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Why is my algorithm shorting?

My pipeline is finding 5 "growing" stocks a day and allocating 20% of my remaining cash to each of those stocks. When the stock goes above or below 2% of the buyprice, it should sell. For some reason my code seems to be overselling and putting my in a short position and eventually messing up my whole algo. Why is it shorting?

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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: 5a1b75e7c18e92419f0a9a83
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2 responses

The root of your problem is in order management. You have some sell logic in handle_data which runs every minute. But you aren't checking if your order is being filled. Everything works fine when orders fill right away. But if there is no volume in a minute, or for many minutes, then the orders just stack on top of each other, and when they fill, they fill incompletely. Your business logic thrashes back from long to short as the orders flush through.

One option is to check for open orders before placing a new order.

A better option is to take advantage of the new Optimize API which takes care of all of that order management for you.


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