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I published a paper on Improvements to Intraday Momentum Strategies Using Parameter Optimization and Different Exit Strategies, for which I used the TWS API for live validation:

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

Dear Akos,

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thanks for sharing, a pity you couldn't replicate the returns of the Zarattini paper. Regarding your paper, looks promising but I would need to test it first out-of-sample.?

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Kr, Trados

Hi,

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I'd be interested in reading your paper. Can you post a working download link? The one you posted doesn't get me anywhere.

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Thanks

Interesting. The link posted leads to?? which has download links on it

Now it's working. Thanks!

Hi.

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Looks very interesting, however I could not replicate you results in my implementation.?

can you provide a code example of how did you implement it?

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Thanks

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Amit

Thanks for sharing your research! I'll very interested to read it!