Hi! I've been recently trying to create my own algorithm with some data that I uploaded. I worked on alphalens, and I found an alpha value that I thought would be decent.
In my first time in the backtester, it did not perform as well as I would have liked.
Just for curiosity's sake, I negated the value in my maximizealpha function, and I received very consistent negative returns. To me, this indicates that my actual alpha value should be working properly.
When looking at the backtest details for my original tests and the test with the negated alpha value, I see that on the first day of trading, the algorithms made identical trades (with the first shorting what the second bought), yet did not have identical gains/losses. Why is this? Shouldn't negating the alpha value in the maximizealpha function just negate the percentage of returns in theory? If this is due to taking commissions on buying short, is there any way that I can remove those? I don't need them for the sake of my testing.