Learn Algorithmic Trading

For-loop backtester

1. As regards the implementation of this backtester, we will use the GOOG data by retrieving it with the same function we used previously, load_financial_data. We will follow the pseudo code that we proposed during the previous section:

for each price update:   create_metric_out_of_prices()   buy_sell_or_hold_something()   next_price();

We will create a ForLookBackTester class. This class will handle, line by line, all the prices of the data frame. We will need to have two lists capturing the prices to calculate the two moving averages. We will store the history of profit and loss, cash, and holdings to draw a chart to see how much money we will make.

The create_metrics_out_of_prices function calculates the long moving average ...