Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Common returns seem to be out of reach

My problem is that the accompanying strategy trades only sector ETFs used in Quantopian's Sector Exposures. So, the Common Return portion of the backtest should be very close to the actual results (less trading impact). On the contrary, returns for this strategy were -7.34% over the course of 2017, while "Common Returns" during that period were +65.73%. Appreciate any help, thanks.

2 responses

Well, maybe trading impact is the difference. Here is a backtest that simply switches back and forth between the sectors and the S&P 500 every day. 59% impact.

Looks like you should flip your long and shorts and will have a very good strategy