Ultimate Algorithmic Trading System

print("Combined Monthly Return")
for j in range(0,len(monthList)):
idx = masterDateList.index(monthList[j])
if j == 0:
monthEquity.append(combinedEquity[idx])
prevCombinedDailyEquity = monthEquity[-1]
else:
combinedDailyEquity = combinedEquity[idx]
monthEquity.append(combinedDailyEquity
- prevCombinedDailyEquity)
prevCombinedDailyEquity = combinedDailyEquity
print(’%8d %10.0f %10.0f ’ % (monthList[j],
monthEquity[j],combinedEquity[idx]))
def removeDuplicates(li):
my_set = set()
res = []
for e in li:
if e not in my_set:
res.append(e)
my_set.add(e)
return res
def createMonthList(li):
myMonthList = list()
for i in range(0,len(li)):
if i != 0:
tempa = int(li[i]/100)
pMonth = int(li[i-1]/100) % 100
month = int(li[i]/100) % 100
if pMonth != month:
myMonthList.append(li[i-1])
if i == len(li)-1:
myMonthList.append(li[i])
return myMonthList
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PYTHON SYSTEM BACKTESTER
■ Indicator Classes and Functions
Some indicators are programmed as classes due to their ‘‘data length dependence.’’
Each indicator class can be instantiated multiple times, so the same indicator can be
calculated multiple times on the same data bar.
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