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Why is this algorithm still spending more money than I initialized if I set the leverage to one?

What other adjustments to I need to make?

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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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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: 55c3e515164be90c6a51ce74
There was a runtime error.
3 responses

You had created the variable "context.long_leverage" and made it equal to 1. So when you record it, it will always plot the value of 1.

What you really want is the leverage in the account, "context.account.leverage". I made a few tweaks to the algo:

  • fixed the leverage variable
  • changed symbols() to sid() for robustness. (And the algo wasn't ordering GOOG because Google had a split in 2014 and changed their tickers)
  • added a check for open orders before placing more orders.

You'll notice the account leverage is under 1, meaning that the portfolio is still sitting in cash. This is likely happening because the "price < sma" condition isn't true for each stock in the portfolio. If you're looking for other learning tools, take a look at the Quantopian API tutorial series.

Clone Algorithm
7
Loading...
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: 55c423aa012c860c5b6090ec
There was a runtime error.
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Thanks for your help, what is more robust using sid? And I don't see where you updated the leverage in your version, it appears the same to me.

Generally, The sid is a unique identifier for each security. The ticker is not unique over time. Different companies have used the same ticker over the course of time.

Specifically in your case, in 2014, Google had a very unique corporate action in the past: http://economix.blogs.nytimes.com/2014/04/02/the-many-classes-of-google-stock/

I think Alissa changed line 10 -- what the algo records. You were recording a static integer you had set. Alissa's change records the actual leverage calculated by the backtester.

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.