Hi .. can u please explain why your 10 SPY flips shown in article dated 9/19 is different from the one shown in the article dated August 1. The returns shown are dissimilar . Thank you
Deepam, thanks for this question. This is an excellent catch, and I completely missed the nuance until you pointed it out.
First, the last 10 flip dates are consistent in every single post; that's the most important part of the signal. From a practical execution point of view, the signals trigger after close, and I personally place trades at the next day's open, so there's always a one day execution lag between the signal and my real fills.
What caused the discrepancy was a data column mix up in my program: the 8/1 table was built from "Adjusted Close" (which restates history slightly every time a dividend is paid), while every issue since 8/8 has used the plain "Close," the actual traded price.
Since 8/8 and going forward, I'm standardizing on actual Close for all return calculations.
Thanks again for catching this. Appreciate the scrutiny.
Hi .. can u please explain why your 10 SPY flips shown in article dated 9/19 is different from the one shown in the article dated August 1. The returns shown are dissimilar . Thank you
Deepam, thanks for this question. This is an excellent catch, and I completely missed the nuance until you pointed it out.
First, the last 10 flip dates are consistent in every single post; that's the most important part of the signal. From a practical execution point of view, the signals trigger after close, and I personally place trades at the next day's open, so there's always a one day execution lag between the signal and my real fills.
What caused the discrepancy was a data column mix up in my program: the 8/1 table was built from "Adjusted Close" (which restates history slightly every time a dividend is paid), while every issue since 8/8 has used the plain "Close," the actual traded price.
Since 8/8 and going forward, I'm standardizing on actual Close for all return calculations.
Thanks again for catching this. Appreciate the scrutiny.