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cce2_8_10_12_13NewPriceLines_ContinuationGap_pdfToCVS_V-shaped_minor high小低点_高短蜡烛MeasureRule新版quandl
flat baseThirteen New Price lines, Eight New Price Lines, Ten New Price Lines, Twelve New Price Lines,Seven New Price Lines, Nine New Price Lines,Choppy, V-Shaped Moves, minor high, minor low, measure rule(Target Price),Tall candlestick, short candlestick,原创 2024-09-18 17:46:25 · 38 阅读 · 0 评论 -
cce2_BullishBearishBreakaway_LadderBottomTop_RisingFalling3Method_MatHold_AfterBottomGapUpTopGapDown
After Bottom Gap Up, After Top Gap Down_Bullish Breakaway, Bearish Breakaway, Ladder Bottom, Ladder Top, Falling Three Methods, Rising Three Methods, Bullish Mat Hold, Bearish Mat Hold原创 2024-09-08 15:04:47 · 65 阅读 · 0 评论 -
cce2_TurnUpDown_BullishBearishStickSandwich_SqueezeAlert_Three-LineStrike_3GapDownsUps_Concealing小燕子
Concealing Baby Swallow_Bullish Stick Sandwich_Bearish Stick Sandwich_Turn Up_Turn Down_Bullish Squeeze Alert_Bearish Squeeze Alert_Bullish Three-Line Strike_Bearish Three-Line Strike_Three Gap Downs原创 2024-08-11 04:56:53 · 73 阅读 · 0 评论 -
Multicolor Dragon-MCD 六彩神龙_Momentum RSI_TradingView RMA SMA_MooMOO富途牛牛
MCDX 六彩神龙RSIRSIwithRSI。原创 2024-06-30 09:01:55 · 231 阅读 · 0 评论 -
mpf9_Backtesting_mean-reverting_threshold_model_Survivorship bias_sklearn打印默认参数_Gini_k-mean_knn_CART
mpf9_Backtesting system_mean-reverting_threshold_model_Survivorship bias_sklearn打印默认参数_Gini_k-mean_knn_CARTree_z-score_原创 2022-09-03 02:50:48 · 4440 阅读 · 0 评论 -
mpf11_Learning rate_Activation_Loss_Optimizer_Quadratic Program_NewtonTaylor_L-BFGS_Nesterov_Hessian
Linear,Sigmoid,Hard Tanh,Leaky ReLU,PRelu,SeLU,Softplus,Softsign,MAE,MSE,Huber, Logistic,Cross entropy,Focal,Hinge,Exponential,Softmax, Quantile,SGD,Momentum,NAG,AdaGrad,RMSprop,AdaMax,Nadam,Adadelta,Timedecay,Piecewise constant,Performance,1cycle,Hessian原创 2022-10-13 04:48:08 · 952 阅读 · 0 评论 -
mpf8_Building an Algorithmic Trading Platform_OANDA v20_pyyaml_mean-reverting_trend-following_VaRisk
mpf8_Building an Algorithmic Trading Platform_OANDA v20_pyyaml_mean-reverting_trend-following_VaR(value-at-risk)_api原创 2022-08-24 04:27:03 · 1424 阅读 · 2 评论 -
mpf10_yfinan_Explained variance_R2_ols_cointegration_Gradient Boost_lbfgs_热力图sns ticklabel_SVM_confu
mpf10_yfinan_Explained variance_cointegration_Gradient Boost_lbfgs_sns ticklabel_SVM svc_confusion matrix_heatmap_accuracy score, precision score, recall score, F1 score_MSE, MAE, explained variance score, R2 score_OLS, ridge, LASSO, elastic net, L1 L2正则原创 2022-09-14 19:05:33 · 1823 阅读 · 0 评论 -
pa8_Contract for Difference CFD Trading_Oanda_git_log return_Momentum Strategy_Leverage_margin_tpqoa
pa8_Contract for Difference CFD Trading_Oanda_git_log return_Momentum Strategy_Leverage_margin_tpqoa原创 2022-08-23 19:52:35 · 2682 阅读 · 1 评论 -
f16_Automated Trading strategy_Kelly Criterion投资比_Vectorized Backtest_drawndown_value-at-risk_socket
AutomatedTrading_the Kelly criterion长期-资本投资比例fraction-增长率最大化原创 2022-06-14 07:53:09 · 1548 阅读 · 1 评论 -
f15_Trading Strategies2_sma_AAPL_Log return_EUR_OLS regress_df highlight_Lagrang_GaussianNB_DNNClass
