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
I'm curious what kind of size you are trading and whether you're entering with limit orders? Since you mentioned IBKR and whenever I market into or out of a position with more than a few contracts on NQ the slippage is more like 4-8 ticks instead of 1.
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
I'm curious what kind of size you are trading and whether you're entering with limit orders? Since you mentioned IBKR and whenever I market into or out of a position with more than a few contracts on NQ the slippage is more like 4-8 ticks instead of 1.
IS THIS AREA BOLLINGER BND ??
No, it is not. The noisy area is thoroughly explained in the paper