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There was mention of seasonality in some blogs about seasonality within Gold where you buy on Friday Open and sell on Friday night or Monday Morning. I've tried both approaches with a friend which seem to work extremely well until 2012. Within the strategy, there is also leftover code which looks at intraday seasonality effects of Gold but from testing does not survive transaction costs. Anyways let me know what you guys think!
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Jason Mark
Hao Bin Zhang
I agree with that sentiment. Also looking back at the blogs the results utilise a stop loss which may help limit some of loses which would be a way to improve the strategy.
Ivan Baev
At first sight, the time for the strategy to recover from the 2013 drawdown... it STILL did not recover. So its more than 6 years.
Max drawdown is 25%
Then, you talk about seasonality, but I see no seasonal strategy here and I wonder what technical or fundamental value is hidden behind you trading strategy. What is the reason to perform these trades?
If you are interested in GOLD, you might wanna bind your strategy to fundamental indicators like the inflation rate and other monetary things.
Don't want to be too rude, but the overall strategy just looks like a total random and has no scientific or real life value.
Thank you for sharing, though.
Hao Bin Zhang
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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