Gap strategy with intraday data
Now, testing the gap fade strategy on the OHLC data that I generated myself produces much less favorable result:
One look at the pnl chart is enough to say that this strategy would be rubbish.
This brings me to a conclusion that I already was aware of: Yahoo opening quotes are not suitable for strategy backtesting.
2012-09-28 12:00:08
Source: http://matlab-trading.blogspot.com/2012/09/gap-strategy-with-intraday-data.html
Source:
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