Hi,
Is there a formula/function to record the average holding period of the holdings in the portfolio ? I am working on building a short term strategy and I am concerned that some trades are happening too quickly and profits are being decreased due to the bid/ask spread.
If I can plot the average holding period of all trades then I can try to optimize some parameters to avoid some trades.
Thanks,
Hi Shiva,
There's nothing built-in for this, but you can create your own function to do this by using something like a dictionary stored in context to track when you place orders. You can also use the get_order() function to track when orders are filled if you think there might sometimes be a delay.
I hope this helps!
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Shiva, you might also be able to achieve this using some of the plots in pyfolio that look at your holdings. Check it out!
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.
Sure! ☺ I will share the code with the whole community here, in this thread, once I implement it. As of now, unfortunately, I am too busy doing different stuff so I am using Pyfolio's Distribution of Daily Turnover Rates and |average| daily turnover together with my own live trading observations as an ersatz...
Hopefully, the Quantopian folks will come up with a simple API call ASAP! ;-) #wishlist
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.
