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.