PyMC
zipline
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PyMC | zipline | |
---|---|---|
3 | 14 | |
8,142 | 17,036 | |
1.2% | 0.6% | |
9.4 | 0.0 | |
6 days ago | 2 months ago | |
Python | Python | |
GNU General Public License v3.0 or later | 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.
PyMC
- PYMC Release: v5.0.0
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An Astronomer's Introduction to NumPyro
I believe the pymc versions were resolved into developing version 4 of pymc. Development at https://github.com/pymc-devs/pymc
It still depends on theano now evolved and renamed
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What is Probabilistic Programming?
This tutorial explains what is probabilistic programming & provides a review of 5 frameworks (PPLs) using an example taken from Chapter 4 of Statistical Rethinking by Dr. Richard McElreath. Frameworks (PPLs) reviewed are - Stan (https://mc-stan.org/) PyMC3 (https://docs.pymc.io/) Tensorflow Probability (https://www.tensorflow.org/probability) Pyro/NumPyro (https://pyro.ai/) Turing.jl (https://turing.ml/stable/) I also provide the basic review of a great library called arviz (https://arviz-devs.github.io/arviz/), which can be used for all the above-mentioned PPLs to do Exploratory Data Analysis of Bayesian Models. Here is the link to the notebook in which I have implemented the example model using the above Frameworks/PPLs https://colab.research.google.com/drive/1zgR2b0j2waGi1ppnIe1rw7emkbBXtMqF?usp=sharing
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?
statsmodels - Statsmodels: statistical modeling and econometrics in Python
backtrader - Python Backtesting library for trading strategies
Dask - Parallel computing with task scheduling
pyfolio - Portfolio and risk analytics in Python
stan - Stan development repository. The master branch contains the current release. The develop branch contains the latest stable development. See the Developer Process Wiki for details.
backtrader - Python Backtesting library for trading strategies [Moved to: https://github.com/mementum/backtrader]
Numba - NumPy aware dynamic Python compiler using LLVM
PyThalesians - Python library for backtesting trading strategies & analyzing financial markets (formerly pythalesians)
SymPy - A computer algebra system written in pure Python
quantstats - Portfolio analytics for quants, written in Python
pyro - Deep universal probabilistic programming with Python and PyTorch
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.