OmniTrader Professional Forum
OmniTrader Pro General Discussion
RT trading Day of the Week?
13 replies, 638 viewings
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OmniTrader Professional Forum
OmniTrader Pro General Discussion
RT trading Day of the Week?
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Last Activity 7/8/2024 10:45 AM 13 replies, 638 viewings |
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Frank Birch Veteran   Posts: 166 Joined: 3/25/2006 Location: UK  User Profile |
After trading Forex & futures for many years in Real time you get to see some amazing things but its adding these ideas into a strategy is key! This week I've been testing an ultra cool feature in OT Pro called BarDayOfWeek() (inside the filter block and under TIME you can find it) Now the key features for this to work are as follows. 1/you need a minimum of 5 years of data (I use 60 minute time frame) to make this valid 2/you really do need a very good strategy or concept to then start with day of the week to trade. 3/this really sings if you have separate strategies for Longs & Shorts!! 4/it works better on individual symbols because not all go up!! Now once all these rules are in place there are 2 ways to test this. 1/ set the filter block up with the BarDayOfWeek() and run it on strategy wizard. 2/or has I have done today done individual strategies to show you guys how powerful this really is to improve any of your strategies. Now the formula is simple it reads BarDayOfWeek() = 1 (1 meaning Monday, 2=Tuesday 3=Wednesday 4=Thursday 5=Friday. This Test was done on the AUDUSD Long only, the Test Long (1) strategy trades every day (Monday > Friday) In the Attached performance report its clear to see that Wednesday is the best day of the week to trade this set up, but also shows you that Friday is an awful day to trade for this strategy. So by taking Friday out of the equation your performance report & equity curve will go through the roof!! Now why Friday is the worse day it shouldn't take long to find out why but it could be news???? So if you trade real time this little gem could leap frog your strategies no end!! Regards Frank Birch  Attached file : 15-Jan-23 12-03-10 Day of the Wekk.png (291KB - 98 downloads) | ||
| Frank Birch Veteran Posts: 166 Joined: 3/25/2006 Location: UK User Profile |
Now you may ask why go to all this work? well I've just done the short version of this idea on the AUDUSD and now I am excited on what I have found!! & it took under an hour to find out. Now in the attached performance report you will find attached showing the best day of the week to short the AUDSUD is Thursday and going into Friday which proves there is some merit in this idea because Longs on Friday is the worse day!! Now the worse day of the week all be it profitable is to go Short on a Monday!! Just by taking Longs out on a Friday and taking shorts out on a Monday would increase the profitability of just 2 strategies by 8% on the Hit rate also would increase your ROI and reduce your drawdown, win win. Still after all these years I still get an awesome buzz on finding ideas that improve profitability (and others not knowing given you that edge!) If you trade real time and if I can you one tip it would be Trading the Long side differs from the Short side? food for thought! Enjoy. Regards Frank Birch [Edited by Frank Birch on 1/15/2023 8:14 AM] Attached file : 15-Jan-23 13-53-38 Short day of the week.png (295KB - 91 downloads) | ||
| Greg Legend Posts: 337 Joined: 3/22/2006 Location: Mishawaka, IN 46544 User Profile |
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| Frank Birch Veteran Posts: 166 Joined: 3/25/2006 Location: UK User Profile |
Its y own work I am using but the principal remands the same. If you have a very good strategy then dissect it into longs & shorts then run this simple test you may find a vast improvement on your results! I have many advancements on trading ideas but this is the most powerful I have seen without optimization. Regards Frank Birch | ||
| Frank Birch Veteran Posts: 166 Joined: 3/25/2006 Location: UK User Profile |
So far its clear this is a very valid concept to improve results. I've just done a run on the EURUSD Long only and as you can see with the attached performance report don't trade Long on a Tuesday!! Just looked at the past couple of months FX news and low and behold EUR news is on a Tuesday as well?? Regards Frank Birch Attached file : 15-Jan-23 19-55-38 EURUSD DAY OF THE WEEK.png (318KB - 82 downloads) | ||
| Frank Birch Veteran Posts: 166 Joined: 3/25/2006 Location: UK User Profile |
