I created what I think is a pretty decent algo that has performed well on a long backtest (2006-present). Unfortunately running a tearsheet in notebook seems to crash so I am providing a link to screenshots of the backtest performance below. Attached is a tearsheet from 2007-2009 to capture performance during the financial crisis.
commission/slippage settings:
set_slippage(slippage.VolumeShareSlippage(volume_limit=0.1, price_impact=0.0))
set_commission(commission.PerShare(cost=0.001, min_trade_cost=0))
Any feedback would be greatly appreciated... Thanks in advance
12yr Backtest Results:
Total Return: 419%
Specific Returns: 308%
Sharpe: 1.34
Beta: 0.06
Leverage: 1.00
12 year backtest screen shot:
https://imgur.com/a/UzD5az3