Turnover Tipico per Strategia
Definizione
Turnover = Total Contracts Traded / Average Position
Non include rolling (contato separatamente).
Turnover per Strategy
| Strategy | Turnover (×/anno) |
|---|---|
| Buy & Hold (fixed risk) | 2-3× |
| Buy & Hold (variable risk) | 5-6× |
| Slow Trend (EWMAC 64/256) | 3-4× |
| Fast Trend (EWMAC 16/64) | 8-10× |
| Carry | 2-3× |
| Mean Reversion | 15-30× |
| Multiple Rules Combined | 3-6× |
Volatility Targeting Impact
Fixed volatility estimate: - Position changes solo per price - Lower turnover
Variable volatility estimate: - Position changes per price E volatilita - Higher turnover (+50-100%) - But: Better risk targeting
Asset Class Differences
Equities: 3-5× typical FX: 5-8× typical Commodities: 4-7× typical Bonds: 2-4× typical
Cost Implications
Esempio turnover 10× vs 3×:
Strumento con TC_risk = 0.01: - 10× turnover: Annual cost = 0.10 SR - 3× turnover: Annual cost = 0.03 SR
3.3× difference!
Rolling Separate
Total Trades = Turnover + (Rolls × 2)
Esempio: - Turnover = 5× - Quarterly rolling = 4 rolls - Total = 5 + (4 × 2) = 13 trades/year
Estimating Turnover
From backtest:
- Count total contracts traded in year
- Calculate average position size
- Divide: Turnover = Total / Average
Use multi-year average per stima stabile.
Reducing Turnover
Metodi: 1. Slower trading rules: EWMAC 64/256 invece di 16/64 2. Threshold rebalancing: Solo se position change > 10% 3. Blend volatility estimates: Smoother σ → less trading 4. Lower forecast diversification: Fewer rules
High Turnover Warning
Turnover > 20×: - Extremely high costs - Difficile essere profitable - Consider strategy redesign
Red flags: - Mean reversion senza filters - Overoptimized parameters - Too many trading rules
Concetti Correlati
- [[Risk Adjusted Costs]] - turnover driver di costs
- [[Transaction Costs]] - impatto diretto
- [[Volatility Targeting]] - affects turnover
- [[EWMAC Speeds]] - faster = higher turnover