strategy came from this AQR paper...
short SPY at the open on the 3rd friday of every month (expiration day for index options) and cover the short in the early afternoon (this algo covers at noon but it looks like the AQR paper says 1pm?). l used 3x leverage
I'm relatively new to python so I'm not 100% sure if it only trades on that 3rd Friday (also, if a holiday falls on the third friday then opex happens the day before... not sure how to code that). Returns slowed down in past 3 years but pretty decent returns overall for only having exposure to the market for 2.5 hours every month