Ultimate Algorithmic Trading System

That was the long entry logic only and now we must program the two exits
associated with this algorithm: a money management stop and a moving average
stop. Here is the money management stop logic:
if mp >= 1 and myLow[i] <= entryPrice[-1] - stopAmt and
barsSinceEntry > 1:
price = min(myOpen[i],entryPrice[-1] - stopAmt)
tradeName = "L-MMLoss"
exitDate =myDate[i]
numShares = curShares
exitQuant.append(numShares)
profit,trades,curShares = exitPos(price,myDate[i],
tradeName,numShares)
if curShares == 0 : mp = marketPosition[i] = 0
totProfit += profit
todaysCTE = profit
listOfTrades.append(trades)
maxPositionL = maxPositionL - 1
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USING PYTHON TO BACKTEST YOUR ALGORITHM
If mp >= 1, then the algorithm’s current position is long. You could state if
mp == 1, but this software has the capability of pyramiding and scaling in and out.
So just always use >= to test for a long or short position. Since we are exiting on
stops, the low of the day is tested against the entryPrice - stopAmt ($3,000).
In Python the last element in a list can be easily accessed by using a -1 inside the
brackets. EntryPrice[-1] simply refers to the last price in the entryPrice list,
which turns out to be the price at which the algorithm assumed a long position.
I have put a small i in the entryPrice list more times than I would like to admit,
and this definitely will throw a monkey wrench into the works. So don’t do it. If
the low of the day is less than or equal to entryPrice - stopAmt, then an exit has
taken place and all you need to do is set the price and the tradeName. The rest
of the code in the block runs in the background. BarsSinceEntry is an internal
variable that keeps track of the number of bars since the last entry, and is used in this
logic to make sure an entry and an exit doesn’t occur on the same bar. This version
of the PSB doesn’t allow more than one entry per bar. Getting out on a stop at the
midpoint between the upper and lower bands is handled in the same manner. The
only difference is the price and the tradeName variables.
if mp >= 1 and myLow[i] <= exitLevel:
price = min(myOpen[i], exitLevel)
tradeName = "L-BollExit"
numShares = curShares
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