Ultimate Algorithmic Trading System

class portfolioClass(object):
def __init__(self):
self.portfolioName = ""
self.systemMarkets = list()
self.portEquityDate = list()
self.portEquityVal = list()
self.portclsTrdEquity = list()
self.portDailyEquityVal = list()
self.portPeakEquity = 0
self.portMinEquity = 0
self.portMaxDD = 0
tempEqu = 0
cumEqu = 0
maxEqu = -999999999
minEqu = 999999999
maxDD = 0
As you know, a portfolio is simply a collection of different markets. A portfolio
has to have a name, a list of the different systemMarkets or just markets, and
lists that make up equityDate, equityVal, clsTrdEquity, anddailyEquity at
the portfolio level. The methods involved with this class are rather long and for
brevity’s sake will not be displayed here. All classes including their methods will be
listed in the appendix. There are a couple of Pythonesque list features I would like
to discuss, because they are so cool. If you have traded commodities or futures, you
know some days one market is open and another closed. Creating a master date list
to contain the daily portfolio equity had to take this into consideration. The use of
Python’s lists made creating a master date list that included all the dates of the entire
portfolio very easy. I simply concatenated (added together) all of the different date,
not data, streams from each systemMarket.
for i in range(0,len(self.systemMarkets)):
masterDateList += self.systemMarkets[i].equity.equityDate
This loop starts at 0 and loops through all the systemMarkets. If you have five
markets in your portfolio, then the loop would start at 0 and end at 4. You will
notice the += operand after masterDateList in the code. This is a shortcut like
a = a + 1. Using this operand eliminates repeating the variable name after the equal
sign. If you want to see how this works, jump over to the Python Shell and type this:
191
USING PYTHON TO BACKTEST YOUR ALGORITHM
>>> a = list()
>>> a = [1,2,3,4,6,7,8,9]
>>> b = list()
>>> b = [1,2,3,4,5,6,7,8,10]
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