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Why did my Algorithm Behave so Differently between Minute and Day data?
# Put any initialization logic here.  The context object will be passed to  
# the other methods in your algorithm.  
def initialize(context):  
    schedule_function(buy, date_rules.every_day(), time_rules.market_open(minutes=30))  
    schedule_function(sell, date_rules.every_day(), time_rules.market_open(hours=1))'AAPL')  
def buy(context, data):  
    order(, shares)  
def sell(context, data):  
    order(, (current_shares*-1))

# Will be called on every trade event for the securities you specify.  
def handle_data(context, data):  
    # Implement your algorithm logic here.

    # data[sid(X)] holds the trade event data for that security.  
    # context.portfolio holds the current portfolio state.

    # Place orders with the order(SID, amount) method.

    # TODO: implement your own logic here.  
    #order(sid(24), 50)  

Over 4.5 years, this algorithm tested daily made 75%, tested minute by minute lost 71%. I was using this algorithm to learn the schedule_function. I tried to buy AAPL every day at 9:30 and sell it at 10:30. The minute data worked as expected. Please help me understand why the day data worked so differently. I have attached that backtest.

Clone Algorithm
Backtest from to with initial capital
Total Returns
Max Drawdown
Benchmark Returns
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 55a6fc304577050c6978f1b4
There was a runtime error.
3 responses

Hi Andrew, take a look at this thread:


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That makes sense, thanks!

Does minute algo also already implemented in live tading... like Etrade and IB ?