Ultimate Algorithmic Trading System

portfolioClass. These classes are named equityClass and marketSystemClass.
The equityClass is used to store the daily equity for each individual market. A new
equityClass object is instantiated for each different market in the market list.
Here’s what the data containers in the equityClass class look like:
def __init__(self):
self.equityDate = list()
self.equityItm = list()
self.clsTrdEquity = list()
self.openTrdEquity = list()
self.cumuClsEquity = 0
self.dailyEquityVal = list()
self.peakEquity = 0
self.minEquity = 0
self.maxDD = 0
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USING PYTHON TO BACKTEST YOUR ALGORITHM
After you open a trading account and start trading something happens every day to
your account. It either stays flat, goes up, or goes down. These daily fluctuations
are caused by the P/L from a closed trade or the change in market value of an open
trade. Cumulative equity reflects the growth of your account. This equityClass
keeps track of P/L from closed trades, change in daily open trade equity, and the
cumulative equity for any given time period. If you buy Apple today at $100 a share
and buy just one share, then today’s equity simply reflects the difference between
the closing price and $100. Let’s pretend Apple closed at $105, so your closed trade
equity is equal to zero, but your open trade equity (OTE) is $5. Today’s equity in
your account is $5. Let’s pretend a little further and say Apple moves up to $110,
and you decide to cover your long position. Today’s equity is derived from a closed
trade profit of $10. Since there is no open position, then there is no OTE. Tracking
your two-day performance, you show daily equity of $5 for yesterday and $10 for
today. Your cumulative equity stands at $10. Feeling a little more bullish, you buy
Apple again on the third day at $112, but unfortunately, some bad news comes out
of China and the stock drops back to $105. So today’s equity reflects the cumulative
closed out equity $10 and today’s OTE that stands at −$7. Your cumulative equity
drops by $7 and now stands at $3. The next day Apple drops further and you start
feeling bearish so you sell short at $100. Unfortunately, China states their GDP is
growing a little faster than the analysts predicted and Apple rebounds and closes
at $110. What is your cumulative equity now?
Day 1 : Cum.E ($5) = Cum.Cls.TE (0) + OpenTE (5)
Day 2 : Cum.E ($10) = Cum.Cls.TE (10) + OpenTE (0)
Day 3 : Cum.E ($3) = Cum.Cls.TE(10) + OpenTE(−7)
Day4:Cum.E(−$12) = Cum.Cls.TE(−2) + OpenTE(−10)
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