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Recruitment of participants End Of Month Overnight Edge In The S&P 500/Nasdaq

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

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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. marty1221;

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  1. Dron

    Dron Well-Known Member
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    #1 Dron, 25 January 2024
    Strategy 10: End Of Month Overnight Edge In The S&P 500/Nasdaq

    The strategy buys at the close and sells on the next open (no matter what). The strategy is based on one variable.

    This strategy was our monthly Trading Edge for February 2021.

    Facts and figures (QQQ):
    • No. of trades: 191
    • Average gain per trade: 0.26% (0.57% for winners and -0.42% for losers)
    • Win ratio: 68%
    • Profit factor: 2.1
    • CAGR: 2.0%
    • Exposure/time in the market: 3%
    • Max. drawdown: -2%
    The equity curve (log scale):

    [​IMG]
     
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