Does anyone know for sure whether the Avg Rtn line (the 2.18% in the screenshot) includes the “smaller” rebalance trades (formula weight method)?
Or is it just the statistic from the “main” opening of the position to the final closing of the said position excl the smaller buy/sell orders in between?
For ‘Avg days held’ → is it calendar days or trading days?
In other words, 66.66 days is about 3 months? or about 2 months?
Actually for 2) same question: is it some sort of time-weighted holding period incl. the smaller rebalances
or
the holding period from inception of the main initial position to the final closing of the position?
I’m not sure about #1 but maybe you could find a scenario and test it over a small period to make sense of it. Please let us know what you find?
Looks like it’s days not bars. Note that you should always start on a Sat or Sun because the sim doesn’t make a trade with a Mon inception until Tues. In this example it also includes the sell day as a day held. Interesting and I’m not sure if I would say that a sell day is a day held?
I asked Aaron about it, and he said that we’re calculating the average return in each column by totaling the current value of all the holdings, totaling the cost of all the holdings, and then dividing the current value by the total cost. You would then deduct 1 and multiply by 100 to get the average return. For realized transactions, it would be proceeds divided by cost.
You can get those numbers from the Current Holdings page or the Realized Transactions page. To answer the question, it’s not looking at individual transactions at all.
AFAIK, days displayed in the strategies are calendar days.
@Paul
→ Q1 - then it means it includes rebalance trades. Without thinking about it now, there might be other ways to calculate (which might or might not lead to slightly different results) but good to know rebalance is somehow included. Could I suggest adding the info from Aaron somewhere in the manual / relevant help pages?
→ Q2 - days, OK. Thank you both
@Barn
I did not know about this Monday / Tuesday initiation point. I need to check.
