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G-AAPL - Opening Gap Strategy on Apple

Here's an opening gap strategy I tried out on apple. The model looks at the gap from the previous close to the open and makes a trade if this is in the opposite direction as the long-term trend.

Overall I think the strategy is alright but fails to work with other equities, does not scale well and may be susceptible to overfitting. Additionally I think it is possible that the default transaction costs could be understated in this case. It would be nice to see this tested on a small basket of HIGHLY liquid stocks.

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 57af6b0af4ab701237fca548
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