Revisiting the Day Range Strategy. Part 2.

This report continues our efforts to document the progress in the Day Range Strategy as the strategy is on its way towards production version. The research version of our system, known as Danica, has demonstrated in the six months of live operation that the high degree of predictability for daily extremes (low and high) is a reality, not a backtesting artefact. The Day Range Strategy is designed to benefit from the high stability of forecasts for daily extremes while minimizing the exposure to the forecast of daily close, by placing a protective stop and a profit target.

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