I'm new to Quantopian, Algorithm over leveraging?

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I'm new to Quantopian, Algorithm over leveraging?

posted Dec 21, 2015

Getting Started

Hello,

I am new to Quantopian and wrote a small olmar algorithm as my first. However, after a few months in backtesting the algorithm seems to leverage itself to crazy heights. Like over 90!

I do not understand how this happens when at each trading event the algorithm buys with 50% of the portfolio value and sells with 50%. It seems like there is some positive feedback loop. How does the leverage then go to such crazy amounts?

I would appreciate any help.

Thank you,
Evan

1 response

Couple of lines added to check for open orders. Read about that with this search and then there is more to do with leverage still beyond 6.

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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.