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Closing the gap, part 2

Tuesday, October 25, 2016 6:24
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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.


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