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Formula SignalLogReturn SignalSign(n-1) x log(Price(n) Price(n-1)) If (Signal(n - 1) 0) SignalSign 1 ElseIf (Signal(n - 1) 0) SignalSign -1 Else SignalSign 0 SignalLogReturn SignalSign(n-1) x log(Price(n) Price(n-1)) SumSignalLogReturns SumSignalLogReturns SignalLogReturn SignalReturn is determined by applying the signal to the price series.

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