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Open Feature request MC-650

Change method of reporting number of days in "Longest Flat Period"

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This is a feature request that is related to a bug that I just reported as MC-649, although this is a separate issue.

The "Longest Flat Period" in a Portfolio Performance Report is reported using a "Years, Months, Days" formula. E.g., as I noted in the bug report, the "Longest Flat Period" might be reported as "9 months, 18 days," or 1 years, 7 months, 4 days."

It would make more sense, in my opinion, just to report the number of days in the longest flat period. That would make it easier to make an apples-to-apples comparison of the longest flat periods between two strategies.

Also, it's not clear if the reported value for longest flat period includes non-trading days. E.g., if a flat period includes a Friday, Saturday, Sunday and Monday, would that count as a flat period of "four days," even if the markets weren't open on two of those days? If that's the case, then the "flat period' value would be somewhat misleading. Ideally, the flat period should only include the number of actual flat trading days -- e.g., a flat period of 2 trading days for the Friday-through-Monday example.

Steps to reproduce this issue

See above.

Comments (1)
user-offline.png  Xyzzy (Xyzzy)
Oct 10, 2011 - 16:06

My third paragraph might not be entirely clear. For clarification, what I'm suggesting is that the flat period be reported as "4 days," "37 days," "200 days," or whatever the actual number of days is, rather than using the "Years, Months, Days" reporting method.

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    user-offline.png  Xyzzy (Xyzzy)
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