The leverage on my backtest either is really low or really high. I am not sure where the error is in my code. The sell(context, data) might be messing with my count on existing stock shares.
It might also be taking too many purchases when the market is good.
Thanks,
Quantdog**strong text**
The comment at the top has nothing to do with the algorithm.
This is goal of the algorithm.
Following up on our live chat, the problem is that positions that are already held are not rebalanced to reflect the equal weighting that your algo is trying to achieve. For example, say in one bar you order 10 securities with value equal to 10% of your portfolio value each. In the next bar, say you are interested in ordering 10 new securities, the orders variable will equal 20 (10 existing positions + 10 new positions), so you should be ordering up to 5% portfolio value in each of the 10 new securities. Since the previously held positions are not rebalanced down to 5% as well, you are now holding: (10 * 10%) + (10 * 5%) = 150% of your portfolio value. To get around this, you will need to rebalance the positions that you already hold as well.
I hope this helps!
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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.
