My algo is not backtesting correctly. It is not pulling in the cumulative returns. Rick constraints are being identified, but that's about it. The algo is supposed to go long on stocks whose price is 5% under the 5day EMA. Any help would be greatly appreciated.
Try to compute target weights this way:
def compute_target_weights(context, data):
weights = {}
if context.close_vs_EMA5:
weight = 1.0 / len(context.close_vs_EMA5)
else:
return weights
for security in context.portfolio.positions:
if security not in context.close_vs_EMA5 and data.can_trade(security):
weights[security] = 0
for security in context.close_vs_EMA5:
weights[security] = weight
return weights
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