cuemacro / tcapy
Open source TCA (transaction cost analysis) Python library for FX spot
☆233Updated 9 months ago
Related projects ⓘ
Alternatives and complementary repositories for tcapy
- Quantitative finance research tools in Python☆413Updated last year
- We tested 3 approaches for Pair Trading: distance, cointegration and reinforcement learning approach.☆258Updated last year
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆344Updated 6 years ago
- A fast, extensible, transparent python library for backtesting quantitative strategies.☆364Updated last year
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆156Updated 2 years ago
- trend / momentum and other patterns in financial timeseries☆242Updated 3 years ago
- Fast and scalable construction of risk parity portfolios☆289Updated 5 months ago
- Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado☆200Updated 3 years ago
- Simple backtesting software for options☆161Updated 3 months ago
- A backtester and spreadsheet library for security analysis.☆270Updated this week
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆122Updated 4 years ago
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆121Updated 6 months ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆119Updated 5 years ago
- Portfolio and risk analytics in Python☆389Updated last month
- Vectorized backtester and trading engine for QuantRocket☆204Updated 3 months ago
- Quantitative Investment Strategies (QIS) package implements Python analytics for visualisation of financial data, performance reporting, …☆184Updated this week
- Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied v…☆287Updated 2 months ago
- ☆109Updated 8 months ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆73Updated 6 years ago
- Pipeline Extension for Live Trading☆205Updated last year
- experiments with pair trading☆257Updated 3 weeks ago
- Basic options pricing in Python☆307Updated 9 years ago
- PyTrendFollow - systematic futures trading using trend following☆377Updated 6 years ago
- Probability of Backtest Overfitting in Python☆116Updated last year
- SABR model Python implementation☆463Updated 2 years ago
- ☆207Updated 7 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆150Updated 6 years ago
- An open source library for portfolio optimisation☆357Updated 8 months ago