pyfolio
zipline
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| pyfolio | zipline | |
|---|---|---|
| 112 | 14 | |
| 5,418 | 17,036 | |
| 1.1% | 0.6% | |
| 0.0 | 0.0 | |
| 4 months ago | 2 months ago | |
| Jupyter Notebook | Python | |
| Apache License 2.0 | Apache License 2.0 |
Stars - the number of stars that a project has on GitHub. Growth - month over month growth in stars.
Activity is a relative number indicating how actively a project is being developed. Recent commits have higher weight than older ones.
For example, an activity of 9.0 indicates that a project is amongst the top 10% of the most actively developed projects that we are tracking.
pyfolio
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Buffett once bet $1M that he could beat a group of hedge funds over 10 years
> pyfolio.tears.create_interesting_times_tear_sheet measures algorithmic trading algorithm performance during "stress events" https://github.com/quantopian/pyfolio/blob/03568e0f328783a6a... :
> Generate a number of returns plots around interesting points in time, like [...]
https://news.ycombinator.com/item?id=19111911 :
> pyfolio/examples/zipline_algo_example.ipynb:
- Pyfolio: Portfolio and risk analytics in Python. Factor and Risk Analysis - star count:5206.0
- Pyfolio: Portfolio and risk analytics in Python. Factor and Risk Analysis - star count:5057.0
- Pyfolio: Portfolio and risk analytics in Python. Factor and Risk Analysis - star count:4808.0
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?
PyThalesians - Python library for backtesting trading strategies & analyzing financial markets (formerly pythalesians)
backtrader - Python Backtesting library for trading strategies
Pyqiwi - Python client for QIWI payment system
backtrader - Python Backtesting library for trading strategies [Moved to: https://github.com/mementum/backtrader]
Yahooquery - Python wrapper for an unofficial Yahoo Finance API
Tax-Calculator - USA Federal Individual Income and Payroll Tax Microsimulation Model
quantstats - Portfolio analytics for quants, written in Python
Beancount DKB - Beancount Importers for DKB (Deutsche Kredit Bank) CSV Exports
qlib - Qlib is an AI-oriented quantitative investment platform that aims to realize the potential, empower research, and create value using AI technologies in quantitative investment, from exploring ideas to implementing productions. Qlib supports diverse machine learning modeling paradigms. including supervised learning, market dynamics modeling, and RL.
munggoggo
vectorbt - Find your trading edge, using the fastest engine for backtesting, algorithmic trading, and research.