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A signal that sees the future · Part 2 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.
A colleague backtests with (sig * ret).sum(). What total return does it report, in per cent, to two decimals?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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