My intraday models are not profitable. What is wrong?
If your models are not profitable even though the Forecast Directional Accuracy (FDA) is clearly above 50% on average, then the bar-to-bar price changes are probably too small to cover transaction costs (broker commissions, spread and slippage). For small price changes, FDA needs to be higher to reach break-even than for bigger price changes. To increase FDA, try experimenting with other model parameters. If this still doesn’t work, then consider using a longer quote interval.
