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First Half Hour Predicts Last Half Hour

This tutorial demonstrates an intraday momentum strategy that buys (sells) the S&P 500 when the first half hour return and penultimate half hour return are both positive (negative). Positions are held from 3:30-4:00 PM. A filter is applied to disable the strategy whenever the VIX is below 20, reflecting that the strategy works best during high volatility regimes. The strategy uses 1-min data for SPY from QuantRocket's US Stock dataset and uses 30-minute data from Interactive Brokers for VIX.

Source paper: Gao, Lei and Han, Yufeng and Li, Sophia Zhengzi and Zhou, Guofu, Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return (June 28, 2015). Available at SSRN: https://ssrn.com/abstract=2552752