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Minimum portfolio turnover required?

Hi community,

I recall seeing a Q Contest rule mentionning that our trading strategy needed to have a minimum turnover. Meaning we had to trade minimaly X$ or X% of our portfolio value each week/month.
I can't seem to find this information. Is this still valid? AND what are the exact limitations in that sense?

Thanks for the support!

3 responses

TQ, there aren't any turnover requirements in the current contest rules. You're free to tune your trading frequency as you wish. The more interesting strategies will be active, trading at a daily or weekly basis.

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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.

We do talk about desired turnover levels in our fund page under "What We Look For."

An algorithm that has low/slow turnover is going to need more out-of-sample seasoning before we can bring it into the hedge fund than one with faster turnover. Our minimum seasoning is 6 months. Something that rebalances monthly would need much more than 6 months (6 decisions) before it we could consider it.

Disclaimer

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.

I wondered about this. If I'm trading once per day per security that I think is interesting, but I'm using order_target_percent and holding positions overnight, how do I know what my actual rate of portfolio turnover is? Hopefully this feature will be added at some point, but until then, does anyone have some sample code to track that?