Ultimate Algorithmic Trading System

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
Unless you are adding a new indicator to the indicator.py file, this is the only file
you will ever need to modify. Once you make your changes, all you need to do
to run your algorithm is go under the Run menu and select Check Module. If
everything checks out, then you go under the Run menu once again and select Run
Module.
I guarantee that you will get some type of syntax error or run-time error every
time you create a new trading algorithm module. This is a good learning experience,
as IDLE will point out the offending line of code. Figure 6.2 is an example of a
syntax error message dialog and Figure 6.3 shows the offending line. You will see
this until you stop forgetting the difference between the assignment operator (=)
and the comparison operator (==).
Another easy thing to forget is using parentheses ( ) when you really want to use
square brackets [ ]. If you do make this mistake you will see the error message shown
in Figure 6.4.
This is a run-time error because it will pass the Check Module. However,
when you run the module, it will pop this error message into the Python Shell. The
FIGURE 6.2
A Python syntax error message.
199
USING PYTHON TO BACKTEST YOUR ALGORITHM
FIGURE 6.3 In this case, the syntax error was the result of confusion between the assignment
operator (=) and the comparison operator (==). Python highlights the problematic code.
www.rasabourse.com