Tagresearch

January 5, 2022

3 Min Read

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...

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Fun with a ‘SPY Climber’

By quantish

In Systematic Trading

July 8, 2021

1 Min Read

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...

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