Some of my recent algorithms have been losing massively on 10/5/2015-10/6/2015 even though I'm diversified and leverage <= 1.
I've traced it back to my algorithms buying MSGN (which appears to be around a stock split) on 10/5/2015 at a price of ~$170 per share even though all days before and after that time are ~$20 per share. To make matters worse, even though I order every day using below logic, my portfolio somehow gets 35% concentration in MSGN.
I'm fairly new to this. Can somebody please guide me as to how to prevent this from happening? Is there a way to ignore opening positions in stocks that are about to have a stock split (using the free data)? How can I change my below code so that at least it only orders the target percent instead of going nuts and ordering 35% of portfolio in MSGN? Thanks!
target_percent = min(0.05,0.99/len(context.stocks_to_long))
for stock in context.stocks_to_long:
order_target_percent(stock,target_percent)
