Algo Scoring and Preferences in Holding Periods by Christopher Johnson

Christopher Johnson

| Reward Discussion

Hi everyone,

I'm new to the community and I've looked through the Algorithm Scoring documentation but the mentions of time frame are somewhat ambiguous. So I'm curious, is holding period a factor in scoring? I understand there are many different ways to trade and different time scales to trade on but it seems like the holding period could be a valuable scoring component. Am I missing something? Is the method used for scoring algorithms holding period invariant?

I'm also curious if anyone has any thoughts on selecting a holding period for certain strategies? I figure strategies involving fundamentals are more useful for a longer holding period, but I see how fundamental factors could be used to supplement a mean reversion or momentum strategy in a shorter term.

Update Backtest

Christopher Johnson

Accepted Answer

Update Backtest

Notebook

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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.

Douglas Stridsberg

5.1k ,

Hi,

There are two types of scores:

Direction score - when your buy (sell) insight closed, was the security higher (lower) than when you issued the insight? (binary yes/no)
Magnitude score - when your insight closed, had the security moved by as much as you had predicted? (continuous 0->1)

Neither of these have any dependency on holding period per se - aside from that they are calculated when the holding period has expired.You raise a good point - holding periods should perhaps be a more direct factor in the scoring. However, this is taken care of by the Terminal's advice on your alphas: it tells you whether you have a sensible number of trades per year, which should be inversely proportional to your holding period (roughly).

Christopher Johnson

Update Backtest

Notebook

To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!

Platform

QuantConnect Community

Alpha League Competition: $1,000 Weekly Prize Pool

Filter Discussion by Tags

Community Ambassadors

Earn free QuantConnect cloud credits by helping others, each week we airdrop credits to the most active community members.

186,762 Quants.

Online Now

Stay Connected