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Algorithm ordering more than portfolio value
Marco J
posted

Hey everyone,

I modified the example fundamental data algorithm provided to find the 600 stocks with the lowest p/e, p/b and fcf ratios. It's then supposed to establish lists for each of these indicators and find the common stocks. It then creates a portfolio weighting each stock equally with create weights(). The portfolio is rebalanced monthly.

However, when backtesting, I noticed that the algorithm was executing transactions of over $2 million between the weeks of July 3 2005-November 27 2005 even though the starting cash is $1 million. I believe that most of this is coming from one stock, FWLT, since the transaction details shows that my algorithm is ordering over $1 million of this stock. This behaviour seems to stop thereafter.

I'm very new to this and I would really appreciate if any of you could help me figure out what could be triggering this.

Thanks in advance :)

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