I have an algorithm that has poor returns but has a right indicator that decides whether to limit its market exposure or not. Is is possible to generate an algorithm that only trades its common returns. That is, when I run this algorithm, the algorithm's performance should be the same as its common performance?
Here is an image for the backtest results
https://imgur.com/a/AbtB3Rl
For reference, here is the backtest results,
https://imgur.com/a/AbtB3Rl
As you can see the common returns beats cumulative and specific and benchmark returns.
https://www.quantopian.com/posts/algorithm-to-isolate-common-slash-specific-returns
I wrote something which kind of did something like this, you might need to edit the code a bit though
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.
