Thank you for sharing these experiments, even though they didn't turn out as expected. Your willingness to share both successes and failures speaks to your dedication and seriousness. I appreciate it!
Hey quantitativo, I've enjoyed reading through your posts. You may want to consider including transaction costs along with varying levels of slippage. Aside from that, sensitivity analysis and parameter selection may be more practical on a walk forward basis. Regardless, great work!
Currently, I'm considering 1 basis point in slippage. In the next articles, I will try to add a study showing performance against varying levels of slippage.
Also, thanks for the suggestion about sensitivity analysis/parameter selection on a forward basis: that's in the pipeline! Cheers!
Thank you for sharing these experiments, even though they didn't turn out as expected. Your willingness to share both successes and failures speaks to your dedication and seriousness. I appreciate it!
Hey quantitativo, I've enjoyed reading through your posts. You may want to consider including transaction costs along with varying levels of slippage. Aside from that, sensitivity analysis and parameter selection may be more practical on a walk forward basis. Regardless, great work!
Thanks, @ark!
Currently, I'm considering 1 basis point in slippage. In the next articles, I will try to add a study showing performance against varying levels of slippage.
Also, thanks for the suggestion about sensitivity analysis/parameter selection on a forward basis: that's in the pipeline! Cheers!
Sorry, but how can you use Cumulative RSI < 10? RSI is always positive, and sum(RSI) for the 10 days will be ~400...800