I am interested in developing a strategy that I can use as an end of day (EOD) only trader. For trading vehicles, I am limited to Rydex index mutual funds (such as SP500, and Dow30 funds) both Long and Short.
At present I have found several viable SP500 L/S strategies, mostly mean-reversion focused, that I have built in excel. The problem is that they are based on trade setups that occur infrequently, so they may trade only 3-5 times per year, etc.
Here is an example of one such setup, from:
http://www.quantifiedstrategies.com/when-spy-closes-near-the-bottom-of-its-range-but-still-positive/
How I use it. When SP500 (index) is UP, and SP500 closes in the bottom of its daily trading range (C-L/H-L is less than 0.34) then go LONG the close, and exit the trade four trading days later at EOD. This strategy has a high success rate, but has traded only four times in 2013.
I would like to create a more dynamic (active) EOD trading strategy, one that is focused on very next trading day direction, for trading SP500 either Long or Short, or Money Market.
I understand reversion to mean, trend following, relative strength, and arbitrage type (pairs trading) strategies. And I am open minded to most any approach that is viable.
Being somewhat overwhelmed by the multitude of strategies on Quantopian, I wanted to ask if anyone could recommend a specific strategy, or share any viable edge-based ideas.
Thanks in advance, any sharing of ideas is very much appreciated. Regards, Jim P.
