Hi Community,

I'm working on an example of a mean-reversion strategy applied to cryptos - which code (applied originally to equities instead) is derived from a benchmark Alpha Series in GitHub. 

It's an interesting strategy as this trades equally weighted cryptos securities which are highly correlated and liquid at Gdax & ideally towards any short term corrections vs the price deviations from its mean-value. 

Using a simple moving average indicator, compares the value of the portfolio against its SMA and ultimately generates insights to long the under-valued symbol and short the over-valued symbol.

I've used the risk management "MaximumDrawdownPercentPerSecurity" module as this should monitor the portfolio holdings and when extended beyond a 25% drawdown limit - should immediately liquidate the portfolio.

Unfortunately it doesn't seem to be the case (most certainly as I've missed something) and given the frequency of trading the position management ultimately fails leading to periodic insufficient buying power.. 

Could you please advise thank you,

Regards, Marcello