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Historically, buying the SPY500 at close and selling at open next morning has been extremely profitable strategy (proof attached below). My goal with this project is to help me execute this strategy with a tactical assignment. My model looks at the daily rate of change of volume, price open, and price close of VIX and SPY500. Originally I tried to incorporate COVID-19 daily rate of change in cases, however, I noticed as time went on the correlation decreased. The model is built to buy at 3:55pm and sell at open the next morning only if the model affirms a profit. The model is long only. I am working on the automation of the signal once I can increase my accuracy and try new variables to feed in. I am aware that a simple yes/no is not enough to trade on, I simply use this as an A/B test when I want to hold SPY overnight. I have more confidence in my 60% accuracy model, than my pure assumption. I only use this model as a basis if I should sell or hold overnight. My goal is to increase its accuracy and also give more specific details like expected percentage increase (currently working on it).
Looking to add more variables that take into consideration fixed income stuff like investment grade etf volume and range of daily price (high - low).
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