This does take into account commission, see here: https://www.quantopian.com/help#ide-commission https://www.quantopian.com/help#ide-commission I wanted to use

This does take into account commission, see here: https://www.quantopian.com/help#ide-commission https://www.quantopian.com/help#ide-commission I wanted to use the longest time period possible, and this was the most info I could find about forecasted cloud coverage in NYC in the past 10 years or so. It's also worth noting that this is just an example, the paper it's based off of is more in-depth. Unfortunately they concluded that transaction costs made trading based off of this strategy almost not worth it, but the main point here is that it's interesting.