Ultimate Algorithmic Trading System

FIGURE 6.4
brackets.
A Python run-time error resulting from using parentheses instead of square
good thing is it tells the offending module and line number. Unfortunately, Python
doesn’t use line numbers, but if you go up under the Edit menu in the offending
module and select Go To Line, a small dialog will open and you can plug in the
line number and it will take you to the offending line.
Similar to any testing platform or programming language, the more you use it,
the better you will become. Here are a couple more algorithms in the PSB that
utilize market and limit orders.
If you are entering on the close, then you do not need to use a 1 offset in your
indicator calculations. Basically, you are calculating the indicator at the close and
executing at the close—in real time this is somewhat difficult, but if you want to
test it, you can. Here is a dual moving average crossover algorithm in the PSB. For
brevity’s sake, only the important code snippets were included.
200
USING PYTHON TO BACKTEST YOUR ALGORITHM
avg1 = sAverage(myClose,19,i,0)
avg2 = sAverage(myClose,39,i,0)
print(myDate[i],"avg1 ",avg1," avg2 ",avg2)
Notice how a 0 is used as the offset—I want to use today’s data in the calculation.
Since we don’t have graphing capabilities, you can print right out to the Python
Shell using the keyword print. Basically, put everything you want printed out in a
list separated by a string or a space enclosed in quotation marks and a comma. This
print statement will print out the date, the word avg1, the value of avg1, the word
avg2, and the value of valu2. Here’s what the printout looks like.
20150429 avg1 57.15842105263158 avg2 54.38384615384615
#Long Entry Logic
if (mp != 1) and avg1 > avg2:
profit = 0
price = myClose[i]
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#Long Exit - Loss
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