advanced-algorithmic-trading

396
def go_short_units(self):
"""
Go short the appropriate number of "units" of the
portfolio to open a new position or to close out
a long position.
"""
for i, ticker in enumerate(self.tickers):
if self.weights[i] < 0.0:
self.events_queue.put(SignalEvent(
ticker, "BOT",
int(floor(-1.0*self.qty*self.weights[i])))
)
else:
self.events_queue.put(SignalEvent(
ticker, "SLD",
int(floor(self.qty*self.weights[i])))
)
def zscore_trade(self, zscore, event):
"""
Determine whether to trade if the entry or exit zscore
threshold has been exceeded.
"""
# If we’re not in the market...
if self.invested is None:
if zscore < -self.entry_z:
# Long Entry
print("LONG: %s" % event.time)
self.go_long_units()
self.invested = "long"
elif zscore > self.entry_z:
# Short Entry
print("SHORT: %s" % event.time)
self.go_short_units()
self.invested = "short"
# If we are in the market...
if self.invested is not None:
if self.invested == "long" and zscore >= -self.exit_z:
print("CLOSING LONG: %s" % event.time)
self.go_short_units()
self.invested = None
elif self.invested == "short" and zscore <= self.exit_z:
print("CLOSING SHORT: %s" % event.time)
self.go_long_units()
https://sanet.cd/blogs/polatebooks/