I don't think I had my question answered from my last post. I understand
now from your answer that your forecasting method is optimized using closing
values, from the end of the day.
My real question is, when should I actually buy in according to the trading
model? Knowing that the model and forecast are optimized with the closing values,
would I want to trade as close to the end of the day as possible (3:59 PM EST)
or right after, as soon as after hours trading opens? What would be the most
optimum time to buy and sell?
This is a good question, but unfortunately, my model does not provide
an answer. I think you are looking for a day trading model. Such a model may
tell you when you will get the best price during a trading day. My model's forecast
horizon is 15 days which is much too long to resolve daily action. I am working
on a 10 day model, but it is still under development and it will not help much
on a timescale that you need. I did at one time look at much shorter time scales
(like minutes - hours) but I believe that the market is just too efficient to
forecast at this level with acceptable accuracy. The trading model has been optimized
for end-of-day trades, but this may not give optimum results.