Three weeks ago I came up with an algo strat and I've been tracking the results in a google docs spreadsheet. I'm also learning to code the system here so I can automate the stock selection process and save me a number of hours each week.
I'm putting various formulas in my spreadsheet to measure portfolio performance, like Standard Deviation, Sharpe Ratio, Turnover, Correlation, Bating Average, Track Error, Up/Down Ratio, R-squared, Alpha, Beta.
I'm also breaking down some of the stats into different periods (daily, weekly, monthly). To me it seems useless to have a stat calculated since inception and nothing more.
One stat I can NOT find defined anywhere, is the performance of only the stocks that were added or sold in each past time period. In other words, a strategy may have a great return but if most of those returns came from the initial basket of stocks it tells us little about how the picking strategy is performing.
For each week the portfolio has been active, what is the current performance for all stocks bought and sold that week.
Is there such a statistic already defined elsewhere? I hope so, this jumps out as a very important stat when comparing systems.
Thanks!
Brian
