"Second, the strategy I was planning on share didn't quite work." Curious on the details of this. Was it the position entry prices on the forward test deviating from the backtest entries or were the actual forward returns/stats of the strategy not matching? The detail and depth on your posts is always great to read!
Excellent write up Q! Thanks for getting into the Python code! I have also tried a number of things for trading the open - it’s not easy since historical open prices are somewhat contrived anyway. Any strategy that trades on the open has to have a bit of fat in it (room for error).
"Second, the strategy I was planning on share didn't quite work." Curious on the details of this. Was it the position entry prices on the forward test deviating from the backtest entries or were the actual forward returns/stats of the strategy not matching? The detail and depth on your posts is always great to read!
Thanks! I will collect more data and try to write a full write-up on it. Cheers!
Excellent write up Q! Thanks for getting into the Python code! I have also tried a number of things for trading the open - it’s not easy since historical open prices are somewhat contrived anyway. Any strategy that trades on the open has to have a bit of fat in it (room for error).