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A signal that sees the future · Part 3 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.

The fix is `(sig.shift(1, fill_value=False) * ret).sum()`, so each day trades on the previous day’s signal. What total return does it report now, in per cent, to two decimals?

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The fix is (sig.shift(1, fill_value=False) * ret).sum(), so each day trades on the previous day’s signal. What total return does it report now, in per cent, to two decimals?

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The fix is `(sig.shift(1, fill_value=False) * ret).sum()`, so each day trades on the previous day’s signal. What total return does it report now, in per cent, to two decimals?