Good morning everybody,
I'm quite new to Quantopian and first thing first, I'd like to say it's an amazing tool with an extremely helpful blog.
I'm a Bloomberg user and spend often time doing excel based analysis and strategies backtesting due to my strong familiarity with both their product and data and Excel.
This is what I've noticed. I've taken the SPY and analyzed the "daily" returns from 1/4/2011 to 7/24/2014.
With daily returns though, I mean daily return from open to close:( (daily Close Price)/(daily Open price) - 1)*100.
That would represent how much an investor would make buying at the open and closing at the close each day.
The sum of these "daily" returns using Bloomberg data over the above mentioned time period is 24.51%.
I'm attaching an algo that tries to do the same using Quantopian data.
My disappointment is to see that my variable called "context.cum_ret" at the end of the algo is = 9.69%.
I understand there are trading costs involved, but I struggle to believe that could justify such a huge difference.
My question for you is: am I doing something wrong with my algo?
Many thanks,
Angel