alex33d / backtest_optimizer
Optimization of trading strategy hyperparameters with combinatorial cross validation and stress tesing
☆33Updated last month
Alternatives and similar repositories for backtest_optimizer:
Users that are interested in backtest_optimizer are comparing it to the libraries listed below
- Time Series Prediction of Volume in LOB☆57Updated last year
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆71Updated 4 years ago
- ☆37Updated 2 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆112Updated 11 months ago
- ☆31Updated 3 years ago
- ☆40Updated 4 years ago
- Package to build risk model for factor pricing model☆24Updated 8 months ago
- ☆21Updated 5 years ago
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- ☆47Updated 6 months ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆50Updated 3 years ago
- Financial AI with Python☆74Updated 2 weeks ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- A financial trading method using machine learning.☆60Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆62Updated last year
- ☆49Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…☆20Updated 3 months ago
- This project implements an advanced pairs trading strategy using statistical arbitrage techniques. It leverages Bayesian optimization to …☆37Updated 9 months ago
- Collection of notebooks and scripts related to financial engineering, quant-research and algo-trading.☆60Updated 8 months ago
- Package based on the work of Dr Marcos Lopez de Prado regarding his research with respect to Advances in Financial Machine Learning☆33Updated 5 years ago
- CS7641 Team project☆94Updated 4 years ago
- ☆13Updated 2 years ago
- ☆45Updated 3 months ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- Collection of indicators that I used in my strategies.☆52Updated 3 weeks ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Montecarlo simulations/analysis for finance (equity simulator)☆34Updated last year