I agree with your remark about robustness and my strategy doesn't fail with 28 days instead of months. But there are some "phenomena" (like window dressing) on the market which can make some difference, so trading on every 4th Monday may be not the same as trading on every 1st of every month. Even if we agree that you can backtest it using 28 days periods starting with random day of the week, you still cannot use Amibroker to trade it (if you want to trade on weekends).
BTW. I always test weekly strategies using different day as a start of the week, this is a nice test.
On Tue, Mar 29, 2016 at 8:15 PM, portfoliobuilder99@gmail.com [amibroker] <amibroker@yahoogroups.com> wrote:
Marcin I understand and am trying to be helpful.
If you compre a 22 day ROC with a 4 week ROC with a 1 Month ROC, and make the comparison at the end/start of the month, those measures should be very close.
If your strategy fails because the 4 week data is slightly different than the 1 month data, you should consider how robust (and not overly curve fit) your strategy is.
Best of luck,
Larry P
Marcin Jagodziński
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