🐍Quant Finance and Algorithmic Trading using Python

Work In Progress...

Some Programs to demonstrate Quantitative Finance and Algorithmic Trading using Python

FILES:

• 0-1-portfolio-allocation-sharpe-ratio.py
  • A program to demonstrate creation of a Portfolio, calculation of Cumulative Returns, determination of Total Portfolio Value by comparing different positions and analysis of returns using Sharpe Ratio.
• 0-2-portfolio-optimization-algorithms.py
  • A program to demonstrate various Portfolio Optimization techniques.
  • Finding Optimal Portfolio using the Monte Carlo Simulation to randomly allocate weights and compute the best Sharpe Ratio.
  • Finding Optimal Portfolio using SciPy to mathematically minimize the negative Sharpe Ratio (thereby maximizing the positive Sharpe Ratio).
  • Calculating Effecient Frontier to determine the highest expected return for a defined level of risk or the lowest risk for a given level of expected return
• 0-3-capital-asset-pricing-model.py
  • A program to demonstrate the Capital Asset Pricing Model as a Linear Regression.
  • 
• 0-4-trading-algorithm-basics-1.py
• 0-5-trading-algorithm-basics-2.py
• 0-6-trading-algorithm-basics-3.py
• 0-7-trading-algorithm-basics-4.py
• 1-1-0-trading-algorithm-pairs-trading-research.py
  • A program to calculate the normalized spread between two closely correlated asset(s) and demonstrate the Pairs Trading Algorithm
• 1-1-1-trading-algorithm-pairs-trading.py
  • An implementation of the Pairs Trading Algorithm (implemented and run in the Quantopian IDE)
• 1-2-0-trading-algorithm-bollinger-bands.py
  • An implementation of the Bollinger Bands Trading Algorithm (implemented and run in the Quantopian IDE)
• 1-3-0-pipelines-research.py
  • A program to demonstrate Quantopian Pipelines and related concepts - factors, filters, screens, masks and classifiers