I am trading ETF using momentum algorithm, when using no SetBrokerageModel i get net return of 54.51% whereas changing it to SetBrokerageModel(BrokerageName.Alpaca) it drops the return to 29.019%

how can this be explained. 

ETF i am trading are below.

"SPY", "EFA", "IETC", "QQQ", "XNTK","SWAN","RWGV","BTAL","CLIX","JKE","PSJ","TMFC","GLD"