As I'm slowly getting into the framework many questions keep arising! This is what I'm trying to achieve for my framework:

- Every day before the market opens, it selects 5 stocks based on price and volume

- The selection already implies the stocks are long candidates so buy at market open with market orders and equal weighting.

- At the end of the day, we liquidate all those 5 positions. Either using a scheduled event or OnEndOfDay() which I believe is just a scheduled event for 10 minutes before market closes. I guess using a Schedule function is better as it gives more flexibility.

- The above process repeats the next day from scratch and so on.

So as you can see in the attached backtest, I'm failing to liquidate positions and I think the portfolio is just getting bigger and bigger judging by the Alpha Assets. I was also thinking that maybe the problem is that I'm not cleaning up the Universe from the previous day or something and therefore keeps getting bigger and bigger?

Thank you very much for your help!