Ultimate Algorithmic Trading System

All these files deal with opening and reading a comma-delimited file. The rest of the
imported files all deal with the PSB.
Helper Functions for the PSB These functions help parse the .csv file into
the individual myDate, myHigh, myLow, myClose, myVol, andmyOpInt
lists. The attributes of each data file, symbol, pointValue, andminMove are
collected here as well. A function that calculates the results of exiting a trade is
also located here. I won’t bore you with the details of these functions right now,
but I want to bring to your attention another really cool thing about Python.
A Python function can return multiple values. The exitPos function returns
three values: profit, trades, andcurShares. When you call a multiple return
function, make sure you have the correct number of variables on the left side of
the assignment:
myProfit, myTrades, myCurShares = exitPos(price,myDate[i],
"RevLongLiq",curShares)
180
USING PYTHON TO BACKTEST YOUR ALGORITHM
The larger exitPos function was put here because it uses several global variables.
These variables are shared among most of the functions in this file module. I didn’t
want to have to pass these variables back and forth within different function calls.
I was slightly lazy in doing this, but it does help improve readability by reducing the
number of different parameters included in the argument list.
#------------------------------------------------------------
#Helper Functions local to this module
#------------------------------------------------------------
def getDataAtribs(dClass):
return(dClass.bigPtVal,dClass.symbol,dClass.minMove)
def getDataLists(dClass):
return(dClass.date,dClass.open,dClass.high,dClass.low,dClass.close)
def calcTodaysOTE(mp,myClose,entryPrice,entryQuant,myBPV):
todaysOTE = 0
for entries in range(0,len(entryPrice)):
if mp >= 1:
todaysOTE += (myClose - entryPrice[entries])
*myBPV*entryQuant[entries]
if mp <= -1:
todaysOTE += (entryPrice[entries] - myClose)
return(todaysOTE)
*myBPV*entryQuant[entries]
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