Filter long days/short days

• 05/24/2022 at 10:00 AM #193761
  phoentzs

  Can someone please create a filter for me so I can filter which days of the week tend to be long days or short days?
  Unfortunately, my own efforts are very ambiguous.

   

  

  phoentzs

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  05/24/2022 at 2:03 PM #193777
  JS

  The simplest filter is:

  Y = Close – Close[n]

  If Y > 0 then Long (day)

  If Y < 0 then Short (day)

  

  JS

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  05/24/2022 at 2:41 PM #193783
  phoentzs

  I’m thinking… isn’t that the same as

  Close>close[n] ?

  

  phoentzs

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  05/24/2022 at 3:15 PM #193786
  phoentzs

  I may have been misunderstood. I don’t mean a trend filter but a kind of seasonal filter. For the D1 chart. What I want to find out is a seasonality within the week and if you can use it. For example, whether Mondays have historically been more bearish or Tuesdays more bullish. And so on… until Friday. What I’ve found so far is that Tuesdays generally have a bullish advantage, in the SP500. Mondays are rather bearish. But I would like to have a filter to optimize without having to try the systems individually every day.

  

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  05/24/2022 at 4:12 PM #193794
  JS

  Filter Up and Down

  N = 126 Up = summation[N]((close - close[1]) > 0) Down = summation[N]((close - close[1]) < 0) Total = Up + Down UPpercent = Up * 100 / Total DOWNpercent = Down * 100 / Total Difference = UPpercent - DOWNpercent Return Difference as “Difference”

  1 2 3 4 5 6 7 8

  N           = 126 Up          = summation[N]((close - close[1]) > 0) Down        = summation[N]((close - close[1]) < 0) Total       = Up + Down UPpercent   = Up   * 100 / Total DOWNpercent = Down * 100 / Total Difference  = UPpercent - DOWNpercent Return Difference as “Difference”

  This is a filter that RobertoGozzi created:

  

  JS

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  05/24/2022 at 6:44 PM #193804
  phoentzs

  OK thanks. But I think the result is different than what I had hoped for. I want to filter if there is an advantage over the years to buy on one day of the week and sell on another. As a simple example, let me take the well-known Tuesday turnaround. Buy Monday evening, sell Wednesday morning or evening. Even without another filter you can see an advantage. Even if you bought every Monday, which of course is not recommended, but it is an advantage in the market. I thought of something like that.

  

  phoentzs

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  05/24/2022 at 7:03 PM #193806
  JS

  You can probably adjust it…

  

  JS

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  05/24/2022 at 7:23 PM #193807
  GraHal

  phoentzs wrote:

  buy on one day of the week and sell on another

  It be worth checking out studies / analysis undertaken by Vonasi.

  As one example, here’s a link to an Indicator of Vonasi’s; I can see “most active days” and loads of other good stuff!

  There is tons of studies from Vonasi on this site, best way to find might be … go to his profile and  check out his Forum Topics?

  https://www.prorealcode.com/prorealtime-indicators/monthly-weekly-and-daily-activity-and-equity/

  

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  05/24/2022 at 11:30 PM #193815
  phoentzs

  Yes, that’s exactly what I’m looking for. Vonasi had very good ideas. Thank you Grahal.

  1 user thanked author for this post.

  GraHal

  

  phoentzs

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