Over the last week, I experimented with various ways to improve the performance of my best strategies with the volume-based indicators. Specifically, I added criteria such as "rising volume", "declining volume", "peak volume", and "lowest volume". The results are disappointing. On the risk-adjusted basis (as measured by PF, Kelly, and PI), I have not been able to improve the performance of my best strategies. If anyone sees any evidence of "extra edge" by including volume information, feel free to post here.
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