Would appreciate any thoughts on how I can maximise my return on this algorithm. Perhaps I've over-complicated things; but I don't seem to be fully exploiting the upside of the index where possible.
Hi Bevan, your other code from 'Returns on Algorithms Remain at ...' was similar and returning $1.19 per dollar activated. A couple of the main differences are the universe settings, leverages and percentiles, schedule and then skipping leveraged ETF's (I placed them side-by-side using CompareIt). mmmk, I'm a little confused here, I was going to repost that very algo for your convenience however I have 6 backtest versions of your code and #6 was bad and then #5 was even higher at 135 PvR, don't recall what was up with it so just tossing that out there now, inviting any criticisms.
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