I think my feedback can separate into tactical and strategic.
Tactically, take out all that ordering logic and put in the Optimize API. Optimize looks at your current portfolio, accepts a description of your target portfolio, and then issues orders to get you from one to the other. It's much nicer than all of the shenanigans you do with position checking and ordering. It can even manage turnover constraints to reduce transaction costs (which you set to zero anyway).
Strategically, I think you should move on from this idea and try to research another one. Go through the lectures, particularly the long-short equity examples, and the factor analysis ones, and see if you can come up with other ways to tackle the market. What your backtest demonstrates is that this particular method doesn't make money. The unfortunate truth is that most investment ideas don't make money. To succeed, you need to develop the ability to test ideas rapidly; you want to spend your time finding good ideas, not dwelling on bad ones.
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