Is it possible to test a reasonably simple limit strategy:
Is the S & p 500 future up:
place a limit order on yesterday’s close, and if it is not filled before the stock exchange closes, buy at the close price
If the S & p500 is future down, place a limit on yesterday’s low, and if the order is not bought until towards the end of the day, buy close
I only buy in mid and large-cap, with good volume.
I am happy to receive tips on whether such a strategy works, whether it is possible to backtest it, or other good limit strategies used out there