I am bulding a basic algo that trades on Bollinger Band breakouts. If I set the orders to be positive, I get -60% returns, not what I was looking for, but I knew I could just switch the orders to shorts and it should give me positive returns. However, it did not, it gave me different returns, but still negative. I have no idea what to do now, anyone have any ideas?
I think what's going on is that you're getting killed by transaction costs. It looks like you're doing about 20 transactions per day, and the minimum commission in the default model is $1. That means you're paying about $5k in commissions per trading year. Your strategy might be amazing, but it has to be really amazing indeed to overcome a headwind like that.
If you think there really is alpha there, you need to figure out a cheaper way to extract it. Sometimes figuring that out is harder than finding the alpha in the first place.
It's not unreasonable to turn off commissions when you're doing research into your factors, and then turn commissions back on when you think you have a good one.
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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.