Ultimate Algorithmic Trading System

inclusive, the number of iterations turns out to be 20. Count on your fingers if you
want to prove this starting at 480 and going to 499. The loop will start at yesterday
if the offset is one and go back 20 days and sum up whatever data is in the list that
is passed to the function. Once the loop completes, the summation is divided by
the number of days in the calculation—the average of lookback days. This value is
then returned to the calling program. That’s all there is to this function. Sum up all
requested values and divide by the number of requested values. The complicated
part was deciphering the values in the Range function. Notice how the only line
that was indented was result = result + prices[index]. This was because the
for-loop was only controlling this one line of code. The rest of the lines were not
under the influence of the for-loop. They were still indented in relationship to the
def keyword and this was because the lines were encapsulated in the function body.
Can you tell what these other functions are doing?
174
USING PYTHON TO BACKTEST YOUR ALGORITHM
def highest(prices,lookBack,curBar,offset):
result = 0.0
maxVal = 0.00
for index in range((curBar - offset) - (lookBack-1),
curBar - offset + 1):
if prices[index] > maxVal:
result = maxVal
return result
maxVal = prices[index]
def lowest(prices,lookBack,curBar,offset):
result = 0.0
minVal = 9999999.0
for index in range((curBar - offset) - (lookBack-1),
curBar - offset + 1):
if prices[index] < minVal:
result = minVal
return result
minVal = prices[index]
If you guessed calculate the highest high and lowest low of lookback days, then
give yourself a gold star. If not, just go back over the code until you get it. Notice
the indentations and the use of the colon.
rsiClass That wasn’t too bad now, was it? Are you ready to attack the indicators
that are defined as a class? Let’s take a close look at the RSI indicator:
www.rasabourse.com