I would like to know why the same strategy yields different performance results? My first guess is that on the market there are not enough assets to buy or sell, but if trading in ETF problem should be smoothed and in my case result is completely different if moving from 1000$ to 100 000$ starting capital.
Yes, the default VolumeShareSlippageModel is not really appropriate for ETF trading, I always turn it off these days.
set_slippage(slippage.FixedSlippage(spread=0.00))
set_commission(commission.PerShare(cost=0.0035, min_trade_cost=0.35)) You might want to set the spread to 2c or 5c or whatever is appropriate for your ETFs.
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