Equity · Global · CFDs, ETFs, futures · Intraday · Global Free

Intraday Momentum in Equities

Academic paper

Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return

AuthorsLei Gao; Yufeng Han; Guofu Zhou

Institute

George Mason University
University of North Carolina at Charlotte
?University of North Carolina (UNC) at Charlotte - Finance
Rutgers, The State University of New Jersey
Washington University in St. Louis
?Washington University in St. Louis - John M. Olin Business School
?Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

Paper linkhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=2440866

Strategy in a nutshell

This intraday strategy uses the first and last half-hour returns as timing signals. A long position is taken if both returns are positive, a short if both are negative, and neutral if they differ. All positions are closed at market close to avoid overnight risk.

Economic rationale

Predictable intraday price patterns emerge from day traders’ reversion expectations and informed traders’ timing during high-volume periods. Strategic trading at market open and close creates short-term trends that this systematic approach exploits.

Backtest performance

Annualised return4.39%

Volatility4.49%

Beta0.001

Sharpe ratio0.98

Sortino ratio-0.592

Win rate48%

Full Python code

1from AlgorithmImports import *
2class IntradayMomentumEquities(QCAlgorithm):
3def Initialize(self):
4self.SetStartDate(2000, 1, 1)
5self.SetCash(100000)
6self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
7self.Schedule.On(self.DateRules.EveryDay(self.symbol), self.TimeRules.BeforeMarketClose(self.symbol, 30), self.Rebalance)
8self.Schedule.On(self.DateRules.EveryDay(self.symbol), self.TimeRules.BeforeMarketClose(self.symbol, 1), self.MarketClose)
9
10def Rebalance(self):
11day_history = self.History([self.symbol], 12*30, Resolution.Minute)
12
13if len(day_history) == 12*30 and 'close' in day_history:
14    first_half_hour = day_history['close'][:30]
15    first_half_hour_ret = self.Return(first_half_hour)
16    
17    twelfth_half_hour = day_history['close'][-30:]
18    twelfth_half_hour_ret = self.Return(twelfth_half_hour)
19    if first_half_hour_ret > 0 and twelfth_half_hour_ret > 0:
20        self.SetHoldings(self.symbol, 1)
21    elif first_half_hour_ret < 0 and twelfth_half_hour_ret < 0:
22        self.SetHoldings(self.symbol, -1)
23
24def MarketClose(self):
25self.Liquidate()
26def Return(self, history):
27return (history[-1] - history[0]) / history[0]