Hey all, I am new to the community and I wanted to create my own version of the mean reversion strategy outlined in the final getting started video. Instead of using individual stocks, I used the 10 sector SPDRs with 10 and 200 day sma. Also, I wanted to eliminate the shorting aspect because it is unwise to short a sector etf in my opinion. The algo seemed to be tracking SPY until the leverage ran way out of control. Does anybody know how I can limit the leverage so It does not make huge jumps? EDIT: If possible, I would like to limit the leverage coefficient at 1.
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