win Rate and a 3.58 Sharpe, but don’t be fooled. This isn’t because it’s an amazing strategy, it’s because crypto assets went parabolic during the backtest period. So...
After a long work day I often challenge myself to write the least amount of code to generate the most profitable equity curve. I never have any intent to trade the thing –it’s deliberately overfit– but I find it to be good calming way to unwind. Some people have a Zen garden on their desk. To each his own. Last night I wasn’t up for a challenge, but I still wanted the...