I mean that seams impossible

It seems like you have a very leveraged position. You are trading with the assumption of $10,000 of initial capital, but you are allowing the algorithm to take positions as large as $1,000,000 (this is the line of code 'context.max_notional = 1000000.1').

I'm not sure if you are familiar with how leverage works, but it multiplies both your gains and losses. A quick example: I buy a stock that trades for $10 a share using all cash. It goes up to $10.10, and I sell it. I make a 1% profit. If it goes down to $9.90 and I sell it, I have a 1% loss. Now let's assume that instead of buying 1 share for $10, I buy 100 shares for a total cost of $1,000. I still only have $10 though, so I borrow the remaining $990. Now the stock goes up to $10.10 and I sell it. I have 100 shares, so I receive $1,010. I pay back the $990 loan and I have $20 left, so I had returns of 100%. If the stock falls to $9.90 and I sell, I receive $990 in cash. I pay back the loan, and now I have nothing left over. I had a 100% loss.

So as you can see, when I borrowed money to take a position 100x my initial capital (as your algorithm is doing), I went from a 1% loss or gain to a 100% loss or gain. That's why your returns are so high. If you change the line of code to be 'context.max_notional = 10000.1', you should see returns of about 43%. Still great, but not quite as unbelievable.

Hi Gaurav,

Sam's explanation is accurate. In the attached example I've edited two things about this algo to make it a little more robust. (1) I've added a basic margin model (courtesy of this post from David Edwards), this model calculates a running estimate of the margin requirement for the account, I have added a custom plot to show that value, I added a warning statement that will print when the margin requirement exceeds 90% of the portfolio value - you could adjust this. (2) I switched from using the flat order() method, which obviously doesn't scale with your initial capital base, to using order_target_percent() which will allocate a fixed percentage of your portoflio to each position -- this does scale with capital base.

Take a look at this and let me know if you have any questions! Best, Jess