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Recruitment of participants Turnaround Tuesday Strategy

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

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  1. Dron

    Dron Well-Known Member
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    #1 Dron, 25 January 2024
    Strategy 81: Turnaround Tuesday Strategy

    The Turnaround Tuesday bias in the stock market is well known. But we improved it.

    Performance metrics (SPY):
    • No. of trades: 382
    • Average unleveraged gain per trade: 0.81% (1.5% for winners and -1.7% for losers)
    • Win ratio: 77%
    • Profit factor: 2.9
    • CAGR: 10.1% (assuming no leverage and not including dividends)
    • Exposure/time in the market: 16%
    • Risk-adjusted return: 61% (CAGR divided by time spent in the market (0.16))
    • Max. drawdown: -23%
    The equity curve (log scale):

    [​IMG]
     
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