[T]hey were silly[ˈsɪli]傻瓜,笨蛋 enough to think you can look at the past to predict the future. —The Economist This chapter is about the vectorized backtesting of algorithmic trading strategies. The term algorithmic trading strategy is used to describe...原创 2022-04-25 21:06:54 · 1314 阅读 · 0 评论 -
pfc1_whylog return Nominal Inflation_CPI_Realized Volati_outlier_distplot_Jarque–Bera_pAcf_sARIMAx
pff1_why log return Nominal Inflation Adjusted Return_CPI_Realized Volatility_Identifying outliers_distplot displot hist_Jarque–Bera_pAcf_Acf_sARIMAx_AutoReg vs sm.OLS _ARIMA_autoCorrelation(Pearsons R)_leverage effect_skewness_Excess kurtosis_Q-Q plot_SMA原创 2022-11-05 08:45:38 · 2916 阅读 · 2 评论 -
ts13_install tf env_RNN_Bidirectional LSTM_GRU_Minimal gated_TimeDistributed_Time Series Forecasting
ts13_install tf env_RNN_Bidirectional LSTM_GRU_Minimal gated_TimeDistributed_Time Series Forecasting原创 2023-01-20 10:47:40 · 1034 阅读 · 1 评论 -
ts9_annot_arrow_hvplot PyViz interacti_bokeh_STL_seasonal_decomp_HodrickP_KPSS_F-stati_Box-Cox_Ljung
ts9_annot_arrow_interactive bokeh_STL(add:cycle +trend+residual normality)_seasonal_decomp(add&multiplicative)_Hodrick-Prescott(add:cycle trend)_KPSS_F-statistic_Box-Cox_Ljung-Box(autocorrelation:group of lags)_homo同方_heter异方差_Q-Q probabilityPlot freq=None原创 2022-11-18 02:21:12 · 6258 阅读 · 2 评论 -
t9_Creating a Backtester in Python_hdf_h5py_tables_dataframe_PostgreSQL_thread_no attribute ‘cursor‘
By now, we know how to implement a trading strategy idea. We learned how to write the code to make it run in a trading system. The final step before going live with a trading strategy is backtesting. Whether you want to be more confident in the perfor...原创 2022-02-02 05:38:07 · 2257 阅读 · 0 评论 -
t6_Managing the Risk_limit_metrics of Algorithmic Strategies_Sharpe_adjust_trade side_position_share
.原创 2022-01-03 18:08:02 · 4501 阅读 · 2 评论 -
ts8_Outlier Detection_plotly_sns_text annot_modified z-score_hist_Tukey box_cdf_resample freq_Quanti
ts8_Outlier Detection_plotly_sns_text annot_modified z-score_hist_Tukey box_cdf_resample freq_Quantiles等分 versus Quartiles versus Percentiles_Number of NYC taxi passengers_mark原创 2022-12-23 10:31:59 · 601 阅读 · 0 评论 -
ts15_Forecast multiple seas_mSTL_make_subplot_rMSPE_UCM_date format_NeuralProphet_changepoint_StateS
ts15_Forecast multiple seasons_mSTL_make_subplots_rMSPE_UCM_date format_NeuralProphet_changepoints_State-Space_plot_components原创 2023-02-02 20:21:32 · 2610 阅读 · 0 评论 -
ts14_cbLOFOutlier_PyOD knn BallTree_justify_percentile_plotly text_IsolationForest_COPOD_MAD_PyCaret
ts14_cbLOFOutlier_PyOD knn BallTree_justify_percentile_plotly text_IsolationForest_COPOD_MAD_PyCaret原创 2023-01-25 15:13:11 · 403 阅读 · 0 评论 -
t8_Connecting to Trading Exchanges_WMFrame 5.1_PowerShell_quickFIX_colab
At this point, we have a good understanding of how to write a trading system and writing the code for all the critical components. We went into detail about book building, creating trading signals, and getting a market response. In this chapter,...原创 2022-01-24 20:31:11 · 662 阅读 · 0 评论 -
ts10_2Univariate TS模型_pAcf_bokeh_AIC_BIC_combine seasonal_decompose twinx ylabel_bold partial title
ts10_2Univariate TS seasonal模型_pAcf_bokeh_AIC_BIC_combine 2 seasonal_decompose plot and twinx ylabel_bold partial title原创 2022-11-29 00:58:37 · 597 阅读 · 0 评论 -
