For a quick tip on how to read and understand your backtest reports, go to this Tips and Tricks link.  http://zacksrw.com/Tips_Tricks18.asp

 

Tip: I'll first look at the chart. If the chart looks terrible -- then it's back to the drawing board. If it looks good, then it's worth more investigation. But I'll look at the Compound Annual Growth Rate, Maximum Drawdown, Average and Longest Winning Stretch and Average and Longest Losing Stretch to make sure it's a strategy that fits my risk to reward tolerance/profile.


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I always have, and always will, backtest over as much data as I have.  I've seen strategies that look great over the past two years, but don't show outperformance over a 10-year timeframe.

Regarding your portfolio rebalancing, I think alot depends on the strategy's turnover.  If you're trading something that's turning over most to all of the portfolio each week, then exiting on Fridays would make sense.  However, if your weekly strategy is holding most of the stocks week-to-week, then Monday trading should be good.

 


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