FoundationNumeric answer
A signal that sees the future · Part 1 of 3
Six daily closes are 100, 102, 101, 104, 103 and 106 in a pandas Series close. The signal is sig = close > close.rolling(2).mean(), long one unit when true and flat otherwise, and the daily return is ret = close.pct_change(). Daily strategy returns are added, not compounded.
On how many of the six days is sig true?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
Learn the method
More python and data for quants questions
- A US equity session runs 6.5 hours. How many five-minute bars does it contain?Foundation
- What does pd.Series([1, None, 3]).mean() return?Foundation
- For prices 100,110,99, what is the last value of pct_change()?Foundation
- A Series has 10 values. How many non-missing values does s.rolling(3).mean() contain?Foundation
- You compute a feature with df.rolling(21, center=True).mean().Applied
- You add two pandas Series with partly different indexes. What do you get?Applied