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             Indicator / Model Diagnostics:  Measuring Lead Lag  
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In this example, trading signals were constructed to never miss any 3% market moves. Then, the signals were traded three times. The Red line in the graphs, below, represents the Sharpe Ratio if the signals are traded after Leading or Lagging the number of days indicated on the X-Axis.

The first graph, below, shows the output of the QCL LEADLAG Command after "WARPing" the signal time series back one day, making the signals trade one day early. The graph shows that the peak Sharpe Ratio "Leads," that is, it occurs exactly one day early. The second graph shows the perfectly timed signals, that neither Lead nor Lag. And, the third graph depicts the trading results after one day of Lag was introduced to the otherwise perfectly-timed trading signals:

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