Hey team, Jacob here.
One of our community members wanted to a code a strategy from a research paper.
Beat the Market An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)
Letβs see if we can find some alpha.
We built this trading system in our live strategy building session.
I wrote this prompt into ChatGPT :
Read and understand this paper entirely. Summarize the findings, then we want to build a NinjaTrader 8 ES futures strategy following this paper.
The core idea is a regular-session intraday time-series momentum system that trades only when price escapes a dynamically computed βNoise Area,β then uses current-band plus VWAP trailing stops and optional volatility-targeted sizing. The paper is SPY-focused, but the authors explicitly note that the same rules were also tested on futures, including S&P 500 futures, with positive results for the S&P 500 equity-index futures case.