Trading at the opening bell: gap flling strategy on the e-mini S&P500

The objective of the report is to develop a bidirectional gap filling strategy that will be used in the "Quantitative Investment Strategy" field lab's common part, which will create a portfolio of three investment strategies. The dataset here used was obtained from Trade station and includes historical 1-minute prices of the cash session of the E-miniS&P500 futures from 01/03/2000 to 10/27/2021. For the validation, an innovative methodology is used, which increases the OOS performance stability. All the outcomes and the back test were carried out by coding an entire engine in Python and accelerating it with Numba