Thanks to this paper: http://www.sciencedirect.com/science/article/pii/S1059056016301563
I developed this strategy in which I predict the direction of the overnight SPY and of the first 30 minutes of trading based on the last 30 minutes of the day before.
Now I wanted to use the same strategy, but applied to a universe of stocks instead of a single index. I wanted to go long only on the top 10% performing stocks of the S&P500 and go short in the bottom 10% stocks. In particular, if the return in the last 30 minutes of trading is positive, I want to go long overnight (or vice-versa). In addition, if the overnight ends up being positive for real, I want to go short in the first 30 minutes of trading of the next morning (or vice-versa).
I'm kind of new in the use of pipeline, do you have any tips on how to approach this problem? or where I could look at to implement this strategy?
Thanks a lot in advance,