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Trading Frequency

This page describes the time resolution of the algorithm and the frequency at which it trades.

Definition

Trading Frequency refers to the rate at which the algorithm enters and exits positions. These rates fluctuate from security to security. However, by being able to calculate the average rate across all securities in the trading pool we can generate a rough estimate for out-of-sample securities. A variety of factors influence this value, including the security's liquidity, market conditions, algorithm settings, and algorithm resolution.

Time Resolution

Based on performance and the needs of our users, we have opted to run the algorithm at the 5 minute resolution. This is to generate a moderate amount of trades while still having the versatility of day trading. By doing this, users will take an average of 5 round-trip trades (opening and closing a position) per day across 5 securities. Both the number of securities and the number of trades taken are subject to change as later versions of the algorithm are published.

Statistics

As described above, securities will generate approximately 1 position per day (buy, sell, or exit). However, this number does change based on the settings configured within the algorithm. For example, setting a rigid stop loss or take profit will result in more positions being generated.
For the research described below, we analyze the average trade duration of each security over a 6 year period (11-15-2016 to 11-15-2022).
With the default settings, we found the average trade count to be 1.002 per day, or 1514.722 over the 6 year period.