Ultimate Algorithmic Trading System

Shorting occurs when the low of the day exceeds a 60-day two-deviation lower
band. This line of code provides exactly what we need.
buyLevel,shortLevel,exitLevel = bollingerBands(myDate,
myClose,60,2,i,1)
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USING PYTHON TO BACKTEST YOUR ALGORITHM
Prior to actually programming your algorithm, it is important to know how your
algorithm enters trades: on a stop, market, or on a limit. Unlike AmiBroker, the
ESB, or TradeStation, it is up to the user to program the different if constructs that
pertain to the different types of orders. Don’t worry; it’s not nearly as complicated
as it sounds. The buyLevel, shortLevel, andexitLevel are all calculated by the
BollingerBands function. This algorithm also utilizes a $3,000 protective stop.
Prepared with this information we are now ready to enter battle. With the PSB
you must determine if the daily market action met the requirements for trade entry
and/or exit. In other words, you have to test the bar’s extreme prices to see if an entry
or exit level was exceeded. You might want to follow along in the code box as you
read the following instructions. First, I have to make sure I am not already in a long
position (mp—market position not equal to 1), and then I look at today’s high; I am
peeking into the future here, to see if the market would have exceeded or equaled
the buyLevel. If it did, then I know I should have entered a long position. With
this method of backtesting, you tell the computer a trade has taken place. In other
platforms, the computer tells you a trade has taken place. Once you determine a trade
should have been executed, you only need to change a little bit of code in the Long
Entry Logic. The code that needs to be changed is bolded in the following code listing.
if (mp != 1) and myHigh[i] >= buyLevel:
profit = 0
price = max(myOpen[i],buyLevel)
if mp <= -1:
profit,trades,curShares = exitPos(price,myDate[i],
"RevShrtLiq",curShares)
listOfTrades.append(trades)
mp = 0
todaysCTE = profit
tradeName = "Boll Buy"
mp += 1
marketPosition[i] = mp
numShares = 1
entryPrice.append(price)
entryQuant.append(numShares)
curShares = curShares + numShares
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