The following variations of this model are available via input parameters of the strategy:
Using the return calculated as 15 min before close price, as an extra parameter in the regression model.
Instead of comparing the indicator to 0, we can compare it to some enhanced boundaries. As an example of such boundaries, +/- absolute value of the 30 day SMA (Simple Moving Average) of the indicator was used: if indicator is greater than the absolute value of the SMA, then open long position, if it is less then open a short position.
RSI based model
In this model, daily predictors are smoothed by collecting data for each predictor into an EMA indicator. The day close EMA values are smoothed with EMA daily indicators and the RSI (Relative Strength Index) is calculated as:
and current price is lower than 50 day EMA-smoothed day close price then open long position at market close and close that position at next open. If
and current price is higher than 50 day EMA-smoothed day close price then open short position at market close and close that position at next open. 1.
Order size for opening order is calculated by the following formula:
means list of overnight returns collected for the last 30 days.