First algorithm: Simple Passive Momentum Trading with Bollinger Band
Thanks for sharing this algo!
I don't know whether you meant to, but your algo actually borrows a lot of money - it borrows $43.5 million by the end of 2013. I added a line of code (record()) that shows the cash and portfolio value.
I think this would be pretty neat to see with a different cash control, and with different stocks tested.
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Thanks Dan for pointing out the bug ... copy/paste from one line to another is the biggest curse for coders who are used so much IDEs :(
if h<-2 and notional > context.max_notional:
should be
if h<-2 and notional > context.min_notional:
i think...
That was just me making my hand dirty with python and see what can i do with Quantopian....
Hey Deniz,
There is another bug in your algorithm, which is causing the large borrowing issue Dan mentioned.
When selling, your call to the order function should be as follows and not "-h*1000".
#short
order(context.stock,h*1000)
The h value in this case is already negative. The extra negative means the algorithm is buying every time you want to sell.
This will keep it between the set notional limits.
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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.