January 2020
Beginner to intermediate
432 pages
11h 24m
English
Content preview from Python for Finance Cookbook
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How it works...
There are a lot of similarities between the code used for creating the Bollinger Bands-based strategy and that used in the previous recipe. That is why we only discuss the novelties, and refer you to the Backtesting a strategy based on simple moving average recipe for more details.
As we were going all-in in this strategy, we had to use a method called cheat_on_open. This means that we calculated the signals on day t's close price, but calculated the number of shares we wanted to buy based on day t+1's open price. To do so, we had to set cheat_on_open=True when creating the bt.Cerebro object. As a result, we also defined a next_open method instead of next within the Strategy class. This clearly indicated to Cerebro that we ...
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