We just posted a new FAQ (the FAQ link is also available at the bottom of each page of the site). We are trying to answer a few common questions:
When do the ETF and TSP systems trade? How do you calculate the week to week results? Why does the system report a gain for the week when the new trade is down?
The systems trade at the close of the first trading day of the week (usually Monday). This means that when a system begins a new trade, the old trade is closed out at the Monday close and the new one is entered at the Monday close. Since we calculate the returns and post the signals on the weekend, the system returns are calculated on a week to week basis – Friday close to Friday close.
Thus, on a week where there has been a new trade, the weekend update takes into account what the old trade did on the Monday, and what the new trade did on Monday close through the Friday close. This explains why it is possible that the system will show a gain for the week even though the new trade, as of the Friday close, is down. Of course, the converse is sometimes true – the system will show a loss for the week even though the new trade is up for the week.
To summarize – the system results we post take into account the performance of the old trade on the Monday when a new trade is entered. The system results show week-to-week results calculated Friday-to-Friday even though the trades are closed and entered on Monday at the close.