Hi all,
As of now I do not believe there is a way to set your benchmark for your specific algorithm. I think the "benchmark" is a close resemblance of the S&P 500.
I read in a post earlier that the people at Quantopian (btw awesome work so far guys!) are working on letting you set your own benchmark. Until then, I created this simple algorithm that you can use as a benchmark against the strategy you are running.
Basically, all it does is take the cash that you start with, given a list of securities, and purchases them with an equal share of the portfolio on day 0 and hold throughout your time frame. It shows up as its own algorithm so you'll have to switch back and forth to compare with yours, but so far I've found it to be useful.
Here's one using Johnson and Johnson as a reference:
