Categories: Expert mode | Neoland-App Dashboard

Published: 21. May 2021
Written by: Marius Siegert

Time under Water shows you how many days your AI has traded without reaching a new high in the account. It is the maximum time interval from your previous portfolio high to a new high (Prado, 2018, p. 201). The smaller your time under water, the more continuously your AI performs.

For example, it can be used to evaluate whether investment A or B is the better one. Better in the sense that profits are achieved permanently and not only sporadically towards the end of the analysis period large profits are achieved. This is important, for example, if you want to pay out profits from the investment in the meantime.

As an example, the MSCI World is considered in the period from 01.01.2020 - 31.12.2020.

Figure 1: MSCI World price development, data from Yahoo Finance, own presentation 

In the period under review, the previous high was €102. This was reached on February 19, 2020 and was not exceeded again until August 28, 2020, when a new high of €103 was reached. The time under water for an investment in the MSCI World was thus 131 trading days or 191 calendar days (including weekends and holidays).

Sources

Prado, M. L. (2018), Advances in Financial Machine Learning, New Jersey: John Wiley & Sons, Inc.

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