Hello! I am new to Quantopian and find this platform and algorithmic trading fascinating! Right now I am studying computer science and economics so I feel like this community is right up my alley and there is a lot to learn. In a class that I recently took, we discussed how dual class shares with identical economic rights often trade with a spread whether it be due to the voting rights or the value placed on liquidity.

My algorithm employs a strategy that takes a long position in one class of the stock and short position in the other when the spread is abnormally large or small. The expectation is that the spread will revert to normal levels relatively quickly since the economic rights of the two shares are ultimately the same. By taking equal and opposite positions in both shares the strategy should also be market neutral, insulating itself from general shifts in the price of the stock. The risk in the strategy is that even though it is reasonable to expect the spread to revert in a relatively short time frame, there is no guarantee that it will.

As you can see, my basic implementation of this strategy did not perform too well. I am thinking this is probably because I am using a 10 day moving average as my signal and because the spread between the two Comcast shares (CMCSA & CMCSK) are pretty stable. I've been tinkering with the fundamentals data to try to create a universe of dual-class shares with similar economic rights, but haven't quite been able to make it work the way I want it to. I am thinking the first step is finding a better signal to improve entry/exit points and then hopefully being able to apply it to a universe of multiple dual-class stocks.