So I wrote as simple an algorithm as possible to show this. It shorts Ford for 10 days and then exits the position. Starts at the end of Jan 2014 and ends in March. If you look at March 3rd it shows a loss of $124 dollars in the daily returns but no positions held and a reduction in the overall returns from 1.5% to 0.7%. Why is this? Cash is also removed.
Hi Brian,
I took a look at your algorithm and the behavior looks to be caused by a dividend. Since you were shorting the stock, you have to pay the dividend, causing the portfolio dip. Quantopian data does not use adjusted close prices for dividends but rather you'll see it as a cash payment. For more information see here.
Ford marked the record date as 1/31 and the payable date was 3/3, which lines up with your dates. This made the ex-date on 1/28 during which your algo held the stock. If you move the start date to 2/1 or 2/3 (which is the next trading day) then you will not be responsible for the dividend and your algo will behave as expected.
Cheers,
Alisa
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Any time, glad to help
Disclaimer
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.