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.
JSParticipant
Senior
The simplest filter is:
Y = Close – Close[n]
If Y > 0 then Long (day)
If Y < 0 then Short (day)
I’m thinking… isn’t that the same as
Close>close[n] ?
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.
JSParticipant
Senior
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:
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.
JSParticipant
Senior
You can probably adjust it…
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?
Monthly, Weekly and Daily Activity and Equity
Yes, that’s exactly what I’m looking for. Vonasi had very good ideas. Thank you Grahal.
