Get Started Learning Python for Data Science with “Unpacking NumPy and Pandas”

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Stock Trading Analytics and Optimization in Python with PyFolio, R’s PerformanceAnalytics, and backtrader

DISCLAIMER: Any losses incurred based on the content of this post are the responsibility of the trader, not me. I, the author, neither take responsibility for the conduct of others nor offer any guarantees. None of this should be considered as financial advice; the content of this article is only for educational/entertainment purposes.

Introduction

Having figured out how to perform walk-forward analysis in Python with backtrader, I want to have a look at evaluating a strategy’s performance. So far, I have cared about only one metric: the final value of the account at the end of a backtest relative. This should not be the only metric considered. Most people care not only about how much money was made but how much risk was taken on. People are risk-averse; one of finance’s leading principles is that higher risk should be compensated by higher returns. Thus many metrics exist that adjust returns for how much risk was taken on. Perhaps when optimizing only with respect to the final return of the strategy we end up choosing highly volatile strategies that lead to huge losses in out-of-sample data. Adjusting for risk may lead to better strategies being chosen.

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Where to Go from Here? Tips for Building Up R Experience

At the University of Utah, I teach the R lab that accompanies MATH 3070, “Applied Statistics I.”” None of my students are presumed to have any programming experience, and they never hesitate to remind me of that fact, especially when they are starting out. When I create assignments and pick problems, I often can write a one- or three-line solution in thirty seconds that students will sometimes spend four hours trying to solve. They then see my solution and slap their foreheads at its simplicity. I can be tricky with my solutions. For example, suppose you wish to find the sample proportion for a certain property. A common approach (or at least the one used in the textbook our course uses, Using R for Introductory Statistics by John Verzani) looks like this:

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