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Inclusion of Average Trades Per Month Statistic

Hello,

Since this also seems to be an issue in the review of alphas, I would suggest to add a backtest metric that says what is the average number of trades per month in the duration of the backtest. The statistic would say something like this: Trades Per Month: 14

As you would have guessed, this can also be programmed in the alpha submission process to filter any algorithm that does not produce more than 10 trades per month.

I think this would be a valuable metric to have for the community as well. This is one way I see this could be calculated: Multiply the number of years in the backtest by 12 months. Then, divide the number of trades made by the algorithm by that number. For instance:

5 years * 12 = 60 total months

1,000 trades / 60 = 16.6 trades per month

 

Again, thanks for your consideration!

 

 

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Hi  Marvin Montoya ,

Thank you for the suggestion.

1

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.


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0

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.


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