Thanks for all the fun and interesting posts you do!

Brian

Hi Marc,
I refer to the actual time zone of the market. Frankfurt if DAX, etc,

Thanks for your kind words.

Hi,
I have updated the article. We wrote this because we don’t want to reveal for free what we did……

Hi Adam,
This is how I do it in live trading:
https://www.quantifiedstrategies.com/how-to-enter-and-exit-positions-at-the-close/

Oddmund

This is a genuine question that has been bugging me about system trading. I have seen other back tested systems that show the results as entering at the open or the close of the next day after the signal which degrades the profitability of said system.

https://www.quantifiedstrategies.com/what-is-slippage-in-live-trading/

If you use next day open to open instead of obs close buy the close, the performance disappears immediately.

Hi Dario,
I rarely use the Sharpe ratio, I stick to profit factor. But at the end of the day, I trust my instincts and backtests more than these numbers.

Great article. Thanks a lot for publishing it. I have implemented a similar strategy. Getting similar returns but a sharpe ratio of about 0.3 for most cryptos. Is that similar to what you are getting ?

Are you paying attention to sharpe ratio ?

Thanks for your info, Zaki.

There are corporate service providers who could get it done with a power of attorney, I have used one for entity setup but not specifically for opening an account. Since I have family living there, so a bit easier.

Thanks, I guess you need to go there to open a UAE account?

Thanks for input.

What is the prize for a UAE freezone company and what about bank account?

Right, I’m not a lawyer either but I’m counting on the attorneys working for Tastyworks 🙂
Also, I noticed that SPY is available to trade directly through my bank, that’s the only exception. However, it’s not practical due to high commissions and fx loss.
In my opinion, a viable option in case a trader wishes to stick to IB, is to open a freezone company in Dubai and trade US ETFs via that entity. Although a bit more cumbersome, still much lower barrier than qualifying as professional trader.
Regardless, the content you have published has helped me immensely over the years, thank you!

Oddmund

There is an alternative – open an account with tastyworks. As far as I understand, the regulation is applicable to brokers who have a presence in the EU such as IB. However, tastyworks is a US based broker with no presence in EU & it accepts clients from EU. I was sceptical initially but went ahead to test. I’m based in Helsinki and I opened an account with them and it all works! I can trade US ETFs and options without being classified as professional.

Hi Matt,
Thanks for your input!
Yes, I’m aware of that, but that is a job I leave to the reader 🙂
You are a smart guy so I’m sure you have many other twists to what is being published here.
Oddmund

Perhaps it makes sense not to trade every month with this approach.

The results for the individual months are very different.

A few months of the year are great, others don’t add much to the result.

And once again at this point – thank you very much for your work..!

Regards

Matt

Hi, I have no data, unfortunately.

thank you for this article. I have never heard of such an anomaly. Is it possible to get some data for Congress on/off sessions? It would be fun to test this effect on our own data.

Thanks, I made the changes.

I’m not sure, I didn’t look into details.
I was just perplexed about the numbers when I saw this effect I had never heard of.

Thanks for the hint, I was not aware of this 🙂

Hi Luca,
Thanks for commenting. Most actions we take have side effects. Yours I have never thought about.

We got to stick to what works for oneself. A trading log works very well for me and makes me NOT make discretionary trades. I guess we a re all different 🙂

Yes, that’s correct – not included.

Slippage goes both ways. For example, when I trade SPY my slippage is close to zero. But when I trade stocks, slippage is a cost. It all depends what you are trading.

Hi,
So I understand that both your free and premium strategies do not account for these frictional costs, right ?
Do you happen to have favorable slippage in live trading your strategies ?

Hi,
We don’t include slippage and commissions in our tests in the articles. Commissions vary from trader to trader. Slippage goes both ways and in those strategies we trade slippgae is very low (we trade very high volume contracts).

Daily bars.

Thanks in advance for your help

We confirmed the GDX overnight edge with data from Tradestation. My numbers are correct.

Hi John,

If you use risk adjusted returns, yes, the triple ETF performed better. However, this is a backtest, and the biggest drawdown is always around the corner.

I don’t want to recommend anything, but the simple strategy looks promising (I’m not trading it myself).

In one other article, on reader receommended to split the portfolio into several lookback periods, for example, 1 month, 3 month, and 6 month. This reduces the risk of curve fitting, which is very difficult to avoid.