Ultimate Algorithmic Trading System

trades = tradeInfo('buy',myDate[i],tradeName,
entryPrice[-1],numShares,1)
barsSinceEntry = 1
totProfit += profit
listOfTrades.append(trades)
That’s all the code you have to concern yourself with. There is a lot of code, but
most off it stays the same from one algorithm to the next.
In the case of this system, all entries and exits are executed as stop orders. Since
we are dealing with stops, we must test the myHigh[i] (today’s high) against the
buyLevel. If the high of the day is greater than or equal to our buy stop, then we
can safely assume the order was filled. Did the market gap above our buyLevel—you
must test for this as well. The code is already in place: price = max(myOpen[i],
buyLevel). If the market did indeed gap above our buyLevel, then the fill price
is moved to the open of the day. This line of code is only necessary if a gap open
could impact the fill price on a stop order. The only other thing you need to change
is the tradeName variable. In this case, we change the name inside the quotes to
Boll Buy. That’s all you have to change in the code. The rest of the code is for
internal use only. If IDLE had a collapsible text feature, I would just collapse this
down so you wouldn’t have to see it. You can edit your Python code in a more
sophisticated text editor such as NotePad ++ (https://notepad-plus-plus.org/).
Figure 6.1 demonstrates the collapsible text feature.
We would all agree this is a much cleaner interface. NotePad ++ is available for
download for a small donation. The reason I didn’t use NotePad++ in this book is
because it is not exactly easy to integrate into IDLE and I wanted to keep things as
simple as possible.
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USING PYTHON TO BACKTEST YOUR ALGORITHM
FIGURE 6.1
NotePad++’s collapsible text feature.
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