rubenbriones / Probabilistic-Sharpe-RatioLinks
Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)
☆126Updated 4 years ago
Alternatives and similar repositories for Probabilistic-Sharpe-Ratio
Users that are interested in Probabilistic-Sharpe-Ratio are comparing it to the libraries listed below
Sorting:
- Probability of Backtest Overfitting in Python☆126Updated 2 years ago
- Notebooks based on financial machine learning.☆50Updated 5 years ago
- MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable…☆62Updated 2 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆125Updated 5 years ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆168Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 years ago
- Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado☆209Updated 4 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆241Updated last year
- Notes on Advances in Financial Machine Learning☆79Updated 6 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆164Updated 5 years ago
- Videos, slides, and code made available by speakers of the 2021's AlgoTrading Summit☆126Updated 3 years ago
- ☆114Updated last year
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆133Updated 6 months ago
- Notebook for <Advances in Financial Machine Learning> using Python 3.7☆43Updated 6 years ago
- To classify trades into buyer- and seller-initiated.☆144Updated 2 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆165Updated 3 weeks ago
- Pair Trading Strategy using Machine Learning written in Python☆119Updated 3 years ago
- A tool for portfolio managers: use the Black-Litterman model to view optimal portfolio allocations using several of the most popular opti…☆79Updated 11 months ago
- ☆194Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Quantamental finance research with python☆149Updated 3 years ago
- QSTrader☆132Updated 6 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆131Updated 6 years ago
- quantitative - Quantitative finance back testing library☆63Updated 6 years ago
- ☆73Updated 3 years ago
- CS7641 Team project☆95Updated 4 years ago