I've learned a lot from all of you.
I want to create a sort of ranking model but I need your help.
This strategy starts a simple gap strategy (I will add more on this model later but I need a base).
0). Let's set our universe with Nasdaq 100 (I saw someone posted the list of it. Thanks).
Our universe is totally depending on our preference. (I like SP500 or Russell 3000 though...)
1). This strategy is basically long only model.
2). Buy at market session open at 09:32 (EST) and close its all positions at the end of the day at 15:58 (EST).
So this algo starts its run at 09:31 (EST) once and close its run until 15:57(EST). Then it reruns at 15:57 to close all the open orders.
3). Trade once per each selected stock per day.
4). First Find the stocks with gap low at open.
If opening gap (open price - close of yesterday) is lower than one standard deviation with period of 90 days.
This stddev should be computed using daily close -to-close returns of the last 90 days.
5). Then we buy list within top 10 ranking list per day. (top means the biggest gap lower than 1*stddev).
Please help me.