How much the position changes on an average day. Higher turnover means higher trading costs in real life.
Turnover = average daily |position_t − position_t−1|Backtests on this site do not subtract commissions or slippage. A strategy with high turnover can look good on paper and lose most of its edge after costs, while a slow strategy with a weaker headline number may survive them. Use turnover as a warning light when comparing returns.
| Strategy | Turnover |
|---|---|
| FACTOR-05 Multi-Factor Composite | 0.008 |
| SEAS-01 Monthly Seasonality | 0.008 |
| MOM-01 Time-Series Momentum | 0.011 |
| RISK-01 Drawdown Control | 0.011 |
| MR-03 Kalman Filter Mean Reversion | 0.012 |
| Strategy | Turnover |
|---|---|
| HMA-01 HMA Crossover | 0.149 |
| RISK-04 Trailing Stop Strategy | 0.128 |
| VOL-01 Volatility Breakout | 0.124 |
| MR-16 Connors RSI | 0.120 |
| TREND-11 Kaufman Adaptive Moving Average | 0.120 |