Calculating the historical performance of each month

["Steve Davis" <_sdavis@xxxx>]

This simple code 
uses the optimizer to determine the historical returns of each 
month.
It is so easy to 
write this in AFL!
And the results are 
interesting too.
<SPAN 
class=250220004-06102002> 
<SPAN 
class=250220004-06102002>-Steve
<SPAN 
class=250220004-06102002> 
<SPAN 
class=250220004-06102002>========================================
/*Usethe 
optimizer to find the historical performance of each 
month.*/
 
calendarMonth = 
Optimize("Month", 1, 1, 12, 1);
 
Buy = (Month() 
== calendarMonth) AND (Day() < Ref(Day(), -1));Sell = Ref(Month(),1) != 
calendarMonth;