Calculate Performance

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How do we calculate performance?

To calculate performance, we use end-of-day Adjusted Close prices from public data sources. The performance is calculated as follows:

  • The start of the performance evaluation period is the end of the "Execution lag". The Execution lag is 0-5 days time interval giving investors a chance to build up their position before the performance is evaluated. Thus, an Execution lag of 0 days means that the position is opened on the day the signal is received. The Execution Lag of 5 days implies that the position is opened 5 days after the signal is received. The Execution Lag gives you an ability to evaluate how much room you have to accummulate a sizeable position in a given security. The longer the Execution Lag, the bigger position you can take on.
  • All returns are calculated on the Adjusted Close prices.
  • Win ratio is calculated as % outcomes where the absolute returns exceed 0.2% (20 pips or bps) in the relevant direction.