Day-of-Week Long and Short Selection for Bitcoin Backtests

Summary

This configurable strategy assigns each weekday a long, short, or no-trade setting and applies those choices within a user-defined date range. When the selected direction changes from the prior day’s setting, it closes open positions and opens a position in the new direction when trading is enabled. The document recommends using a daily chart and describes a Bitcoin backtest setup, but it gives no performance results or evidence that any weekday pattern persists.

The method is a way to explore calendar-based directional effects, not a demonstrated source of returns. Its chosen weekday settings may fit one sample period and fail in another, making repeated selection by backtest vulnerable to overfitting. The description also notes that daily changes may not limit losses promptly. Suggested extensions include stop and trailing-stop rules, breakout or volatility filters, adaptive sizing, and event handling; these are ideas for further work, not evaluated features.

Key ideas

• Each weekday can be assigned a long, short, or no-trade position.
• The strategy closes existing positions when the weekday’s selected direction differs from the preceding day’s selection.
• A user-defined date range supports testing calendar-based settings, but no backtest results are reported.
• Weekday effects may vary across periods, so optimizing choices on one sample risks overfitting.
• The document suggests adding stops, filters, volatility-based sizing, or event handling.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.