ts12_2Multi-step Forecast_sktime_KNeighbors_WindowSplitter_ForecastingGridSearchCV_exog_EnsembleFore
AutoEnsembleForecaster_EnsembleForecaster_exog Endog ConditionalDeseasonalizer_load_macroeconomic_LinearRegression_RandomForestRegressor原创 2023-01-13 09:30:48 · 568 阅读 · 0 评论 -
ts7_Missing_imputation_interpolation_MICE_NaN NaT fillNA_IterativeImputer_FeatureUnion_iloc_识别列表连续组
ts7_Missing_imputation_interpolation_MICEData_NaN NaT fillNA_IterativeImputer_FeatureUnion_iloc_group_consecutive_BaggingRegressor_ExtraTreesRegressor_ElasticNet_BayesianRidge_LinearRegression_ SimpleImputer_KNeighborsRegressor_pipeline_plot_imputed_hist原创 2022-12-30 17:56:45 · 790 阅读 · 0 评论 -
pffs15_Shapiro_Anderson_normaltest_skewness_Sortino_Bartlett_homoskedasticity_heteroskedasticity
pffs15_Shapiro_Anderson_normaltest_skewness_Sortino_Bartlett_homoskedasticity_heteroskedasticity原创 2022-12-17 05:26:01 · 1199 阅读 · 1 评论 -
t10_Adapting to Market Participantsand Conditions
So far, we've gone over all the concepts and ideas involved in algorithmic trading. We went from introducing the different components and players of an algorithmic trading ecosystem to going over practical examples of trading signals, adding predictiv...原创 2022-02-13 20:19:15 · 4167 阅读 · 0 评论 -
t7_Building a Trading System in Python_unittest_deque
We have learned how to create a trading strategy by analyzing historical data. In this chapter, we are going to study how to convert data analysis into real-time software that will connect to a real exchange to actually apply the theory that you've pr...原创 2022-01-19 00:57:05 · 1123 阅读 · 0 评论 -
tb8_Digging Deeper_Clustering_Standard Distributions_Forecasting_tableau + python_Season_Trends
The rapid visual analysis that is possible using Tableau is incredibly useful for answering numerous questions and making key decisions. But it only barely scratches[ˈskrætʃɪz]擦,刮,搔 the surface of the possible analysis. For example, a simple scatterpl...原创 2022-03-26 08:37:07 · 4687 阅读 · 1 评论 -
ts11_pmdarima_edgecolor_bokeh plotly_Prophet_Fourier_VAR_endog exog_Granger causality_IRF_Garch vola
ts11_pmdarima_edgecolor_bokeh plotly_Prophet_Fourier_VAR_endog exog_Granger causality_IRF_Garch原创 2022-12-12 04:11:35 · 4180 阅读 · 1 评论 -
t3_Predicting the Markets w ML_sklearn_scatter_PairGrid_R-squared_log returns_Lasso_ridge_KNN_SVM_LR
In the last chapter, we learned how to design trading strategies, create trading signals, and implement advanced concepts, such as seasonality in trading instruments. Understanding those concepts in greater detail is a vast field comprising stochastic...原创 2021-12-03 23:11:00 · 5664 阅读 · 0 评论 -
t4_Trading Strategies(dual SMA_Naive_Turtle_pair_Pearson_z-scores_ARIMA_autoregressive_Dickey–Fuller
During the previous chaptershttps://blog.csdn.net/Linli522362242/article/details/121551663, we used statistical methods to predict market price movement from historical data. You may think that you know how to manipulate data, but how can these stati...原创 2021-12-12 09:06:44 · 2241 阅读 · 2 评论 -
t2_Deciphering the Market_ticklabels_sma_ewma_apo_macd_Bollinger_Momentum_statsmodels_adfuller_ARIMA
