dgerlanc / backtest
The backtest package provides facilities for exploring portfolio-based conjectures about financial instruments (stocks, bonds, swaps, options, et cetera).
☆19Updated 3 years ago
Related projects ⓘ
Alternatives and complementary repositories for backtest
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- R package for fitting the partially cointegrated model☆14Updated last year
- Repository for exploring ways to develop html presentation for the PortfolioAnalytics package☆20Updated 10 years ago
- Digital Signal Trading (John Ehlers indicators)☆89Updated 5 years ago
- Probability of Backtest Overfitting☆47Updated 2 years ago
- Web GUI for backtesting pair trading statistical arbitrage portfolio strategies☆25Updated 8 years ago
- R package for high frequency trading (HFT) backtests, intraday portfolio analysis and portfolio optimization.☆16Updated 8 years ago
- Code for various data snooping tests on financial time series.☆18Updated 9 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- ☆46Updated 10 years ago
- Ilya Kipnis's package for performance reporting☆21Updated 9 years ago
- A python implementation of R's PerformanceAnalytics package☆22Updated 10 years ago
- Easily source publicly available data on derivatives☆37Updated 2 years ago
- Retrieving historical financial stocks data from MorningStar☆28Updated 9 years ago
- R package for high frequency time series data management☆61Updated 3 weeks ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆12Updated 6 years ago
- Automated Backtesting of Portfolios over Multiple Datasets☆60Updated 2 years ago
- Project includes scripts to set up a securities master database with stock and ETF timeseries data☆10Updated 8 years ago
- Financial Machine Learning with R☆14Updated 4 years ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆65Updated 7 years ago
- R Package for Fast and Stable Estimation of the Probability of Informed Trading (PIN)☆13Updated 2 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- Mostly R code files for my posts on www.returnandrisk.com.☆21Updated 5 years ago
- See how easy it is to download, visualize, manipulate stock market data with the <b>Quantmod</b> library and use all of it to build a com…☆26Updated 10 years ago
- ☆17Updated 3 years ago
- Ilya Kipnis's miscellaneous quantstrat extensions, indicators, and order-sizing functions.☆117Updated 2 years ago
- ☆17Updated 2 years ago
- ☆45Updated 8 years ago