No trades are ever placed and it seems the "rebalance" subroutine never gets executed.
Please see my next post for the source code.
Many thanks if you are willing to have a look at it (it's quite short :-)).
Tim
I have just realized that I can attach the source and the back-test results in a form that is much more convenient for inspection.
Sorry for not having figured it out earlier.
The Morningstar database seems to have no PEG ratios, so this line in your code means that no stocks get selected:
.filter(fundamentals.valuation_ratios.peg_ratio != None)
Also, these two lines refer to 'pge_ratio' rather than 'peg_ratio':
x = context.fund['pge_ratio'].quantile(0.80)
shorts = context.fund[context.fund['pge_ratio'] > x]
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