Inspired by the idea that if we sort our universe (which can be based on many factors, i.e. volume, prices, number of days increase, etc.) and sell/buy the top/bottom, say, 10% of the stocks respectively, we could potentially get a good outcome. However, sorting should take place every minute; in fact, not even every day. Here I tried to update sorting every 15 days (or perhaps a bit longer).
The result is high gain but also high drawdown. May not be an ideal algo but definitely worth improving upon. Any suggestions welcomed!