Strategy Backtesting results

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Hey everyone,

 

I've been testing a strategy that I am developing where I Short stocks that showed a certian behavior at the first few houres of the day and close the position at the end of the day.

When backtesting the algorithms behavior over the last few years, I have noticed that:

Between 1.1.2015 - 1.7.2017 the strategy brings poor results - low succses rate (54%) and negative return

Between 1.8.2017 - 1.1.2020 the strategy brings good results - very high succses rate (78%) and a positive return

Since i'm picking all of the stocks by filltering them for a certian behavior (tradeing different stocks every day) I expected to see "uniform" statistical results from 2015 - 2020.

I can't figure out what had changed!

 

Can someone tell me what should I check for to understand the difference?

Thank You!

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It seems that second period market was trending, while the first it was trading within a range

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Such would likely indicate that your selection procedure selects stocks which still have a degree of market risk (or, at least, which are correlated to one another). Without your code, it is hard to say exactly what is causing this, though if your goal is to create a portfolio which is resilient to market risk, I would suggest reading on the CAPM model and "systemic risk"/beta.

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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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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