Welcome and great to test something like this. If you want to explore this further go to the reason why (the causality) and uncover in notebooks or ide the data stream you need (prob a combo of inventories, online rigs and COT) make the position sizing algo based (optimise) and develop first on leverage 1.0 to be able to compare performance. As you are working with oil try to use futures instead : CL. Try to develop in one timeframe and test it in another to prevent loo ahead bias.

....WTF

Good find!

just so people understand that this doesnt work long term

So this very dumb algo works on the premise that the Wednesday announcement will hurt oil prices,due to over-production, lack of demand, and new technology making shale oil still affordable to drill despite the above. It's very dependent on oil economics, which I don't know anything about.

I used 3x leverage because it seemed realistic -- that's the limit for the Q open, and also because you can accomplish the same with a 3x etf and no leverage. To be fair, shorting oil 3x the entire ytd would have lead to higher returns, but with higher volatility and your cash tied up the whole time.

It'll be fun to see what happens out of sample -- I've got it in paper trading now.

I figured I'd take another look at this since nearly 6 months have elapsed. Since then the price of oil has had a big recovery, so I would have expected this strategy to have fallen apart. However, surprisingly, it looks like holding an intraday leveraged short position in oil & gas explorers on Thursdays as a hedge to a normal long position in the S&P500 has continued to perform out-of-sample. I still wouldn't blindly trade this strategy, but I see these results as a starting point for research to discover the systemic cause. My hunch is that the data needed isn't easily accessible from within Quantopian, so the research/algo would need to be executed elsewhere. Also, obviously since it's only in the short position less than 1/5th of the time, the strategy is still exposed to a huge amount of tail risk despite the 0 beta.

Here's the Robinhood-friendly variation.