I need to take some more time to tinker with the algorithm to sort out what the next steps are. There are three parameters to consider:
- Portfolio definition (currently limited to 10 securities max.).
- The parameter context.eps.
- Number of days, n, in the moving average, mavg(n).
A larger number of securities might reduce the volatility, along with using a portfolio weighting over the moving average window length that the author describes (which effectively eliminates the window length as a tunable parameter). Note also that the author ran his testing on daily data, which I plan to sort out how to do in the full backtester (e.g. only submit orders to update the portfolio at 10:00 am every day).
Once I have time to do more testing, I'll provide an update in a new post.