I’m reading through the Simulator code (from Conlan’s book) and trying to work out what it actually does and how it actually works. I’ll need this understanding to customise it to my own needs. I find the best way to do this is use the debugger, to pause execution after a couple of lines and check what has actually been produced (lists, DataFrames, etc) and what their structure is. Seeing the result of the code makes it a lot easier to understand what it’s doing. I like to think I’m an abstract thinker but I must admit seeing concrete results improves my understanding enormously. I’m frequently confronted with evidence that I’m not as smart as I like to think I am. Or is it just age, with cognitive abilities on the decline?
Later…
Chris Conlan certainly does things differently from all other tutors on quantitative trading that I’ve seen. For example creating a dataframe of trading signals (-1, o, 1) on 10 years of data for 100 tickers using a Bollinger Band strategy, without leaving any trace of the Bollinger Bands remaining. The whole thing is done in a function that takes a series as input, creates the bands as local variables, and just returns the series of signals. And this function is just apply -ed to the whole df of prices, where each column is one ticker, and voila! I must try it out on a much smaller dataset to make sure that I know how it works, but certainly very interesting.