AIQuant Research (4)：One-day Two-trades

This research is based on QQQQ minute data from 07/27/2007 to 01/07/2009, total 360 trading days. The method is a brute-force on any possible day-trade (enter at any time and exit any time after entrance.) at the same time of these 360 days. The best 50 short trades and 50 long trades are listed below. It is quite interesting that most of the short trades are in the early morning and most of the long trades are in the noon time. The best One-day Two-trades strategy is every day Short at 9:33, cover at 11:17, then long at 11:19, close at 13:19. The total gain in the past 1.5 years is (1+46.29%)*(1+45.25%)-1 = 112.48%.

In time Out time Mean gain(%) Gain std(%) Min gain(%) Max gain(%) Compound gain(%) Gompound gain mean(%) Count
9:33 11:17 -0.1 0.76 -3.18 4.52 -33.1 -0.11 360 short gain 46.29%

9:33 11:29 -0.1 0.84 -3.17 4.8 -32.91 -0.11 360
9:33 11:25 -0.1 0.84 -2.97 5.48 -32.88 -0.11 360
9:33 11:23 -0.1 0.8 -3 5.26 -32.69 -0.1 360
9:33 11:11 -0.1 0.72 -2.93 4.12 -32.11 -0.1 360
9:33 11:27 -0.1 0.85 -3.04 5.11 -31.98 -0.1 360
9:37 11:17 -0.1 0.76 -3.18 4.68 -31.93 -0.1 360
9:33 11:19 -0.1 0.77 -3.12 4.77 -31.92 -0.1 360
9:33 11:35 -0.1 0.86 -3.21 4.08 -31.75 -0.1 360
9:37 11:29 -0.1 0.83 -2.56 4.96 -31.74 -0.1 360
9:37 11:25 -0.1 0.83 -3.05 5.64 -31.71 -0.1 360
9:37 11:23 -0.1 0.8 -3.29 5.42 -31.52 -0.1 360
9:35 11:17 -0.1 0.76 -3.27 4.71 -31.46 -0.1 360
9:35 11:29 -0.1 0.84 -2.57 4.99 -31.27 -0.1 360
9:33 11:33 -0.1 0.86 -3.34 4.86 -31.27 -0.1 360
9:43 11:17 -0.1 0.73 -3.57 3.62 -31.26 -0.1 360
9:35 11:25 -0.1 0.84 -2.69 5.67 -31.23 -0.1 360
9:43 11:29 -0.1 0.81 -2.83 3.99 -31.07 -0.1 360
9:35 11:23 -0.09 0.8 -2.9 5.46 -31.04 -0.1 360
9:43 11:25 -0.09 0.8 -3.16 4.57 -31.03 -0.1 360
9:33 11:09 -0.1 0.73 -2.72 4.7 -30.93 -0.1 360
9:37 11:11 -0.1 0.72 -2.93 4.28 -30.93 -0.1 360
9:31 11:17 -0.09 0.76 -3.06 4.45 -30.92 -0.1 360
9:57 11:17 -0.09 0.72 -3.72 3.43 -30.87 -0.1 360
9:41 11:17 -0.09 0.74 -3.39 4.16 -30.85 -0.1 360
9:43 11:23 -0.09 0.76 -2.9 4.36 -30.84 -0.1 360
9:37 11:27 -0.09 0.84 -2.8 5.27 -30.79 -0.1 360
9:31 11:29 -0.09 0.84 -2.72 4.73 -30.73 -0.1 360
9:37 11:19 -0.09 0.77 -3.34 4.93 -30.73 -0.1 360
9:33 11:15 -0.09 0.75 -3.03 4.61 -30.71 -0.1 360
9:31 11:25 -0.09 0.83 -2.97 5.41 -30.69 -0.1 360
9:33 11:21 -0.09 0.8 -3.37 5.32 -30.68 -0.1 360
9:57 11:29 -0.09 0.82 -3.06 5.5 -30.68 -0.1 360
9:41 11:29 -0.09 0.82 -2.8 4.44 -30.65 -0.1 360
9:57 11:25 -0.09 0.8 -3.19 4.45 -30.65 -0.1 360
9:41 11:25 -0.09 0.82 -3.24 5.12 -30.62 -0.1 360
9:37 11:35 -0.09 0.85 -2.79 4.25 -30.56 -0.1 360
9:39 11:17 -0.09 0.74 -3.24 3.94 -30.5 -0.1 360
9:31 11:23 -0.09 0.8 -3 5.2 -30.5 -0.1 360
9:57 11:23 -0.09 0.77 -2.93 4.34 -30.46 -0.1 360
9:35 11:11 -0.09 0.73 -3.02 4.31 -30.45 -0.1 360
