This in an algo that I did not really modify, simply increased the length of backtest run to the present. It looks good as it stands, and i am impressed that it follows the smooth trajectory of the benchmark while beating its returns. However, it looks too good. I need ya'll to poke holes in this algo to find potential weaknesses. Have at it
If you turn on only the "Outlay" in the Custom data, (or add record(Leverage = context.account.leverage) to handle_data), you can see that there is probably some borrowing involved. This can be due to timing in regards to overlapped positions during daily trade rebalancing. Some work would have to be done to eliminate these margin dips. And, this is daily data. Typically shifting to minutely data destroys these favorable daily returns. I've personally never seen a match between daily and minutely. To trade this, you understand, you have to run this minutely.
Good point. I overlooked that aspect. I'm still getting practice down on the process here at Quantopian, as I'm back on the site after having been gone for a bit.
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
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.