Hypotheses
SPY Intraday Conditioned Student-t Quantile-Crossing Trend Strategy
Faithful rule port of Baldovin, Camana, Caraglio, Stella and Caporin's intraday strategy to SPY.USEQ, an executable S&P 500 ETF proxy. Preserve the paper's 10-minute observations, 10:00–16:00 America/New_York window,…
Hypothesis
Faithful rule port of Baldovin, Camana, Caraglio, Stella and Caporin's intraday strategy to SPY.USEQ, an executable S&P 500 ETF proxy. Preserve the paper's 10-minute observations, 10:00–16:00 America/New_York window, three conditioning returns, 25% quantiles, crossing entries, crossing exits and same-day liquidation. Construct observations from completed 1-minute bars; never substitute hourly or daily bars. Use the paper's published model coefficients as fixed transferred parameters. This tests its trading rule with transferred coefficients, not a reproduction of its annually recalibrated 15-year historical experiment: the platform's short accumulating minute history cannot reproduce that calibration. Execute market orders at the observed signal close, as in the paper. No next-session-open execution, independent opposing positions or selectable same-bar stop policy is required. Source performance claims are unverified, and modeled spread and impact apply.
Analysis
Ensemble properties of high frequency data and intraday trading rules
Backtest and paper results are hypothetical. Trading involves risk of loss.