I wanted to find out if the intraday vector (direction of price change) in the last 30 minutes of trading could be indicative of overnight gains. There are four combinations of vectors (++,--,+-,-+) that designate whether to be long or short any given stock overnight. The vectors are derived from the direction of price change from market open to 35 minutes before close, and 35 minutes from close to 5 minutes to close. All positions are opened 5 minutes before close and are sold at market open the following day.

This is far from a solid stand alone strategy, but it could be a useful way get returns on any excess cash that hasn't been deployed prior to market close.

There are a few issues with it in its current state:

Common returns are exceptionally high. I'm guessing this is due to the fact that I'm only selecting stocks in top 99.75th percentile for average daily volume. Could this be attributed to "wisdom of the crowd" rather then being mean reversion?

I also found that it is only profitable when longing stocks. I have yet to run a back test with positive returns that both long and shorts stocks.

Lastly, I need to find a better way to equally weight the positions. Each position weight is determined by 1/ the number of stocks in the pipeline. That would work fine if it were taking positions on every stock in the pipeline but because isn't taking short positions, only a fraction of the capital is utilized when taking positions overnight. If it were able to be fully invested in the long positions, the returns could be much higher.

I'd greatly appreciate some feedback on this. Let me know what you guys think.