Here's something to consider. Needs some re-factoring, clean-up, comments, etc. It may be an over-fit, but recent performance looks pretty good. --Grant
Thanks for sharing your code! I really like these OLMAR approaches. I notice slippage and commission were overridden. I ran with default slippage and commission (by just commenting out lines 14 and 15) and the results are different. See below. I didn't see this degradation nor need to override with your other OLMAR posts (e.g. see simple OLMAR w/ optimizer & get_fundamentals)
Thanks Marc,
Not sure what's going on. There may be a lot of turn-over combined with the high level of capital? So, the slippage model kicks in?
Here's another version
Note:
set_commission(commission.PerTrade(cost=0))
set_slippage(slippage.FixedSlippage(spread=0.00))
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