This is the backtest of the weekly reversal strategy.
Trading universe is Q1500US.
Slippage model is set to be optimistic. Commission model is default.
On every Friday, form portfolios and place orders 10 minutes before market close. Exit positions that we no longer want at the same time. (I tuned this 10 minutes. Enter at 1 minute is likely to be worse.)
Buy or sell 1% of the stocks which pass the RSI and MA filters. (I tuned this percentage. 5% is likely to be worse.)
If there are leftover positions due to slippage, liquidate those on the next trading day at 1 minute after market open.
I tried Monday and Wednesday, the results are mixed.
SR is low.