Synthetic Trading Class
Just spent a week in Newark Ohio working on creating this new class to track and monitor synthetic trades so that decisions can be made from the status of the equity curve. This class contains three methods, and the module includes two additional functions.
Class methods are:
- calcDailyEquity
- setSynthTradeInfo
- __inti__
Module includes:
- calcEquCurveRetAndRec
- calcSynthTotEquity functions.
Here is an example of what you can do with this:
Here is the code from a simple ES Mean Reversion System
# This module turns trading on and off based on the retracement and recovery of the equity curve
if curMarket == 0:
if len(synthEquity) > 0: print(myDate[curBar],” “, synthEquity[-1])
prevStopTrading = stopTrading
equCurveRet,equCurveRec = calcEquCurveRetandRec(synthEquity,100,equityAnchor)
if equCurveRet >= 0.10 and stopTrading == False:
stopTrading = True
equityAnchor = len(synthEquity)
print(myDate[curBar],”, stopTrading,”,equCurveRet)
equCurveRet,equCurveRec = calcEquCurveRetandRec(synthEquity,100,equityAnchor)
if stopTrading == True and equCurveRec >= 0.10:
stopTrading = False
equityAnchor = len(synthEquity)
print(myDate[curBar],”, startTrading,”,equCurveRec,”,”,equityAnchor)
synthMP = 0
if len(synthTrade[curMarket].mp) != 0:
synthMP = synthTrade[curMarket].mp[-1]
# Now you have to weave your synthetic orders inside the real order directives
if mp < 1 and dnCloses == 2 and stopTrading == False:
price = myOpen[D]
tradeName = “ESBuyNDC”
numShares = posSize
enterLongPosition(price,posSize,tradeName,sysMarkDict)
unPackDict(sysMarkDict)
if synthMP < 1 and dnCloses == 2: price = myOpen[D] tempMP = 1 # print(myDate[curBar],” “,mySymbol,” Buy @ “,price,” “,tempMP) synthMP = synthTrade[curMarket].setSynthTradeInfo(‘l’,tempMP,myDate[curBar],curBar,posSize,price) # Long Exits if mp == 1 and barsSinceEntry > 4:
price =myOpen[D]
tradeName = “4thDayOut”
numShares = curShares
exitPosition(price, curShares, tradeName, sysMarkDict)
unPackDict(sysMarkDict)
if synthMP == 1 and synthTrade[curMarket].barsSinceEntry > 4:
price = myOpen[D]
tempMP = 0
tempPosSize = synthTrade[curMarket].numShares[-1]
# print(myDate[curBar],” “,mySymbol,” LiqLong @ “,price,” “,tempMP,” “,tempPosSize)
synthMP = synthTrade[curMarket].setSynthTradeInfo(‘lx’,tempMP,myDate[curBar],curBar,tempPosSize,price)
This looks a little rough right now but I will clean it up and finalize robustness of the synthetic testing engine in September. It will look a lot better when I release it.
Article written by George Pruitt
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