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G-AAPL - Opening Gap Strategy on Apple
Georges Bilan
edited Aug 13, 2016
Seeking Help Mean Reversion Hedge Fund Collaboration Request

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.

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