Long monster ;)

Hello Bernd,

I'm not sure what you mean. If you mean it's long-only in an 11-year bull market have a look at the red lines in the 'Transaction' chart. The algo went long 1272 times and went short 1249 times. It only trades 229 times a year (approx.) but I can only control 100 SIDs in Quantopian and I don't want to use the 'DollarVolumeUniverse' stock selection. It orders +x for flat to long, +2x for short to long, -x for flat to short and -2x for long to short. This is extraordinarily simplistic but it's early days in terms of position sizing

P.

I meant that you should probably add some extra restrictions because otherwise we could do stuff like this:

Hello Bernd,

(iv) has to trade 100 SIDs or more

Any other suggestions?

P.

Trade decisions only to be made on information available upon the point at which the trade is executed.

Sometimes have a negative cash position here, but it's no more than 1% of total net portfolio size. Also trading the nasdaq 100:

I don't know how to insert a picture, so here's a link

Hello Bernd,

To insert a picture use the HTML:

<img src=urlofthepicture width=900 height=600>

P.

Ok thanks, here it is. But I do think it suffers from some bias since it is based on the Nasdaq-100 list and well, in order to get into that list you need to be big, or become big. And the cash position in 2008 isn't really what I wanted, but I guess some data is missing around that period.

Hello Bernd,

On reflection I think this thread is probaly a dumb idea. I like the suggestion by Jess and Daniel S. here of having private, hopefully collaborative, groups.

P.