I have spent many more days working on trying to understand the intricacies of Lean (Quantconnect’s back testing engine) and appear to be making some progress. I wish I could say the same about my venture to understand Timmay Sykes and the business he has built around Penny Stocks.
At the time of my previous post, all I had managed to do was to test buying stocks at the open today and selling at the close today if yesterday at the close the stock had risen x% from the previous day’s close.
I then reverted to reading more of the wondrous works of Timmay and considered the fact that he appears to spend his day glued to a screen watching a watch list.
Therefore the idea of momentum must be intra-day momentum. Obs. I constructed a back test such that if a stock rose intra-day x% or more above yesterday’s close on sufficient volume you buy that stock. Or indeed sell it. Instead of waiting to exit the trade at the close, I built in both a stop loss and a profit taking mechanism.
The long side is still an unmitigated disaster. The short side less so but hardly a bonanza.
Several things may be happening here.
- I have botched the code. Nothing more probable and I will continue to work on it.
- The idea of buying (selling) penny stocks on intra-day momentum is flawed.
- I have misunderstood Timmay.
- A combination of the above.
Regardless, so far I am not impressed by the concept of Penny Stocking.
I posted my code on the Quantconnect forum so others may marvel at my ineptitude and come to my rescue.
I have sent a Tweet to Mr Sykes and offered to help him back test and codify his strategy. I believe that would be mutually beneficial.