Australian (ASX) Stock Market Forum

EOD, EOW and statistical significance

Joined
Nov 28, 2012
Posts
7
Reactions
0
I'm thinking about the two kind of strategies

a) mean reversion
b) trend following

for stocks and ETFs on the EOD or EOW timeframe. On the one hand for the mean reversion the edge is often small and disappears after costs. On the other hand trend following on the EOD and EOW timeframe leads to few trades and for the most systems it may be to little to get a statistical significant result.

How do you handle these obstacles?
 

CanOz

Home runs feel good, but base hits pay bills!
Joined
Jul 11, 2006
Posts
11,534
Reactions
492
I thought i would use this thread to post some market study data that 58 wants to analyze. Its in Excel so i'll have a go at attaching it. I've just done CL and GC for the moment, but happy to do more on request.

This particular study just looks at when a new high or low occurs.

hmmm, it seems excel files are not permitted:(
 
Joined
Sep 13, 2013
Posts
357
Reactions
163
In relation to the first post, strongly disagree with his Mean reversion 'Observations' even with the higher comms in AUS a decent Mean Reversion system still has a potent edge
 

CanOz

Home runs feel good, but base hits pay bills!
Joined
Jul 11, 2006
Posts
11,534
Reactions
492
In relation to the first post, strongly disagree with his Mean reversion 'Observations' even with the higher comms in AUS a decent Mean Reversion system still has a potent edge
Yeah, that was a while ago....
 

Similar threads

Top