Hey Everyone,
Since I'm new with the backtesting tools from Quantopian, my idea was to test an old technical analysis strategy based on the interesting results I found at: Backtesting Bollinger Bands On ETFs And Stocks – Full Strategy And Results, section "Putting It Together"
I expected to find similar results, but as you can see below, the results are quite different. I sampled some entry and exit points, and everything was fine. I cannot explain the difference I found in the results.
my results
Total Return: 21.9%
Annualized Return: 1.3%
Maximum Drawdown: -13.8%
Win Rate: 67.0%
N. of Trades: 794
Backtest period: 01/2006 to 09/2017

Buy Rules:
(1) The 21-day average volume of the ETF must be greater than 125,000.
(2) The lowest daily volume of the ETF over the last 21 days must be greater than 50,000.
(3) The closing price of the ETF must be above it’s 200-day moving average.
(4) The %b value must be under -0.1 for 4 days in a row.
(5) Is an ETF
Sell Rules:
(1) Sell when %b goes above 1.
Other Rules:
(1) No stop loss
(2) $100,000 initial portfolio
(3) Maximum number of open positions is capped at 10 with equal weighting position size (i.e. 10% per trade).
(4) If we get more signals than the portfolio can carry we will prefer the ETF with lower %b.

Anyway, here are some points that deserve to be mentioned:
1. The return was low even with a high win rate.
2. I still don't know how to connect these results with some kind of factor that I could have used in the Notebook Environment, which could have saved me a lot of analysis time.
3. If I did everything correct, this type strategy doesn't look promising.