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Newbie question about Turnover.
Humberto Malaspina
posted

Good morning,

I am new to the Quantopian community, my name is Humberto Malaspina. I have just begun to develop my trading algorithm and have some questions as I read all the information on the Quantopian contest. I am much of a swing trader and my trading method is based on that time frame. I can buy a US security and hold the position from hours to weeks depending on market behavior. One of the contest criteria is turnover. It states: "Your algorithm must have between 5%-65% mean daily turnover." Does that mean that my algorithm has to practice day trading techniques to comply with that criteria?

Thanks in advance for all the help.

Regards,

Humberto.

2 responses
Saba Nejad

Hi @Humberto Malaspina,

The contest rules requiring a 5%-65% mean daily turnover are written to encourage an average holding period of roughly 3 to 40 days. It's not meant to encourage a holding period of less than a day trading. One doesn't need to trade more than once a day to comply with the contest rules.

Note this is an average holding period. One can hold individual stocks for less than 3 days or longer than 40 days. You just need the average to stay within this range. You can find some pointers on how to work with the volatility of your alpha signal and the trade frequency to stay within these limits here.

Also note the leverage requirement for the contest. This requirement also encourages longer holding periods by requiring at least 80% of the portfolio be invested overnight.

Good Luck!

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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.

Humberto Malaspina

Many thanks for the reply. Help a lot. Regards, Humberto.

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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.