How To Determine Time In Market?

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How To Determine Time In Market?

posted Jan 29, 2015

I was wondering if there was a simple way to determine the "time in market" of your capital?

Ie, if I have two algos; one produces a 20% return per annum but is only invested in the market 20% of the time and the other algo produces a 25% return per annum but is invested 90% of the time, I'd argue that the first algo is better because your capital could be used to make additional returns in other strategies for the remaining 80% of the time.

So how could we calculate the time in the market for our different strategies?

2 responses

Hmmm, you could do something along the lines of keeping a timedelta context variable to keep track of the time in market. When a trade is opened, note that time, then when it's closed, subtract the opening time from the current time and add it to the total time. I took a stab at it, could get uglier with multiple stocks on the go though.

Thanks David.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.