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Market open trend indicator

This has got to be the smoothest curve I have ever seen - can someone reverse it and make me some money?

The premise is that the first 30mins of the day will set the tone for the next 30 mins.

Clone Algorithm
6
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5651d57ad6d2f25a76303b95
There was a runtime error.
4 responses

Last time I investigated this, I found that the first 30 minutes of the day was usually mean-reverting! What made you think it it was a trend indicator?

From manually trading another system, I noted that the peak was often reached 30 mins after market open; so my hypothesis was also that it is mean reverting, I was trying to build a system to disprove this hypothesis.

The part I dont get... why does shorting instead of going long not reverse this line and make it profitable?

The strategy goes steadily down because it is paying commissions/slippage, not because the signal is in the wrong direction. The same fees are paid when the trade directions are reversed so it bleeds out either way.

Here is your algorithm in a perfect world with no fees, it is mostly flat so adding transaction costs causes it to go down for both the momentum/reversion cases

Clone Algorithm
1
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 565d2aca043351117aec91d2
There was a runtime error.

Thanks for this analysis Mohammed and David, sounds to me like the best way to "reverse this and make some money" is to become IB.