I thought leverage is always positive, but there is a backtest result with a negative value.
And should't turnover and position concentration also be positive? They are negative, too.
How can this happen?
One thought crossed my mind:
There is no screen to filter the universe, perhaps some futures or such got traded and messed it all up?
Some more details:
On July 3rd there is a huge drawdown from + 99 % to -658 %. Afterwards it looks like everything has flipped to the opposite direction. Until this date the returns went straight up, then even straighter downwards (in one test to -58736 %).
Tests that either end before or start after that date are performing very well - maybe a bit too well to be realistic - and have no negative leverage, turnover or position concentration.
How can I find out what went wrong on that day and how to prevent it?
I think I found out what happened:
The algo was heavy on the short side in this period and the price of some assets it was shorting skyrocketed.
This lead to such a big drawdown that the portfolio value became negative.
Presuming that leverage and position concentration are calculated using context.portfolio.portfolio_value, this would explain why they also became negative.
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.
