How We Calculate the Rolling Performance Figure
One of our subscribers noticed a big change in the rolling performance figure for the Dr K Market Direction Model™ over the course of just a few days and asked how it could have happened given that there had been no signal changes and no other updates to the model during that time.
Explanation
Because we are evaluating the rolling performance of the model, the performance figure needs to be evaluated every day. This means that the start and end dates used for the calculation can change (resulting in fluctuations in the performance figure) even though there may not have been any signal changes.
To illustrate this, we can use the table of results below as an example.
| Date | Signal | % gain / loss | $1 becomes |
|---|---|---|---|
| 05-04-2022 | Cash | 12.92 | |
| 02-10-2022 | Sell | 28.97 | 12.92 |
| 01-03-2022 | Cash | 10.02 | |
| 12-14-2021 | Sell | -6.31 | 10.02 |
| 11-30-2021 | Cash | 10.69 | |
| 11-29-2021 | Buy | -0.82 | 10.69 |
| 11-22-2021 | Cash | 10.78 | |
| 10-20-2021 | Buy | 26.64 | 10.78 |
| 09-28-2021 | Cash | 8.51 | |
| 09-22-2021 | Buy | -0.96 | 8.51 |
| 09-20-2021 | Cash | 8.59 | |
| 07-28-2021 | Buy | -4.07 | 8.59 |
| 07-15-2021 | Cash | 8.95 | |
| 07-01-2021 | Buy | 10.33 | 8.95 |
| 05-12-2021 | Cash | 8.11 | |
| 04-01-2021 | Buy | -3.81 | 8.11 |
| 03-08-2021 | Cash | 8.43 | |
| 01-07-2021 | Buy | -1.67 | 8.43 |
| 01-06-2021 | Cash | 8.57 | |
| 11-24-2020 | Buy | 15.98 | 8.57 |
| 11-02-2020 | Cash | 7.39 | |
| 06-15-2020 | Buy | 26.11 | 7.39 |
| 06-15-2020 | Cash | 5.86 | |
| 06-01-2020 | Buy | -1.36 | 5.86 |
| 04-22-2020 | Cash | 5.94 | |
| 03-05-2020 | Sell | 37.29 | 5.94 |
| 03-05-2020 | Cash | 4.33 | |
| 11-01-2019 | Buy | 18.87 | 4.33 |
| 10-01-2019 | Cash | 3.64 |
On April 21st, 2022, the performance figure calculation would have used the Sell signal on March 5th, 2020, as the starting point.
On April 22nd, 2022, the calculation would have started with the April 22nd, 2020, Cash signal.
So the performance figure calculated on April 21 st, 2022, included the 37.29% gain of the 03-05-2020 Buy signal, whereas the performance figure calculated the next day, didn't.