Trading System Structure

In Python, you have to define two functions: mySettings and myTradingSystem. The toolbox relies on these two functions to run your trading system. mySettings contains the settings structure which store all relevant information for the trading system. The toolbox allows for flexible data definitions, where you can request OPEN, HIGH, LOW, CLOSE, or VOL data for your system. A typical function definition is shown below:

def myTradingSystem(DATE, HIGH, CLOSE, VOL, exposure, equity, settings)

Your myTradingSystem function will be called each day of the backtesting period with the most recent data as arguments. The only requirements of myTradingSystem is to return an array of your trading system’s market positions for the next day and the settings data struct. Market positions, p, is just an array of numbers [0 1 -1 …] that represents the trading positions you want to take (e.g., no position, buy position, sell position).


Data can be requested for your trading system through the arguments of the function definition. The myTradingSystem function isn’t required to call any arguments, the example above is just a representation of various values that can be called.

Here is a breakdown of what parameters can be loaded into the trading system:

Parameter Description Dimensions (rows x columns)
DATE a date integer in the format YYYYMMDD Lookback x 1
OPEN the first price of the session Lookback x # of Markets
HIGH the highest price of the session Lookback x # of Markets
LOW the lowest price of the session Lookback x # of Markets
CLOSE the last price of the session Lookback x # of Markets
VOL number of stocks/contracts traded per session Lookback x # of Markets
exposure the realized quantities of your trading system, or all the trading positions you take Lookback x # of Markets
equity cumulative trading performance in each market, reflects gains and losses Lookback x # of Markets
OI, R, RINFO also available to be called as parameters, described in more detail under Market Data section  

The data is structured with the most recent information in the last index or row. Where lookback is simply how many historical data points you want to load in each iteration of your trading system. Given the data is daily, lookback represents the maximum number of days of market data you want to have loaded. Now the two parameters that aren’t explicitly related to market data are exposure and equity. These two relate to trading in your simulated broker account. Whenever you make a trading position, that’s recorded in exposure. And whatever the market result of your trading position is, is then recorded in equity. Or simply put: equity is what you made with each market over your lookback period.