Improvements to Intraday Momentum Strategies Using Parameter Optimization and Different Exit Strategies

[Ákos Maróy 2]

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

Edited January 22, 2025 by Ákos Maróy

[FredL 0]

Are you planning to implement a bot to trade in real?

[Ákos Maróy 2]

1 hour ago, FredL said:

Are you planning to implement a bot to trade in real?

Already did

[FredL 0]

23 hours ago, Ákos Maróy said:

Already did

Do you use VectorBT Pro for trading too?

[Ákos Maróy 2]

10 hours ago, FredL said:

Do you use VectorBT Pro for trading too?

No, VectorBT Pro is for backtesting only. It's a standalone implementation using python and ib_async to trade on Interactive Brokers. Some of the code can be shared, as VectorBT Pro is in python as well, but not that much actually.

[FredL 0]

6 hours ago, Ákos Maróy said:

No, VectorBT Pro is for backtesting only. It's a standalone implementation using python and ib_async to trade on Interactive Brokers. Some of the code can be shared, as VectorBT Pro is in python as well, but not that much actually.

Happy to take a look if you want to share something.