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() ...