Ultimate Algorithmic Trading System

if mp >= 1 and myClose[i] < entryPrice[-1] - stopAmt and
barsSinceEntry > 1:
price = myClose[i]
# Short Logic
if (mp !=-1) and avg1 < avg2:
profit = 0
price = myClose[i]
----------------
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# Short Exit Loss
if mp <= -1 and myClose[i] >= entryPrice[-1] +
stopAmt and barsSinceEntry > 1:
price = myClose[i]
The only problem with this logic is that the system gets right back in the next
bar after a money management exit if the moving averages are still aligned. Other
testing software might get right back in at the same price it exits if the software
allows multiple entries on a single bar. If you want to force a new crossover, then
just add these lines:
prevAvg1 = sAverage(myClose,19,i,1)
prevAvg2 = sAverage(myClose,39,i,1)
avg1 = sAverage(myClose,19,i,0)
avg2 = sAverage(myClose,39,i,0)
You create two new variables and assign them the moving average values using
an offset of 1. PrevAvg1 and prevAvg2 are the moving averages from yesterday.
Your long and short entries should look something like this:
#Long Entry
if (mp != 1) and avg1 > avg2 and prevAvg1 < prevAvg2:
price = myClose[i]
#Short Entry
if (mp !=-1)
price = myClose[i]
and avg1 < avg2 and prevAvg1 > prevAvg2:
201
USING PYTHON TO BACKTEST YOUR ALGORITHM
Notice how the comparison of the prior day’s moving average values is
incorporated in the logic. Yesterday’s prevAvg1 must be less than yesterday’s
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