Ultimate Algorithmic Trading System

if prices[curBar - offset] < prices[curBar - 1 - offset]:
diff2 = prices[curBar - 1 - offset] - prices[curBar - offset]
dnSum += diff2
self.delta1 = (self.delta1 * (lookBack -1) + upSum) / lookBack
self.delta2 = (self.delta2 * (lookBack -1) + dnSum) / lookBack
will be executed every time. Self.delta1 and self.delta2 are used and reassigned
each time the function is called. You might be able to see that the Wilder’s averaging
method is being used to calculate the current RSI components:
upSumAvg today = (upSumAvg yesterday ∗ 13 + upSum today )
14
The final snippet of code is executed every time and returns the RSI calculation.
178
if self.delta1 + self.delta2 != 0:
self.rsi = (100.0 * self.delta1) / (self.delta1 + self.delta2)
else:
self.rsi = 0.0
return (self.rsi)
USING PYTHON TO BACKTEST YOUR ALGORITHM
Since the design of this class-based indicator is a little more involved than a regular
run-of-the-mill function, you would expect the call routine to be more involved as
well. This is the case, but it only requires one additional line of code. In the case
of this RSI indicator, all you need to do is add the line of code to your program:
rsiStudy = rsiClass(). You can instantiate the rsiClass by calling it like a function.
Instantiation is the creation of a shell that follows the class template/plan. In this
case, the class object is assigned to the rsiStudy variable. Once the class is assigned
to a variable, you can access the data and methods of that class by using the name
of the variable (object) and dot notation. Here is how you call the calcRsi method
through the rsiStudy variable name: rsiVal = rsiStudy.calcRsi (myClose, 10,
curBar, i). That’s all there is to using the RSI indicator.
Scroll through the rest of the indicators in indicator.py and familiarize yourself
with them. You can add you own indicators by using one of the existing functions
or indicator classes as a template. Just include the code in this file and import the
name of the indicator in the main trading program.
SystemTester.py The main module that calls all the other modules is System-
Tester.py. As I explained prior, you use this as a template to develop other trading
www.rasabourse.com