I'm new to Quantopian and I'm noticing something really strange when testing my first algorithm. It seems to work perfectly when tested in minute mode, though in daily mode the results are a little bit different - slightly larger drawdowns and slightly lesser returns.
The strategy should only trade once per day (at the close), and am using the following code to restrict the trading:
exchange_time = get_datetime().astimezone(pytz.timezone('US/Eastern')) exchange_minute = (exchange_time.hour*60)+exchange_time.minute-570 if (exchange_minute == 390):
The only data I use is daily data from history:
closes = history(100, '1d', 'price')
lows = history(100, '1d', 'low')
highs = history(100, '1d', 'high')
Anyone faced the same problem or have an idea of what could be going on?
Any help would be awesome ~