Algo starts with a notional of 30000 and does not go short. What gives?
Hi Rupees,
Could you provide a short explanation on what you're doing in your algorithm? I think that could help in debugging your code
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Sorry I have not been able to keep up on the explanation. The algo is supposed to go short or long to the extent of 10,000 dollars (to keep it real). This is a momentum based algo, so when the pnl increases, the algo goes long and vice-versa, to the extent of the notional 10,000. I am using the RSI in an attempt to increase the profit. But backtesting from different dates either gets the algo going short (more than -10,000) and heavily into a loss, depending on the first pnl figures, or long and profitable. Also when pnl start to fall, the algo fails to go short to the desired extent i.e. it goes short only to the extent of a 100 $ each time, so the notional is never negative. The notional rises to higher than the maximum notional set (10,000), in this backtest, it goes to 35,312 right at the start. Hope this is enough information to debug the algo.
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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.