This has got to be the smoothest curve I have ever seen - can someone reverse it and make me some money?
The premise is that the first 30mins of the day will set the tone for the next 30 mins.
Last time I investigated this, I found that the first 30 minutes of the day was usually mean-reverting! What made you think it it was a trend indicator?
From manually trading another system, I noted that the peak was often reached 30 mins after market open; so my hypothesis was also that it is mean reverting, I was trying to build a system to disprove this hypothesis.
The part I dont get... why does shorting instead of going long not reverse this line and make it profitable?
The strategy goes steadily down because it is paying commissions/slippage, not because the signal is in the wrong direction. The same fees are paid when the trade directions are reversed so it bleeds out either way.
Here is your algorithm in a perfect world with no fees, it is mostly flat so adding transaction costs causes it to go down for both the momentum/reversion cases
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