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I want to bring this up since no one talk about it before.
In the financial system, each day in the week is different. A signal appears on monday is generally different than any other day in the week. The same results could be appled on tuesday wednesday Thursday and Friday.
As a result, for some signals, if we want to understand how the system is working, we have to know the statistics for a certain signals occurs on certain days in a week. And this effet tends to be more significant on cyclical securities.
So, can we add this thing to the optuma back tester ? (I have0n’t try this module before, maybe you guys can achieve the goal by scripting tools, please let me know if so).
Just an idea if anyone is interested.
We have a DAYOFWEEK function that can be used in formulas to specify certain days, where 1 = Sunday and 7 = Saturday. The following would show all -2% returns that occurred on a Friday:
1234 DAYOFWEEK() == 6 andCHANGE()<-2
awesome, I will try it this weekend to see the results.
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