Ultimate Algorithmic Trading System

prevAvg2 and today’s avg1 must be greater than today’s avg2—a crossover.
There are a few different ways you could accomplish this, but until you become
more comfortable with Python, the PSB, and lists, I would suggest simply offsetting
the indicators to get the values you need. This is highly inefficient, but I don’t think,
unless you are doing it a lot, you will see a degradation in performance.
If you are using limit orders, just make sure you test the worst-case scenario.
Most limit orders are not executed unless the price penetrates and trades one tick
through the limit price. So you know how it important it is to use >= and <= in
your price comparisons for stop orders. In limit orders forget the = sign. Like this:
#Long Exit - Profit
if mp >= 1 and myHigh[i] > entryPrice + profAmt and
barsSinceEntry > 1:
price = max(myOpen[i],entryPrice + profAmt)
tradeName = "L-Prof"
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USING PYTHON TO BACKTEST YOUR ALGORITHM
Usingjustthe> sign informs the PSB to make sure the market action penetrates
the entryPrice + profAmt. In reality, there is a chance that a limit order will
be filled if the order is touched. But we always want worst-case scenario when
developing a trading algorithm. There is a bunch more Python code in the appendix
and a few tutorials on the website. This version of the PSB is really in its infancy.
I will continue to enhance it into the future by including some basic graphing utilities
and loading it into a more sophisticated IDE.
■ Summary
I love Python, and it really is a great language for quants and quant wannabes. It is
the language to learn if you are new to programming. You will hear things out there
about how it is inferior to C# and other faster languages. Unless you are an HFT
trader, don’t take these criticisms seriously. Others may complain that Python is not
a purely objective language due to its deviations from the philosophy of ‘‘OO.’’ I look
at Python as means of getting something done quickly and accurately. Traders need
to concern themselves with trading concepts more so than programming theory.
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