the system does not trade on Thursdays. Its backtesting showed that this was the most unprofitable day of the week.
Dennis
Dennis
Example Trading System
- Thread starter sidinuk
- Start date
If you take the trouble to read the original paper, you'll see that that's what the author also suspects.
curvefitting or not, who cares? people get so bent out of shape when it comes to that word
the only problem with excluding thursdays is if thursday's become one of the main money-making days.
the core strategy is profitable with or without thursdays, so if excluding thursdays gives it a boost, exclude them until you see reason not too!
the only problem with excluding thursdays is if thursday's become one of the main money-making days.
the core strategy is profitable with or without thursdays, so if excluding thursdays gives it a boost, exclude them until you see reason not too!
Anyone,
Can you speculate as to why Thursdays fundamentally do not work with this system?
Michael B.
P.S. The reason I ask, are there conditions such as highs and lows before Thursdays that could be significant to help filter whether to take the trade or not, also ocher days of the week? There could be a additional probability study as to the strength of the signal based on previous days range....distance of high or low from the open on the next day...etc.....etc....... ?
Can you speculate as to why Thursdays fundamentally do not work with this system?
Michael B.
P.S. The reason I ask, are there conditions such as highs and lows before Thursdays that could be significant to help filter whether to take the trade or not, also ocher days of the week? There could be a additional probability study as to the strength of the signal based on previous days range....distance of high or low from the open on the next day...etc.....etc....... ?
I believe this is a sound way to do, that is, as you say, until it stops working. But I would use both systems, one without the Thursdays excluded and the other one as in the original work.
The main problem I see with this system as applied to YM right now is not the Thursday problem. The problem is that the daily range in YM has recently shrunk considerably even compared to ES so this system may not work as well as it did in the past until YM regains its previous levels of volatility.
Electron,
How about the Russel?
The figures looked Robust at Sidinuk's website...But is ER also less volatile as the YM is?
Michael B.
How about the Russel?
The figures looked Robust at Sidinuk's website...But is ER also less volatile as the YM is?
Michael B.
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