Ultimate Algorithmic Trading System

CHAPTER 6
Using Python to
Backtest Your
Algorithm
■ Why Python?
167
Around the same time I started to write this book, I was teaching myself the Python
programming language. If you have spent time roaming around the Internet looking
for the next quant language, you have seen Python mentioned many times. The
usage of this language has grown tremendously over the past few years in the quant
universe. This doesn’t mean Python is only found in this arena, nor does it mean it
is only used by mathematicians, economists, or scientists. There are languages, such
as R, that are specifically designed for mathematicians, but Python has universal
usage. As I have mentioned many times in the previous chapters, most algorithmic
traders do not come from a programming background. The introduction to
AmiBroker and the Excel VBA–based backtester has shown that a computer
science degree is not necessary to get your algorithms tested on historic data. Most
algorithmic traders learn just enough of a language to get the job done. In doing
so, they use a very small subset of a platforms tools—barely touching the tip of the
iceberg. Imagine, though, how much more powerful their algorithm backtesting
and development skills could become through learning as much as they can about
programming. If I was a newbie and wanted to learn as much about programming
as quickly as possible, I would learn Python. This is coming from a programmer
The Ultimate Algorithmic Trading System Toolbox + Website: Using Today’s Technology to Help You Become a Better Trader. George Pruitt
© 2016 by George Pruitt. Published by John Wiley & Sons, Inc.
www.rasabourse.com