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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Turtle strategy

In this more advanced trading strategy, we are going to create a long signal when the price reaches the highest price for the last window_size days (in this example, we will choose 50):

  1. We will create a short signal when the price reaches its lowest point. We will get out of a position by having the price crossing the moving average of the last window_size days. This code starts the turtle_trading function by creating a column to store the highs, the lows, and the average with a rolling window window_size:
def turtle_trading(financial_data, window_size):     signals = pd.DataFrame(index=financial_data.index)     signals['orders'] = 0     # window_size-days high     signals['high'] = financial_data['Adj Close'].shift(1).\ rolling(window=window_size).max() ...
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Publisher Resources

ISBN: 9781789348347Supplemental Content