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(sell, date_rules.every_day(), time_rules.market_open(hours=1))
context.security=symbol('AAPL')
current_price=data[context.security].price
cash=context.portfolio.cash
shares=int(cash/current_price)
order(context.security, shares)
def sell(context, data):
current_shares=context.portfolio.positions[context.security].amount
order(context.security, (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)
pass



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.

2
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
 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: https://www.quantopian.com/posts/differences-between-minute-and-daily-backtests

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That makes sense, thanks!