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I published a paper on Improvements to Intraday Momentum Strategies Using Parameter Optimization and Different Exit Strategies. which builds on the results of a paper co-authored by Andrew Aziz: https://dx.doi.org/10.2139/ssrn.5095349 Abstract Building on the results of Zarattini, C., Aziz, A., & Barbon, A. (2024). Beat the market: An effective intraday momentum strategy for S&P500 ETF (SPY), we explore improvements to noise boundary based intraday momentum strategies by investigating different exit strategies and applying parameter optimization to all parameters of the strategies. We show that the returns of the momentum strategy can be significantly improved by such an approach. The best results are achieved with exits based on VWAP, VWAP & Ladder and Ladder exit strategies, with Sharpe ratios over 3.0 and annualized returns of over 50%, which are significant improvements against the baseline strategy. All feedback welcome -
Anyone used IBKR API for scalping?
ngan82 posted a topic in Day Trading Hardware, Software and Tools
Hello, I am looking to implement something simple like an ORB strategy to see how it works with auto trading. Am primarily a C/C++ guy so was pulled towards IBKR API. I would like to track 20-25 tickers at open. If the platform works out for my needs, I eventually would like to expand to new strategies if possible. Has anyone have experience with IBKR API or with any other platforms that are good for scalping using APIs? Thanks.