bcolz
zipline
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| bcolz | zipline | |
|---|---|---|
| 1 | 14 | |
| 955 | 17,060 | |
| - | 0.8% | |
| 0.0 | 0.0 | |
| over 1 year ago | 2 months ago | |
| C | Python | |
| BSD 3-clause "New" or "Revised" License | Apache License 2.0 |
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bcolz
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Recommendation for a Database for analysis
What you need for your use case is a column-oriented store. I recommend explore bcolz or apache arrow for a column file-based systems. These are very fast, support memory mapping, uses compression and SSD speed (and even CPU architecture, in case of arrow) optimally almost out of the box, and has good interfaces to Numpy and Pandas (in case you are using Python for final data consumption and analysis). The columnar structure makes it easy to add or delete a column easily (or even dynamically). If you need a more scalable (albeit at the cost of speed) solution, you can devise a schema over a regular columnar db or an nosql db - see arctic from Man group for an example.
zipline
- Ask HN: How to Get into Quantitative Trading?
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Open source backtesting software
https://github.com/quantopian/zipline (event-driven)
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10 FinTech APIs every Indian developer should bookmark
Zipline by Quantopian: An Open-Source tool for algorithmic trading. It is a platform for developing and testing quantitative trading strategies using Python.
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Backtesting Engine Design Primers
For personal use only. I'm currently looking at QuantConnect's LEAN and Quantopian's Zipline (which hasn't seen any updates since 2020, presumably because Quantopian was dissolved).
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[D] Doing my (bachelor) thesis on RL. Which topic do you like best?
(1) I remember there were decent libraries for this setting a while back. Maybe take a look at Quantopian/Zipline.
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Best Backtesting Libraries (Python)
zipline – Zipline is a Pythonic algorithmic trading library. It is an event-driven system that supports both backtesting and live trading.
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How to statistically compare the performance of two strategies?
I found two opensource tools 1. .https://github.com/quantopian/zipline Quantopian 2. https://analyzingalpha.com/backtrader-backtesting-trading-strategies backtrader
- Formula for slippage?
- Online Portfolio Selection - Research paper implementation and backtest
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Best Backtesting software?
Some of the notable libraries in Python are backtesting.py, bt and zipline. Personally I like bt the most, as its tree model makes the most intuitive sense.
What are some alternatives?
Kedro - Kedro is a toolbox for production-ready data science. It uses software engineering best practices to help you create data engineering and data science pipelines that are reproducible, maintainable, and modular.
backtrader - Python Backtesting library for trading strategies
Pandas - Flexible and powerful data analysis / manipulation library for Python, providing labeled data structures similar to R data.frame objects, statistical functions, and much more
pyfolio - Portfolio and risk analytics in Python
Dask - Parallel computing with task scheduling
backtrader - Python Backtesting library for trading strategies [Moved to: https://github.com/mementum/backtrader]
blaze - NumPy and Pandas interface to Big Data
PyThalesians - Python library for backtesting trading strategies & analyzing financial markets (formerly pythalesians)
NumPy - The fundamental package for scientific computing with Python.
quantstats - Portfolio analytics for quants, written in Python
Numba - NumPy aware dynamic Python compiler using LLVM
vectorbt - Find your trading edge, using the fastest engine for backtesting, algorithmic trading, and research.