Frequently Asked Questions
A: If the signal change comes during the day, I take that current price. If the signal comes after the close but before the open, I take closing prices to keep it consistent since some will buy after the close or before the open. For example, the closing price on 1/11/11 was 49.45. Thus, on a day where the market gaps down, the model's performance is slightly penalized. On a day when the market gaps up such as 1/12/11, performance is slightly enhanced.