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Suppose you ignored any sensible advice ...
Kevin Stout
edited Apr 24, 2016

... and behaved like this. If you couldn't afford to lose a couple thousand, you'd deserve every bit of what happens to you in 2009. If you could, however, you might find yourself able to afford a lot of goats and chickens.

Edit:

For reference, this employs a median reversion strategy (with the median taken over a 60 day history), and it trades every 15 days. It weighs heavily (50%) the stock with the single largest (percentage-wise) negative deviation from its 60-day median, and maintains a 10% position in the stock with the largest positive deviation from its 60-day median.

3 responses
Grant Kiehne
Apr 24, 2016

I suspect your leverage is well beyond 1.

In any case, per the help page:

before_trading_start(context, data)

Optional. Called daily prior to the open of market. Orders cannot be placed inside this method. The primary purpose of this method is to use Pipeline to create a set of securities that your algorithm will use.

So maybe something was changed in Q2?

Kevin Stout
Apr 24, 2016

I couldn't tell you. However, it's not unusual for software to be undocumented or, even, anti-documented.

Mohammad Forouzani
Apr 25, 2016

The problem here is that you have selected the stock pool based on hindsight.

If you had a forumla for selecting the stock pool, it might actually be an acceptable algo.

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