Python for Finance Cookbook

Strategy

The strategy was built as a class, inheriting from bt.Strategy. Inside the class, we defined the following methods (we were actually overwriting them to make them tailor-made for our needs):

• __init__: Here, we defined the objects that we would like to keep track of, for example, close price, order, buy price, commission, indicators such as SMA, and so on.
• log: This is defined for logging purposes.
• notify_order: This is defined for reporting the status of the order (position). In general, on day t, the indicator can suggest opening/closing a position based on the close price (assuming we are working with daily data). Then, the (market) order will be carried out on the next day (using day t + 1's open price). However, there is no ...