Algo Q&A by Kevin J. Davey
HAVING YOUR CAKE
I just developed an algo I really like. I was a little concerned with performance, so I decided to filter for day of week. I found that if I excluded trading on Fridays my net profit increased by 13%. Should I switch to this new “no trading on Friday” version?
If I understand your situation well, you have an algo strategy with back-test performance that is not quite what you’d like ...