I was looking at at the benchmark performance and why a simple buy and hold would be better while I know my algorithm would at least in a bull market overperform.
Then I discovered my algorithm was only invested 50% of the time and the SPY benchmark is invested 100% of the time for the full amount. I would be great to be able to adjust the benchmark to follow the invested dollars, or at least have the option.... any opinions?
PB
Hello Peter,
It would be interesting to be able to define the benchmark as a buy-and-hold portfolio rather than as a single security. On the surface, this would seem to be a trivial change, such as:
set_benchmark(sids, weights)
The sids parameter would be a list of securities making up the benchmark portfolio, and weights would be the fixed buy-and-hold weightings.
In your case, you could use SPY plus an ETF that is a proxy for cash, in 50/50 proportion, or just set SPY as the single benchmark, but apply a weight of 0.5.
Grant
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