Sell-on-Gap Zipline Strategy

Intraday Zipline strategy for US stocks that sells stocks which gap below their moving average after previously trading above it.

The strategy rules are as follows:

  • Universe Selection:
    • Starting universe, top 10% of US stocks by dollar volume
    • limit to stocks that closed above their 20-day moving average
  • Entry rules:
    • Sell stocks that gap down at least 1 standard deviation and open below their 20-day moving average. Enter positions 10 minutes after the open.
  • Exit rules:
    • Close positions 5 minutes before the close.

Historical Data Collection

Research and Backtesting

Live/Paper Trading