Ultimate Algorithmic Trading System

percent wins, number of trades, and maximum drawdown. The methods in this
class set the pertinent data, such as system name and symbol, and calculate all the
performance metrics.
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USING PYTHON TO BACKTEST YOUR ALGORITHM
def setSysMarkInfo(self,sysName,symbol,trades,equity):
self.systemName = sysName
self.symbol = symbol
self.tradesList = list(trades)
self.equity = equity
temp1 = 0
temp2 = 0
temp3 = 0
temp4 = 0
temp5 = 0
temp6 = 0
temp7 = 0
numTrades = 0
for i in range(0,len(self.equity.dailyEquityVal)):
temp5 = self.equity.dailyEquityVal[i]
temp6 = max(temp6,temp5)
temp7 = max(temp7,temp6-temp5)
self.maxxDD = temp7
for i in range(0,len(self.tradesList)):
if self.tradesList[i].entryOrExit == 1:
numTrades += 1
if self.tradesList[i].tradeProfit > 0:
temp1 += self.tradesList[i].tradeProfit
temp2 += 1
if self.tradesList[i].tradeProfit < 0:
temp3 += self.tradesList[i].tradeProfit
temp4 += 1
if temp2 != 0: self.avgWin = temp1/temp2
if temp4 != 0: self.avgLoss = temp3/temp4
if numTrades != 0: self.avgTrade = temp5/numTrades
self.numTrades = numTrades
self.profitLoss = temp5
if numTrades != 0: self.perWins = temp2 / numTrades
The setSysMarkInfo method is the only method in this class, but it does a bunch
of work. Notice about halfway through the variables with temp in their name; these
are temporary holders for data that is not stored in the class. They are born when
the method is called and die when the method exits. They are not members of the
class. The portfolio class is similar to the systemMarketClass, but is much more
macroscopic in nature. Basically, it sits on top of systemMarketClass and stores
aggregate information concerning the multiple markets in the portfolio.
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