Great article! During your backtest, did you also only take trades at HH:00 and HH:30 as indicated in the paper? Seemed a bit random when reading it and doing some backtest many times a big chunk of the move is lost due to waiting for those specific times.
Great article! During your backtest, did you also only take trades at HH:00 and HH:30 as indicated in the paper? Seemed a bit random when reading it and doing some backtest many times a big chunk of the move is lost due to waiting for those specific times.
Yes, I followed the paper. I also tried exiting immediately (not waiting for the 30’ windows), but that didn’t work. Trading only during these intervals solves the noise problem. I believe using other frequencies (e.g., every 28’) will also work… but need to test
Great article! During your backtest, did you also only take trades at HH:00 and HH:30 as indicated in the paper? Seemed a bit random when reading it and doing some backtest many times a big chunk of the move is lost due to waiting for those specific times.
Yes, I followed the paper. I also tried exiting immediately (not waiting for the 30’ windows), but that didn’t work. Trading only during these intervals solves the noise problem. I believe using other frequencies (e.g., every 28’) will also work… but need to test