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Newbie question about Turnover.

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.



2 responses

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