Parameter Scans¶
This notebook uses a parameter scan to investigate how large the intraday move should be in order to trigger a trading signal. We test 2, 4, 6, and 8%.
In [1]:
from quantrocket.moonshot import scan_parameters
scan_parameters("trend-day",
param1="MIN_PCT_CHANGE",
vals1=[0.02, 0.04, 0.06, 0.08],
filepath_or_buffer="trend_day_MIN_PCT_CHANGE.csv")
The strategy performs best when setting the threshold at 6%:
In [2]:
from moonchart import ParamscanTearsheet
ParamscanTearsheet.from_moonshot_csv("trend_day_MIN_PCT_CHANGE.csv")
