Out-of-sample Application

After applying the constructed filter on the next 30 days out-of-sample.

Advertisements

Figure 5: After applying the constructed filter on the next 30 days out-of-sample. During the 30 day span, there are 6 total trades made, with 5 successful and a ROI of 14 percent.

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s