(Before It's News)
I felt the need to verify the calculations in the previous post, just to be sure no coding error was made, or at least not a serious one. To do this, I've rewritten the strategy using vector operations rather than 'for' loops and I'm happy to say, the result still stands. Sharpe is a little lower at 1.13, but the curves are quite similar.
To make this post a worthy follow up, I've also included the code:
dumbGaps.m , download_hist_yahoo_data.m
The following remarks are still very appropriate:
- It is very hard to get a fill at the opening price.
- Results are frictionless.
- All this is just a basic concept
Your feedback is very much appreciated.