Extending the Omega model with momentum and reversal strategies to intraday trading.

This study develops the Omega model integrated with momentum and reversal strategies using high-frequency data on the component stocks of the S&P 500 Index and the NASDAQ 100. The Omega model based on the momentum strategy (M_Omega), the reversal strategy (R_Omega), and both strategies (M_R_Omega) are designed to simulate trading over three periods. The portfolio is rebalanced every transaction day to optimize asset allocation by incorporating intraday winners or losers' information and trading cost.