Um you used a 2000 day MA just a heads up probably not the best choice. I believe it is just a typo though. Here it is with a 200 instead of 2000 day MA.

Thanks Spencer, good catch, was definitely a late-night typo. Like I said - it's ugly.

Interesting approach. I think exit using trailing stoploss gives good exit.
I thought you were harvesting and cutting too early.
So just changed harvest at 2.5x and 0.91x for cutting
Something surprising occurred in early Feb 2015 have a look.

Austin, thanks for sharing. A few thoughts about your algo:

• In lines 87-90 you are placing 3 orders per stock. I'm guessing you want to place a single stop-limit order? If so you should use the StopLimit parameter in the order.

order(stock,shares_target)  
log.info("Initiating position %s." % str(stock.symbol))  
order(stock, shares_target*-1, style=StopOrder(stop_price))  
order(stock, shares_target*-1, style=LimitOrder(target_price))  

• To speed up your backtest, you can use panda's mavg calculation. You can use history to get the trailing prices and then index into the dataframe to get the values. Like so:

prices       = history(200, '1d', 'price')  
price         = prices[stock].iloc[-1]  #most recent stock price  
mavg10   = prices[stock].iloc[-10:].mean() #avg of last 10 prices  
mavg50   = prices[stock].iloc[-50:].mean() #avg of last 50 prices  
mavg200 = prices[stock].iloc[-200:].mean() #avg of last 200 prices  

• I'd suggest to move towards using the more robust order_target functions. These will scale with your portfolio and take out all of the manual order calculations.

• Also try running your backtest in minute mode, this is a more realistic simulation of the market conditions. Daily mode is a good check if your code compiles and the strategy holds merit, but minute mode gives a closer view of the strategy. Check out this thread for more details.

Hope this helps and looking forward to seeing future iterations!

cheers,
Alisa

Thanks Alisa -

The three orders was originally intentional to set both an automatic stop-loss and an automatic harvest if the stock reached my target price. I've removed these in favor of only doing the cutting or harvesting in the before_trading_start method.

Thanks for the tip using the Pandas stuff for mavg. Will replace those definitions.