Intraday Momentum Engine
An event-driven backtester for a minute-level momentum strategy on SPY.
KEY SIGNALRealistic costs + risk metrics
THE CHALLENGE
What needed to change.
A useful strategy test needed to account for volatility, execution costs and risk rather than headline return alone.
THE APPROACH
How I structured the solution.
I implemented noise bands, VWAP trailing stops, volatility-targeted sizing, commissions and slippage on one-minute data.
THE OUTCOME
What the work demonstrated.
The engine produces trade logs and evaluates Sharpe, drawdown, alpha, beta and period returns against buy-and-hold SPY.