Hello Guys,
Can someone please throw more light on how to improve this algorithm? I want to live trade using the momentum strategy and so want to reduce the max drawdown. Also, I want to filter the stocks using the market_cap() parameter but I believe that market_cap data can be found using Morningstar fundamental data but I guess the fundamental data cannot run in the live trading environment. So is there any function to find out the no. of shares outstanding without making use of fundamental data.
I even want to understand what happens in live trading when my return goes negative? While backtesting, you will see that the algorithm goes to a low of -29% during the first half of the trading period but the backtest continues till the end and finally generates positive returns. But what will happen if my return goes to a -30% during live trading. Will the algo continue to run or stop? Please provide me an in-depth explanation.
Also, please provide your suggestions to get higher returns and make this algorithm to be better at risk management.
Awaiting brilliant suggestions ;)
Thank you.