Home > Articles > Volume 41 (2023) > Chapter 3 (March 2023) > Stocks & Commodities V. 41:03 (56, 41): Algo Q&A by Kevin J. Davey

Stocks & Commodities V. 41:03 (56, 41): Algo Q&A by Kevin J. Davey

Stocks & Commodities V. 41:03 (56, 41): Algo Q&A by Kevin J. Davey
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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 ...




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