Python for Finance Cookbook

Strategy

To make the code more readable, we first present the general outline of the class (trading strategy) and then define separate pieces in the following code blocks.

1. The template of the strategy is presented below:

class SmaStrategy(bt.Strategy):    params = (('ma_period', 20), )    def __init__(self):        # some code            def log(self, txt):        # some code    def notify_order(self, order):        # some code    def notify_trade(self, trade):        # some code    def next(self):        # some code

The __init__ block is defined as:

def __init__(self):        self.data_close = self.datas[0].close        self.order = None        self.price = None        self.comm = None        self.sma = bt.ind.SMA(self.datas[0],                              period=self.params.ma_period)

The log block is defined as:

def log(self, txt): dt = self.datas[0].datetime.date(0).isoformat() ...