Backtesting an intraday scalping strategy

Just wrote this article about backtesting an intraday scalping strategy. I would love to hear your comments/opinions:

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Very cool post, @mrea!
Curious, did you ever test more symbols with this strategy?
Would be curious to see:

  1. What types of stocks this works well on
  2. If it works best on a single group of criteria-defined stocks, what would that group’s criteria be and what would the best performing symbols be within that group?

I thought I’d read you were pulling your backtesting data from polygon. If this is the case, I imagine you could pull a massive amount of symbols and let the strategy loop for a bit and come back to your results.

That strategy worked surprisingly good given how dirty and unpolished it is.
I took the data from Polygon. I tested around 100 different symbols.
I did test that one and other strategies and got ‘good’ (comfortably higher than S&P500) results but always underperforming a buy-n-hold strategy with good ETFs.

Hey @mrea

Your article on backtesting an intraday scalping strategy is a really informative and helpful read. I am currently running the community research at Alpaca and wanted to see if you are interested in writing more articles. We are pretty flexible with topics and would have them published on Alpaca’s Resources page (linked here If this is of interest please reach out to me in the Alpaca community slack. My username is Jason Bohne