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No. of Recommendations: 12
Colmun A is MktD
Colmun F is price


While I can't say this is absolutely wrong, it's not quite how the GTR1 backtester calculates RRS, and it's probably not how BarryDTO's or my old RRS spreadsheets calcualted it. We calculate the slope of daily log-prices against market date ordinals, not dates. So if both Friday and Monday are market dates, then Monday's ordinal is one more than Friday's. It doesn't matter how the market dates are numbered, so long as they increase by one each market date and no dates are skipped in your price data. The eaiest way to do this would be with the formula


There's no need to even create the column of market date ordinals.

Gary's formula would treat the log prices from Friday and Monday as three days apart, which will produce slopes of less magnitude than the market date ordinal approach. And that's only when the dates are in a format recognized by Excel, and when Excel is converting dates to its own calendar day ordinals under the hood correctly. If the dates are in an unrecognized format, like YYYYMMDD (as printed in all GTR1 output), then your results will be complete garbage.

Robbie Geary
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