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How to record and plot the average holding period


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.


6 responses

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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Thanks Jamie. Will try that.

Shiva, you might also be able to achieve this using some of the plots in pyfolio that look at your holdings. Check it out!

Shiva, have you succeeded in implementing it?

Martin, no I haven't gotten around to implementing it. Let me know if you do!

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