pyrb
zipline
| pyrb | zipline | |
|---|---|---|
| 3 | 14 | |
| 111 | 17,072 | |
| - | 0.4% | |
| 0.0 | 0.0 | |
| 10 months ago | 3 months ago | |
| Python | Python | |
| MIT License | Apache License 2.0 |
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pyrb
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On the relationship between QQQ and TQQQ returns
There's also risk budgeting you can try: https://github.com/jcrichard/pyrb/blob/master/notebooks/RiskBudgeting.ipynb
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TMF down -18% in 52 weeks - have people been plowing money into it?
In another (https://github.com/jcrichard/pyrb/blob/master/notebooks/RiskBudgeting.ipynb), he's calculating the covariance matrix from the input as follows:
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My Guide to Hedgefundie's Portfolio and Why I'm 100% Invested in it for FATFire and WHALEFire
The technical explanation is in this academic paper and one of the authors released a python library implementing it. I use this to create some scripting for my own portfolio needs that tells me what portfolio weights to use when I want to rebalance or add new funds.
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?
Riskfolio-Lib - Portfolio Optimization and Quantitative Strategic Asset Allocation in Python
backtrader - Python Backtesting library for trading strategies
mlfinlab - MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable, and easy to use tools.
pyfolio - Portfolio and risk analytics in Python
vectorbt - Find your trading edge, using the fastest engine for backtesting, algorithmic trading, and research.
backtrader - Python Backtesting library for trading strategies [Moved to: https://github.com/mementum/backtrader]
riskparity.py - Fast and scalable construction of risk parity portfolios
PyThalesians - Python library for backtesting trading strategies & analyzing financial markets (formerly pythalesians)
portfolio_allocation_js - A JavaScript library to allocate and optimize financial portfolios.
quantstats - Portfolio analytics for quants, written in Python
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.