ITH stands for “Investment Time Horizon”. It is a concept that has been gaining traction among investors in recent years. It is a way to quantify and measure risk in a time-varying framework, and is used to help investors plan for their future investments. It is not to be confused with holding period.
Cathie Wood, CEO and founder of Ark Invest, says she invests on a five-year investment time horizon. Wood’s mantra is that ARK invests with a minimum five-year time horizon, and that volatility is to be expected in the industry-disrupting and cutting-edge stocks it targets.
At Eon Labs Ltd., although we expect volatility in your strategy performance, we only accept trading strategies that have short-term ITH, which must satisfy the following criteria: minimum rolling RRR $(RRR_H)$ during the entire backtesting period is equal or larger than one (1), where the investment time horizon $(_H)$ is equal or less than 28 days.
$$ H \leq 28\,days $$
where $H$ is the investment time horizon or the observed length of every rolling window subsample during the submitted backtesting period.
In other words, ITH is the maximum duration required for an investment to not only recover from a drawdown that occurs after reaching an equity peak but also to surpass the peak by a specific percentage. This predetermined percentage must be equal to or greater than the drawdown percentage. In essence, the ITH measures the time it takes for an investment to bounce back and achieve additional growth following a decline in value.
ITH application is detailed in Profit Sharing page. It is closely related to the other two ideas:
Given that only at Settlement can the SNRF be topped-up by ATSR Fee or debited to ATSR according to the arrears schedule, the projected ITH or the timing of each Settlement is dynamically determined by the combination of three (3) criteria:
In short, all three criteria must be met for a Settlement to take place.
Scenario. Feel free to copy this ‣ to your own Google Workplace to find out more about how SNRF is structured to balance the interests of ATSR and Eon Labs Ltd.. Also, check out the Fair Pay page for more info.
Using Time Horizons to Reach Your Investing Goals
ITH is expressed in terms of 1-to-1 risk (drawdown from the peak) vs return (Excess Gain beyond the peak).
Feel free to substitute the synthetic csv file data in the NAV_data folder with your own data to generate the HTML ITH results.
June 6, 2025 rank by the max of the most recent three (3) ITH timespan(s) to take the most recent performance into consideration
November 2, 2024 users can define their own custom csv folder where their performance data csv is located
June 23, 2024 Refactored for code structure optimization and consistency.
June 4, 2024 Refactored with Numba JIT for faster generation.
November 20, 2023 ITH script updated: Fractional percentage PnL column can be generated from NAV column automatically.