Time Series and MCHT

Introduction

Over the past few weeks I’ve published articles about my new package, MCHT, starting with an introduction, a further technical discussion, demonstrating maximized Monte Carlo (MMC) hypothesis testing, bootstrap hypothesis testing, and last week I showed how to handle multi-sample and multivariate data. This is the final article where I explain the capabilities of the package. I show how MCHT can handle time series data.

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Stock Data Analysis with Python (Second Edition)

Introduction

This is a lecture for MATH 4100/CS 5160: Introduction to Data Science, offered at the University of Utah, introducing time series data analysis applied to finance. This is also an update to my earlier blog posts on the same topic (this one combining them together). I strongly advise referring to this blog post instead of the previous ones (which I am not altering for the sake of preserving a record). The code should work as of July 7th, 2018. (And sorry for some of the formatting; WordPress.com’s free version doesn’t play nice with code or tables.)

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Getting S&P 500 Stock Data from Quandl/Google with Python

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.

A few months ago I wrote a blog post about getting stock data from either Quandl or Google using R, and provided a command line R script to automate the task. In this post I repeat the task but with Python. If you’re interested in the motivation and logic of the procedure, I suggest reading the post on the R version. The Python version works similarly.

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Downloading S&P 500 Stock Data from Google/Quandl with R (Command Line Script)

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.

While most Americans have heard of the Dow Jones Industrial Average (DJIA), most people active in finance consider the S&P 500 stock index to be the better barometer of the overall American stock market. The 500 stocks included in the index are large-cap stocks seen as a leading indicator for the performance of stocks overall. Thus the S&P 500 and its component stocks are sometimes treated as “the market.”

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Walk-Forward Analysis Demonstration with 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.

Finally I can apply a walk-forward analysis!

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Getting Started with backtrader

A few weeks ago, I ranted about the R backtesting package quantstrat and its related packages. Specifically, I disliked that I would not be able to do a particular type of walk-forward analysis with quantstrat, or at least was not able to figure out how to do so. In general, I disliked how usable quantstrat seemed to be. The package’s interface seems flexible in some areas, inflexible in others, due to a strange architecture that I eventually was not willing to put up with anymore.

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Order Type and Parameter Optimization in quantstrat

DISCLAIMER: Any losses incurred based on the content of this post are the responsibility of the trader, not the author. The author takes no responsibility for the conduct of others nor offers any guarantees.

Introduction

You may have noticed I’ve been writing a lot about quantstrat, an R package for developing and backtesting trading strategies. The package strikes me as being so flexible, there’s still more to write about. So far I’ve introduced the package here and here, then recently discussed the important of accounting for transaction costs (and how to do so).

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