No. of Recommendations: 3
Is the sell next day close or something else?
Something else.
Using the daily closing values that come out of GTR1 ...
Then stripping that down to the value on the first day of the month ...
Compute the return for that month. ((next_month_value / this_month_value) -1)
(It is an interesting contortion in Excel to isolate the SOM values from the daily values and put them in a table with no holes.)
For each month, look down the table of signals and find the signal (IN/OUT) that was computed just before this month.
If that signal was OUT, then the return for that month is forced to 1.0000.
The IN/OUT signal at the end of month N determines the return to be used for month N+1, actual or 1.0000.
The signals are computed in a separate operation.
There is some granularity involved, because the signals are computed on a daily basis but reported on a weekly basis. The signal computed for a week is to be applied to the next week. In this case, the last week reported in a month is applied to the next month.
(It is a PITA to ensure that you are applying the signals to the correct month instead of effectively applying the NEXT month's signal, which would be lookahead error.)
