How's your intraday leverage? Default slippage and commission settings? Are you using q1500us? Or this a volatility (xiv,vxx,uvxy) strategy? Do you have out-of-sample performance to help confirm it's not overfit to the in-sample historical data? Be aware quantopian doesn't model margin fees or borrowing fees such as for for shorting, or margin maintenance or margin calls -- which would have happened long before you hit that 90%+ drawdown.

Excellent questions. I haven't checked intraday leverage yet, leverage is set to hover approximately around 1 so there's actually room to increase gains with further coding. Obviously I'll have to sell if the intraday leverage get's too high. I am using the default slippage and commission settings. I'm using a high dollar volume screen instead of the Q1500US. It's not a volatility strategy, it screens the top 1500 by dollar volume, then cherry picks stocks it thinks are going to move. I doubt the gains are all due to over-fitting, but I haven't paper traded it or traded it yet. Margin fees and shorting fees need to be added still. It relies heavily on shorting and there's no guarantee that someone is going to cover all of the shorts especially for large accounts or towards the end of the run. Despite all of the problems, I'm going to investigate further. It's not intraday so it's not doomed to commissions and slippage. At 90% drawdown it's obviously not suitable for many investors but it can be used to bring up returns by allocating a percentage of one's portfolio to it. I've allocated 10% of my first contest entries portfolio to it. I've passed the entry requirements, it will be interesting to see how I do out of sample.