rubenbriones / Probabilistic-Sharpe-Ratio
Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)
☆124Updated 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
- MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable…☆62Updated 2 years ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆165Updated 3 years ago
- Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado☆209Updated 3 years ago
- Probability of Backtest Overfitting in Python☆125Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- Notebooks based on financial machine learning.☆50Updated 4 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆79Updated 6 years ago
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆131Updated 5 months ago
- Pair Trading Strategy using Machine Learning written in Python☆117Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆124Updated 5 years ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆240Updated last year
- ☆211Updated 7 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- CS7641 Team project☆94Updated 4 years ago
- Videos, slides, and code made available by speakers of the 2021's AlgoTrading Summit☆124Updated 3 years ago
- To classify trades into buyer- and seller-initiated.☆142Updated 2 years ago
- ☆193Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆118Updated last year
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆85Updated 4 years ago
- Macrosynergy Quant Research☆128Updated this week
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆161Updated 5 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆55Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆158Updated 3 weeks ago
- ☆112Updated last year
- We tested 3 approaches for Pair Trading: distance, cointegration and reinforcement learning approach.☆261Updated 2 years ago
- A tool for portfolio managers: use the Black-Litterman model to view optimal portfolio allocations using several of the most popular opti…☆78Updated 10 months ago
- Option visualization python package☆150Updated last year