Deciphering解读 the Markets with Technical AnalysisIn this chapter, we will go through some popular methods of technical analysis and show how to apply them while analyzing market data. We will perform basic algorithmic trading using market trends, suppo..原创 2021-11-25 18:32:44 · 3475 阅读 · 4 评论 -
t5_Sophisticated Algorithmic Strategies(MeanReversion+APO+StdDev_TrendFollowing+APO)_StatArb统计套利_PnL
we will explore more sophisticated[səˈfɪstɪkeɪtɪd]复杂的 trading strategies employed by leading market participants in the algorithmic trading business. We will build on top of the basic algorithmic strategies and learn about more advanced approaches (s...原创 2021-12-26 19:51:50 · 58236 阅读 · 0 评论 -
ts6_datetime_format_Timestamp_NaN NaT NA None_tz_localize_convert_Holidays_CustomBusinessHour_offset
ts6_datetime_format_Timestamp_NaN NaT NA None_tz_localize_convert_Holidays_CustomBusinessHour_offset原创 2023-02-20 19:00:49 · 549 阅读 · 0 评论 -
ts12_Multi-step Forecast_sktime_bold_Linear Regress_sMAPE MASE_warn_plotly acf vlines_season_summary
Linear_Elastic Net_Ridge_Huber_Lasso Regression_ForecastingHorizon_Deseasonalizer_Detrender_NaiveForecaster_ make_reduction _TransformedTargetForecaster_test_heteroskedasticity_test_serial_correlation_bse(std err)_SARIMAX原创 2023-01-12 02:13:03 · 1726 阅读 · 1 评论 -
t1_Algorithmic Trading Fundamental_pandas_datareader_stackplot_goog_datetimeindex to date column
Setting up your Zerodha account This appendix will help you set up your broking account with Zerodha ( https://zerodha.com/ ). The following sections are explained in this appendix:Opening a Zerodha account online Logging in to the Zerodha tr...原创 2021-11-17 21:35:58 · 1963 阅读 · 0 评论 -
ts10_Univariate TS模型_circle mark pAcf_ETS_unpack product_darts_bokeh band interval_ljungbox_AIC_BIC
ts10_Univariate TS模型_circle mark pAcf_ETS_unpack product_darts_bokeh band interval_ljungbox_AIC_BIC_search原创 2022-11-27 17:50:12 · 1637 阅读 · 0 评论 -
mpf7_CBOE VIX Volatility derivatives_S&P 500 Index_near_next option_Why log return_Kurtosis_Skew_OLS
mpf7_CBOE VIX Volatility derivatives_S&P 500 Index_near_next option_Why log return_Kurtosis_Skew_OLS原创 2022-08-14 20:11:57 · 2473 阅读 · 1 评论 -
mpf6_Time Series Data_quandl_更正kernel PCA_AIC_BIC_trend_log_return_seasonal_decompose_sARIMAx_ADFull
mpf6_Time Series Data_quandl_更正kernel PCA_AIC_BIC_trend_log_return_seasonal_decompose_sARIMAx_Augmented Dickey-Fuller Test_ADF_Non-stationary time series_P-values_unit root_likelihood function原创 2022-08-10 08:54:01 · 1772 阅读 · 2 评论 -
mpf5_定价Bond_yield curve_Spot coupon_duration_有效利率_连续复利_远期_Vasicek短期_CIR模型Derivatives_Tridiagonal_ppf
price Bond_yield curve_Spot rate Zero ratezero-coupon bond_bond duration and convexity_effective interest rate_Continuously compounded rate/interest_forward rates_effective interest rate_Vasicek model_Cox-Ingersoll model_Rendleman and Bartter model_Brenna.原创 2022-08-02 05:41:32 · 5860 阅读 · 0 评论 -
mpf4_定价欧式美式障碍Options_CRR_Leisen-Reimer_Greeks_二叉树三叉树网格_Finite differences(显式隐式)Crank-Nicolson_Imp波动率
mpf4_pricing European, American options and exotic options_CRR(Cox-Ross-Rubinstein)_Leisen-Reimer_Greeks_binomial trees_trinomial trees_Lattices_Finite differences(explicit method, implicit method)Crank-Nicolson_bisection_implied volatility curve原创 2022-07-18 09:24:36 · 31767 阅读 · 0 评论