I think one other thing to consider is whether your slippage model is a reasonable approximation of what will actually happen in live trading. I converted one of your algorithms (the third one you posted in this thread) to trade in minute mode with the default slippage model and configured it to trade at the first possible opportunity - in other words, at the open of the next trading day following the weight and trigger calculations. I ran them side by side for the period 2007-03-09 - 2007-12-31 (I actually ran the daily mode test from 2007-01-01 but due to warm up it doesn't trade until this date, so I delayed the minute mode algorithm accordingly which requires no warm up). I used a relatively small initial budget ($10K).

The performance varied widely even though the weight/trigger calculations and entry/exit parameters were identical (I logged them all). Essentially what happens is that on any given day, the trade price in minute mode trading at the open varies from your "trade at open" slippage model by a range of -1.5% to +0.99%. In this case that means for the first few months of the test, the minute mode algorithm underperforms the daily mode algorithm significantly (average price discrepancy is +0.037% per day in favor of the daily algorithm). The price discrepancy shifts back in favor of the minute mode algorithm for the second half of the test but by then the daily algorithm is already 7% ahead due to the compounded advantage.

I need to clean up the code for the minute mode version and then I'll post it (later today) and I'll also upload the Excel analysis of each individual transaction with price discrepancies detailed.

This has me wondering about having the minute mode algorithm try to trade at the end of the day or near it on the day used to calculate VolBias rather than at the open of the next day, to minimize price drift. I am also wondering about the default slippage model and how realistic it is. Does anyone know how the Quantopian team arrived at the VolumeShareSlippage default parameters?