System for an S&P 500 Index Rebalancing Trading Strategy
This script aims to replicate a trading strategy of buying a put when a constituent stock is deleted from the S&P 500 index. Conversely, it buys a call when a constituent stock is added to the index.
The methodology can be found in the post - "Index Rebalancing Is STILL a Rain-Maker Trade." @ The Quant's Playbook