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Calculated Turnover for Back-Test or Portfolio

It would be useful, especially for those who don't want to flip stocks often, to include a "turnover" calculation as part of a Back-Test.

While this can be approximated by the number of trades, the duration of the test is also a factor. 10 trades over 100 days is very different from 10 trades over 20 days.

If there is no obvious turnover calculation, an "average days held", for all positions taken during the test, would suffice.

Max draw-down is a measure of how much pain one may have to tolerate. A turnover measure would be a measure of portfolio stability.

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Ken Reso shared this idea  ·   ·  Flag idea as inappropriate…  ·  Admin →

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  • Stanley Cornelius commented  ·   ·  Flag as inappropriate

    Since my average trading commission is about $1.00/trade, I use this amount as the trade commission, and $100,000.) so this gives me the no of trades as the commission. As I am mainly interested in the gain %, any amount will work.

VectorVest 7: BackTests

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