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From the charts it looks to be around end of 2007 when SPY falls below its 200 day moving average, and the algorithm stops entering new positions.

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In other words, the algorithm is trying to buy 50 of the "new" shares, which is equal to 50x15=750 of the "old" shares.

I suspect the best fix is to calculate the ATR using back adjusted prices, rather than close prices.

For example, right at the end of 2012, the leverage increases briefly to 1.2x I will look into it more.

I suspect the error is in the logic of rebalance_positions I am new to Python, so I haven't quite been able to fix it, but the cause seems to be the calculation of ATR for the symbol BTU on 2007-12-05.

The actual purchase takes place using back adjusted prices, which is around $800 at the time.

This is because BTU had a 15-1 stock split in 2015.

Using get an ATR(20) of around , which makes sense as the share price is around 0, so that's a normal daily move of 4%, which is high, but not ridiculous for late 2007.

Breaking the code at this point: def desired_position_size_in_shares(context, data, sid): account_value = context.account.equity_with_loan target_range = Daily Range Per Stock estimated_atr = context.pool['atr'][sid] return (account_value * target_range) / estimated_atr The estimated_atr is around 2, which is wrong.

Book: Website: This is my attempt at a faithful recreation of his system.

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