Why this algo outperform SPY so much ?

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Why this algo outperform SPY so much ?

posted Nov 19, 2014

Hi,

It is not clear for me why this algo outperform SPY so much with no leverage (the only thing it does is to short financial sector during recession, then buy SPY). Could someone explain please ?

Thank's!

6 responses

Almost 40 views and no responses :-(
I understand there is a problem with passing the orders, but how is it possible ?

Your code never sells. You just keep buying when your condition is true over and over. Leveraging continually.

Hi Gregory, I buy SPY there is no leveraging

I added a function to record your leverage and exposure, it looks like the algo does go haywire borrowing. My guess is that it is placing new orders when there are already open orders that have not filled.

Here is a version that doesn't place a new order if there is already an unfilled order for that security. The 'order_target' style orders don't take unfilled orders into account, so you have to check for them in your code.

I added a function to record your leverage and exposure, it looks like
the algo does go haywire borrowing. My guess is that it is placing new
orders when there are already open orders that have not filled.

It is clear, thank you.

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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.