9:41 11:23 -0.09 0.78 -3.03 4.9 -30.43 -0.1 360
9:33 11:31 -0.09 0.86 -3.1 4.95 -30.42 -0.1 360
9:33 11:05 -0.09 0.72 -2.72 5.01 -30.42 -0.1 360
9:33 11:07 -0.09 0.73 -2.65 4.61 -30.36 -0.1 360
9:39 11:29 -0.09 0.81 -2.7 4.22 -30.31 -0.1 360
9:35 11:27 -0.09 0.85 -2.77 5.3 -30.31 -0.1 360
9:39 11:25 -0.09 0.81 -2.94 4.89 -30.28 -0.1 360
9:35 11:19 -0.09 0.78 -3.21 4.96 -30.25 -0.1 360
9:43 11:11 -0.09 0.69 -3.32 3.22 -30.24 -0.1 360
11:21 13:21 0.1 1.45 -5.14 7.56 38.88 0.09 360
11:27 12:11 0.09 0.7 -2.25 4.12 39.02 0.09 360
11:19 12:11 0.09 0.73 -2.51 3.38 39.02 0.09 360
11:31 12:29 0.09 0.88 -2.97 6.08 39.05 0.09 360
11:27 12:29 0.09 0.92 -2.97 6.05 39.32 0.09 360
11:19 12:29 0.09 0.93 -2.97 4.78 39.32 0.09 360
11:09 13:19 0.1 1.48 -5.63 8.25 39.47 0.09 360
11:37 12:31 0.09 0.9 -3.3 7.43 39.51 0.09 360
11:29 13:31 0.1 1.35 -4.92 6.96 39.65 0.09 360
11:13 13:31 0.1 1.38 -5.36 8.3 39.7 0.09 360
11:21 12:31 0.09 0.94 -2.66 6.43 39.83 0.09 360
11:29 13:21 0.1 1.39 -5.23 6.93 39.85 0.09 360
11:13 13:21 0.1 1.44 -5.66 7.96 39.9 0.09 360
11:15 13:19 0.1 1.47 -5.32 8.35 40 0.09 360
11:25 13:31 0.1 1.35 -4.69 7.39 40.15 0.09 360
11:33 13:19 0.1 1.42 -5.41 8.29 40.26 0.09 360
11:07 13:19 0.1 1.49 -5.78 8.33 40.29 0.09 360
11:37 12:15 0.09 0.72 -2.74 4.17 40.32 0.09 360
11:25 13:21 0.1 1.4 -5 7.06 40.35 0.09 360
11:21 12:15 0.09 0.78 -2.51 3.87 40.64 0.09 360
11:31 13:31 0.1 1.34 -4.78 7 40.64 0.09 360
11:29 12:31 0.09 0.9 -2.76 6.75 40.81 0.09 360
11:23 13:19 0.1 1.45 -4.97 7.53 40.81 0.09 360
11:31 13:21 0.1 1.38 -5.08 7.32 40.84 0.09 360
11:13 12:31 0.09 0.96 -3.16 5.75 40.86 0.09 360
11:17 13:19 0.1 1.46 -5.61 8.64 40.86 0.09 360
11:27 13:31 0.1 1.36 -4.87 7.46 40.91 0.09 360
11:19 13:31 0.1 1.36 -5.07 7.75 40.92 0.09 360
11:11 13:19 0.1 1.5 -5.98 8.75 41.07 0.09 360
11:27 13:21 0.1 1.42 -5.17 7.13 41.11 0.09 360
11:19 13:21 0.1 1.42 -5.37 7.42 41.12 0.09 360
11:35 13:19 0.1 1.41 -5.06 8.04 41.14 0.09 360
11:25 12:31 0.1 0.9 -3.17 5.97 41.31 0.09 360
11:29 12:15 0.09 0.75 -2.09 4.61 41.62 0.09 360
11:13 12:15 0.1 0.81 -2.71 3.5 41.67 0.09 360
11:31 12:31 0.1 0.89 -2.92 6.82 41.81 0.09 360
11:27 12:31 0.1 0.92 -2.84 6.78 42.08 0.09 360
11:19 12:31 0.1 0.93 -2.65 5.51 42.09 0.09 360
11:25 12:15 0.1 0.75 -2.32 3.97 42.12 0.09 360
11:31 12:15 0.1 0.73 -2.25 4.27 42.62 0.09 360
11:37 13:19 0.1 1.4 -5.06 8.09 42.62 0.09 360
11:27 12:15 0.1 0.76 -2.15 4.61 42.9 0.09 360
11:19 12:15 0.1 0.78 -2.41 3.87 42.9 0.09 360
11:21 13:19 0.1 1.46 -5.23 7.63 42.95 0.09 360
11:29 13:19 0.11 1.41 -5.32 7.39 43.95 0.1 360
11:13 13:19 0.11 1.48 -5.75 8.92 44 0.1 360
11:25 13:19 0.11 1.41 -5.09 7.12 44.46 0.1 360
11:31 13:19 0.11 1.41 -5.17 7.81 44.97 0.1 360
11:27 13:19 0.11 1.43 -5.26 7.3 45.25 0.1 360
11:19 13:19 0.11 1.44 -5.46 7.87 45.25 0.1 360