Here's a very simple scalping strategy using the Fractals Indicator by Bill Williams. The Buy fractal is formed by a sequence of at least 5 bars where the lowest low is in the middle. The Sell fractal is formed by a sequence of at least 5 bars where the highest high is in the middle. Williams Fractals take advantage of the fact that many markets spend a majority of their time in ranges.

 

QuantConnect Moderator Edit:
Please read this thread to its end. It was found that Accord.Extensions is not supported by Accord. After spreads have been incorporated, the performance dropped massively to an 80% loss.