This allows you to automate testing one/each day of the week only, or test trade 4 days of the week- but rotate the day you want to omit.


Markets like crude oil have strong day of week / long short characteristics. Natural gas has not been tested, but I expect the same results.

Simple example.

Yet to be documented how to do this.


More complex example, results but not working of how to do this.

However here are some results for Crude Oil in the GSB automation spreadsheet.


Below is a test done of all days of the week (long and short) IE MondayLong&Short with no other days, and each day of the week long, and each day of the week short.




The above test was very clear that Wednesday Long & short was the best day. Then I wanted to test if another day would work well with Wednesday.




Note in purple is the day of week. We see Tuesday short with Wednesday long & short is best.

Best is defined by the amount of systems in favorites B & C, and the out of sample fitness results E+F.




Complex example.



Here I am testing to see if a market that works long only, will also have one or more days of the week that work short only.

We are going to trade Monday to Friday long, and each day of the week short only - testing each short day of the week separately.

This is the setup in GSB


Note the Short in member zero below, is going to be cycled from Monday to Saturday. Why Saturday is being used when the market is not open on Saturday is I want to compare short on one day of the week with the default which is long only.



This is the setup in GSB Automation



This is how Automation processed the results.

Note in this example I did not do a two pass (indicator, and then system build) as this was just a proof of concept



In GSB AUtomation spreadsheet, note how DayofWeek is selected.


These results show that compared to long only, adding short on Tuesday and perhaps Thursday is better than the default of long only on all days.

Note however that only 4 tests (2500 systems per test) were done, and more tests need to be done to increase confidence in these results.