Ultimate Algorithmic Trading System

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This indicator is programmed as a class object. We have ventured over into the
land of objected-oriented programming, but don’t worry; we are just going to work
in an introductory mode to get the job done. You are probably asking yourself, why
didn’t he just program the RSI as a function module? The quick answer is I wanted
to encapsulate the data and functions in one block of code so I could cut down on
using global variables.
The first time an RSI indicator is called, it uses a special calculation to seed the
indicator value. Subsequent calls to the indicator utilize the seed value and a different
set of calculations. So I had to know, within the indicator code, if it was the first
time it was being called. Also, I needed to store the seed and prior values in the class
for subsequent calculations.
By preceding the name of the class object with the keyword class, youare
informing the interpreter that a class definition is about to be defined with the
name that follows the class keyword. In this example, we are defining a class
named rsiClass. The keyword object within parentheses follows the name of the
class. This would be a great time to explain the difference between a class and an
object. A class is a template and an object is an actual thing that reflects the class
template. Think of it like this: A class is blueprint and an object is the house that
is instantiated or created with the use of the blueprint. One blueprint can be used
to create many houses. The following snippet of code informs the interpreter about
data to be stored in the class:
USING PYTHON TO BACKTEST YOUR ALGORITHM
def __init__(self):
self.delta1 = 0
self.delta2 = 0
self.rsi = 0
self.seed = 0
The bit of code, def __init__(self):, is the function name the object itself
calls to set the initial values of the data variables (class members) when the class is
instantiated. The key word self refers to the class itself. The keyword init must be
preceded by two underscores and followed by two underscores. The keyword self
must be followed by a period to access the different data encapsulated in the class.
As you can see from the code, the variables self.delta1, self.delta2, self.rsi,and
self.seed are all initially set to zero.
The next line of code should look familiar—it looks like the functions we
discussed earlier in the chapter.
def calcRsi(self,prices,lookBack,curBar,offset):
The only difference in this function header is the word self in the argument list.
Basically, when the function calcRsi is called, the first argument or parameter is
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