Are your returns based on the open and close price the morning after the
signalis given, or using the closing price the day of the signal.
In the case of Nov 25 signal, a much different picture is displayed when
using the open on Fri. A.M., rather than the close of Wed.
Returns are based on the closing DJIA value. The signal for the next trading
day is computed from the closing data. Usually, trading, based on this signal,
in the extended-hours sessions or at the open of the next day is not a problem.
November 25 was an exception. My data provider made a serious data error that
was not corrected until later that evening after the after-hours session had
ended. I updated the signal on Thanksgiving morning, Thursday, November 26, from
long to cash. On Friday, the market opened down more than one percent due to
the Dubai financial crisis.
My data provider often corrects data sent previously but
the correction this time were bigger than normal due to the error.
This caused the ANO to shift from above to below the long signal setpoint.
The ANO had fallen quite a bit at the close the day before, Tuesday,
and maybe we should have expected that a cash signal was forthcoming.