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Can we create a time based execution strategy with stop loss on intraday basis?
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Need to create and backtest time based execution strategy. for example after opening of market say at 9:15 AM, want to enter in ATM/ITM/OTM options (CE/PE) off index at 9:30. The stop loss might be respective index upper/lower level. Or should get exit/closed before 15-20 min of market closing time.
Is it possible to implement it in backtrace? -
@pshiw There's two parts to your question.
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Yes you can build an execution strategy using Replay. This allows you to have two different time frames for your data.
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If you have implemented options in backtrader, great. But my understanding is that backtrader does not work well or at all with options. You might want to google that before you commit to using backtrader.
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