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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!
Alexandre Catarino
Hi Marvin Montoya ,
Thank you for the suggestion.
Marvin Montoya
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