Ultimate Algorithmic Trading System

going to be the class structure itself. The other arguments are: the data to be used
in the calculations, the lookback period, the current bar, and the offset.
Take a close look at the following code snippet:
upSum = 0.0
dnSum = 0.0
if self.seed == 0:
self.seed = 1
for i in range((curBar - offset) - (lookBack-1),curBar - offset):
if prices[i] > prices[i-1]:
diff1 = prices[i] - prices[i-1]
upSum += diff1
if prices[i] < prices[i-1]:
diff2 = prices[i-1] - prices[i]
dnSum += diff2
self.delta1 = upSum/lookBack
self.delta2 = dnSum/lookBack
else:
The function starts out by setting the variables upSum and dnSum to zero. The
next line of code utilizes the keyword self and accesses the value of seed through
the dot (.) notation. If self.seed is equal to zero, then all the indented code below
the if construct will be executed. If self.seed is equal to zero, the very first line of
code sets self.seed to one. In doing so, these lines of code will only be executed
the very first time the function is called. Notice the variables upSum and dnSum
do not use the dot notation. These variables are not members of the class and are
temporary. They do not need to be remembered from one function call to the next.
By using the dot notation, you are setting the data member to a value that will be
remembered from one call to the next. By the way, a function inside a class is called
a method. This function/method calculates the initial RSI value by looping back
in time and calculating, accumulating, and averaging the up and down sums. The
upSum and dnSum averages are stored in the class data members, self.delta1 and
self.delta2, respectively. The next time this function is called, this portion of the
function will be bypassed, but the data stored in the data members will be available
for future use. The second part of the function:
177
USING PYTHON TO BACKTEST YOUR ALGORITHM
else:
if prices[curBar - offset] > prices[curBar - 1 - offset]:
diff1 = prices[curBar - offset] - prices
[curBar - 1 - offset]
upSum += diff1
www.rasabourse.com