I'm a new program trader, now I'm developping a automated trading system for a hedge fund. We long and short hundreds of stocks everyday. As our benchmark is open price, we trade as soon as possible, we trade more than 50% in the first 5 minutes, and 80% in the first 15 minutes. Although we got an annual return 13%,the results show that our trading price is worse than open price 8bp in average(both long and short). My question is: 1. Can I approach(even beat) open without doing prediction?How to do it? 2. If it need predict, how to begin to approach open? Predict market direction or predict stock direction? Using technical analysis or news? Thanks.
just an idea, use limit orders for 50% of your trades, say using ROC from the open to determine which orders are market and which are limit.