I am looking to learn more about this field.
Can someone help explain the where this algorithm went wrong and were it did well if at all.
Thank you.
Inquiry for peer review
First, I'd set leverage to 0.5 long and short, so you don't go over 1.0 (don't spend more money than you have in your account)
I think where the algo goes wrong is it makes a really rigid assumption about the market and market dynamics are always changing. Even if stocks mean revert weekly Monday-to-Monday for a while, that'd be really strange if they always did so consistently. For every simple rule that's easy to exploit you can betcha somebody is already exploiting it and has already arbitraged all the alpha out of it.
Tearsheets are a great way to evaluate an algo.
You've got a good structure on this algorithm. It's holding a constant leverage (which is good), it's carefully avoiding exposure to a single stock, things like that.
Unfortunately, the basic thesis doesn't look like it holds up. Take a look at our lectures, in particular the ones about long-short equity and factor analysis, and see if that sparks some ideas for you to find a different thesis to test.
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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.