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Month: March 2019

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Thefmzinc
Event-Driven Backtesting with Python - Part VI
Posted on March 26, 2019March 26, 2019

Event-Driven Backtesting with Python - Part VI

This article continues the discussion of event-driven backtesters in Python. In the previous article we considered a portfolio class hierarchy that handled current positions, generated… ( Read More )

Thefmzinc
Event-Driven Backtesting with Python - Part V
Posted on March 25, 2019March 25, 2019

Event-Driven Backtesting with Python - Part V

In the previous article on event-driven backtesting we considered how to construct a Strategy class hierarchy. Strategies, as defined here, are used to generate signals,… ( Read More )

Thefmzinc
Event-Driven Backtesting with Python - Part IV
Posted on March 25, 2019March 25, 2019

Event-Driven Backtesting with Python - Part IV

The discussion of the event-driven backtesting implementation has previously considered the event-loop, the event class hierarchy and the data handling component. In this article a… ( Read More )

Thefmzinc
Event-Driven Backtesting with Python - Part III
Posted on March 23, 2019March 23, 2019

Event-Driven Backtesting with Python - Part III

In the previous two articles of the series we discussed what an event-driven backtesting system is and the class hierarchy for the Event object. In… ( Read More )

Thefmzinc
Event-Driven Backtesting with Python - Part II
Posted on March 23, 2019March 23, 2019

Event-Driven Backtesting with Python - Part II

In the last article we described the concept of an event-driven backtester. The remainder of this series of articles will concentrate on each of the… ( Read More )

Thefmzinc
Event-Driven Backtesting with Python - Part I
Posted on March 22, 2019March 22, 2019

Event-Driven Backtesting with Python - Part I

We've spent the last couple of months on QuantStart backtesting various trading strategies utilising Python and pandas. The vectorised nature of pandas ensures that certain… ( Read More )

Thefmzinc
Successful Backtesting of Algorithmic Trading Strategies - Part II
Posted on March 21, 2019March 21, 2019

Successful Backtesting of Algorithmic Trading Strategies - Part II

In the first article on successful backtesting we discussed statistical and behavioural biases that affect our backtest performance. We also discussed software packages for backtesting,… ( Read More )

Thefmzinc
Successful Backtesting of Algorithmic Trading Strategies - Part I
Posted on March 20, 2019March 20, 2019

Successful Backtesting of Algorithmic Trading Strategies - Part I

This article continues the series on quantitative trading, which started with the Beginner's Guide and Strategy Identification. Both of these longer, more involved articles have… ( Read More )

Thefmzinc
Turtle Trading Strategy
Posted on March 20, 2019March 20, 2019

Turtle Trading Strategy

Thefmzinc
Value at Risk (VaR) for Algorithmic Trading Risk Management
Posted on March 20, 2019March 20, 2019

Value at Risk (VaR) for Algorithmic Trading Risk Management

Value at Risk (VaR) for Algorithmic Trading Risk Management Estimating the risk of loss to an algorithmic trading strategy, or portfolio of strategies, is of… ( Read More )

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