Ticker VX19Z12 and VX21X12
From 2012-09-24 22:13:00
To 2012-10-08 11:13:00
Security Type Future
Market USA
Resolution Minute
Status Waiting for Data Vendor

I believe there might be some misprints during this period. My algorithm was short and spiked greater than +10% equity and then reversed almost all gains several times during the holding period. Sometimes the spike lasted over a period of hours. Here are the list of dates that saw equity spikes with subsequent reversals.

DatetimeIndex(['2012-09-24 22:13:00+00:00', '2012-09-24 23:59:00+00:00',
'2012-09-25 00:25:00+00:00', '2012-09-25 02:37:00+00:00',
'2012-09-25 04:49:00+00:00', '2012-09-25 07:01:00+00:00',
'2012-09-25 09:13:00+00:00', '2012-09-25 11:25:00+00:00',
'2012-09-26 22:43:00+00:00', '2012-09-26 23:59:00+00:00',
'2012-09-27 22:55:00+00:00', '2012-09-27 23:59:00+00:00',
'2012-09-28 01:07:00+00:00', '2012-09-28 03:19:00+00:00',
'2012-09-28 05:31:00+00:00', '2012-09-28 07:43:00+00:00',
'2012-09-28 09:55:00+00:00', '2012-10-08 06:49:00+00:00',
'2012-10-08 09:01:00+00:00', '2012-10-08 11:13:00+00:00'],
dtype='datetime64[ns, UTC]', name='time', freq=None)

 

The reason I believe they may be misprints is due to the following equity curve.