esvhd / pypboLinks
Probability of Backtest Overfitting in Python
☆126Updated 2 years ago
Alternatives and similar repositories for pypbo
Users that are interested in pypbo are comparing it to the libraries listed below
Sorting:
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆128Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆88Updated 2 years ago
- To classify trades into buyer- and seller-initiated.☆149Updated 2 years ago
- trend / momentum and other patterns in financial timeseries☆276Updated 4 years ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆172Updated 3 years ago
- Notebooks based on financial machine learning.☆52Updated 5 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆169Updated 5 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆90Updated 4 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆124Updated 5 years ago
- Research Repo (Archive)☆75Updated 4 years ago
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆84Updated 2 months ago
- Common financial risk and performance metrics. Used by zipline and pyfolio.☆89Updated last week
- MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable…☆62Updated 2 years ago
- Pair Trading Strategy using Machine Learning written in Python☆120Updated 3 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆245Updated last year
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆127Updated 2 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆255Updated 2 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆125Updated 5 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆166Updated last week
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆133Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- ☆204Updated 2 years ago
- We tested 3 approaches for Pair Trading: distance, cointegration and reinforcement learning approach.☆265Updated 2 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆82Updated last year
- A tool for portfolio managers: use the Black-Litterman model to view optimal portfolio allocations using several of the most popular opti…☆81Updated last year
- Estimation of the lead-lag parameter from non-synchronous data.☆131Updated 5 months ago
- Financial AI with Python☆90Updated 5 months ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆95Updated 4 years ago