pyquantsharp/algotrading

Algorithmic Trading Infrastructure

Algorithmic Trading

Sponsored by Vicarisi Ventures

- To learn more, visit our page: https://vicarisi.com/

Feature Set:

1. Free Historical Data via Tradier

- To learn more, visit Tradier: https://tradier.com/

2. High Performance Backtesting Engine

- Derive the profit / loss of a select indicator
- Run time optimized with Numba
- Pairs Trading 
- Options Trading 

3. Advanced Statistical Indicators

- Decision Tree Moving Average
- Ridge Regression Moving Average
- Ordinary Least Squares Moving Average
- Bayes Ridge Regression Moving Average

- Vix Volatility
- Close to Close Volatility
- Overnight Volatility
- Intraday Volatility
- Volatility of Volatility

- Correlation Matrix
- Volatility of Correlation

4. Alpha Generation

- Max Drawdown
- Calmar Ratio
- Sharpe Ratio
- Sortino Ratio
- Treynor Ratio

- Monte Carlo Simuation
- Statistical Arbitrage

5. Trade Optimization

- Brute Force
- Bisection Method
- Chandrupatla Method
- Simulated Annealing