If you are day trading say the YM,ES,RTY or NQ say on a 5 minute time frame you could dissect the day using different trade concepts long or short? Meaning you could use the hour by hour time function inside the filter block and say test what hour of day to trade breakouts Long or Short? Reversals?? long or short? may be the last 2 hours of the day to use reversals? we don't know until testing has been done but its valid. You could in theory build an assortment of trading concepts to day trade. Regards Frank Birch | ||
| Frank Birch Veteran Posts: 166 Joined: 3/25/2006 Location: UK User Profile |
One last one for this idea. I've just tested the EURUSD and the performance report says it all on what day of the week to short the EURO. After 1 week of looking into this concept and I feel in myself its a valid and I am now going to work on a complete new filter block to add to my strategies for Forex & Futures. I hope you all find this interesting and I hope it helps improving your trading concepts. Regards Frank Birch Attached file : 15-Jan-23 21-05-37 EUR short.png (286KB - 87 downloads) | ||
| Frank Birch Veteran Posts: 166 Joined: 3/25/2006 Location: UK User Profile |
I know I sowed the seed and I am not a selfish trader so thought id share. There are 2 attachments, 1st being a strategy which really isn't a strategy its 2 filter blocks with in the flow chart. So when you download please save to the strategies folder in omnitrader. In those 2 filter blocks you have a Long only & Short only, all the days are ticked so start with unticking them all and tick Monday and if Monday is negative go to Tuesday test away!! Open the strategy flow chart then copy and paste the filter block into your favourite strategy! Regards Frank [Edited by Frank Birch on 1/18/2023 2:04 PM] Attached file : DayOfTheWeek.ots (964KB - 71 downloads) Attached file : 18-Jan-23 17-48-38 DayOfTheWeek.png (209KB - 74 downloads) | ||
| Frank Birch Veteran Posts: 166 Joined: 3/25/2006 Location: UK User Profile |
All Forex currencies are hard work to be mechanical on so here's 2 screen shots of the performance report for the EURUSD (Long) of standard and DOTW added. comments welcome what would you rather trade??? Regards Frank Birch Attached file : 18-Jan-23 19-55-11 EURUSD long.png (272KB - 82 downloads) Attached file : 18-Jan-23 19-57-09 DOTW added.png (273KB - 84 downloads) | ||
| Frank Birch Veteran Posts: 166 Joined: 3/25/2006 Location: UK User Profile |
I think it works now! Regards Frank Birch Attached file : 19-Jan-23 20-50-31 Futures equity report.png (390KB - 89 downloads) | ||
| Frank Birch Veteran Posts: 166 Joined: 3/25/2006 Location: UK User Profile |
I've been busy and done a Before & After for the Forex 6 majors in real time using the day of the week to trade. also looked back 5 years on why this works and even improved on this but that's for another day. Equity curves attached. Regards Frank Birch Attached file : Before.png (104KB - 84 downloads) Attached file : After.png (179KB - 82 downloads) | ||
| Frank Birch Veteran Posts: 166 Joined: 3/25/2006 Location: UK User Profile |
Everyone dreams of being on the right side of the news! well I had a spare 30 minutes so I built a News strategy for the 6 Forex Majors using this new concept inside the filter block Time. its a crude strategy but sure does show merit only looking to trade 1 hour on a Monday and 1 hour on a Friday!! its a start to make an awesome plug-in called NewsTrader me thinks. Regards Frank Birch Attached file : 23-Jan-23 17-50-05 news.png (243KB - 80 downloads) | ||
| Frank Birch Veteran Posts: 166 Joined: 3/25/2006 Location: UK User Profile |
I have not spent an hour on this project of day of the week to hour of day for news and already found improvements. Take a look at this Aussie trade!! Regards Frank Birch Attached file : 23-Jan-23 18-26-18 AUDUSD.png (104KB - 78 downloads) | ||
| Frank Birch Veteran Posts: 166 Joined: 3/25/2006 Location: UK User Profile |
I have had a spare few hours so I put my best work to work on the best day of the week to trade on the Forex 6 majors over a 5 year period 60b minute time frame and attached are the results! please pay attention to the trendline drawn? the equity curve never and I mean never reverts back to the mean that in itself is special. 60 odd million dollars in 5 years pretty special I say with a drawdown less than 30%! does day to day of week to trade work I should say so. I know your looking at the back test we let this idea lose on the futures for 5 days last week and netted just over 10K for 5 days that's 10% ROI on 100K with real funds. Regards Frank Birch [Edited by Frank Birch on 1/29/2023 10:43 AM] Attached file : 29-Jan-23 16-22-48 FX equity curve.png (433KB - 74 downloads) |
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