Is anyone else getting this? The same algo with $10mm has low volatility and roughly 2% annualized returns (not great I know, it's a very low capital intensive model), but if I increase the portfolio size on the top right to $100mm and make the max/min notional 100x larger all of a sudden it craps the bed. I would have thought performance would have been better, not worse.
Backtests showing markedly different results with $100mm instead of $10mm
Hi Ken,
There could be a number of reasons contributing to the difference performance. Possible exanations include:
- Portfolio leverage
- Order transactions and status of open orders
- Slippage (when are orders being filled)
- Ordering methods (are you using order_target_percent/value?)
Can you post your code so we can help you out? Or perhaps share sample code? I'd be happy to take a look!
Cheers,
Alisa
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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.
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