Recruitment of participants Day Of Week Effect On Stocks

Discussion in 'Amibroker' started by Dron, 25 January 2024.

Stage:
Recruitment of participants
Price:
199.00 USD
Participants':
1 of 20
Organizer:
Dron
5%
Settlement fee for participation:
11 USD
  • Participants of Joint purchase:
    1. withinwithout;

    (Writing to the backup list is prohibited)

  1. Dron

    Dron Well-Known Member
    Staff Member Organizer

    Joined:
    14 September 2019
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    Strategy 91: Day Of Week Effect On Stocks

    We mix price action and a day-of-week effect to create a potential short-term trading strategy. It works best for stocks. You can enter at the close of when the signal triggers or at the open the next day.

    Performance metrics (Nasdaq 100 – QQQ):

    • No. of trades: 443
    • Average unleveraged gain per trade: 0.88% (2% for winners and -2.7% for losers)
    • Win ratio: 76%
    • Profit factor: 2.8
    • CAGR: 15.9% (assuming no leverage and including dividends)
    • Exposure/time in the market: 25%
    • Risk-adjusted return: 61% (CAGR divided by time spent in the market (0.25))
    • Max. drawdown: -28%
    The equity curve (log scale):

    [​IMG]