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Python and Cython scripts of machine learning, econometrics and statistical tools for financial analysis [In progress]

Project description

PyPI - Python Version https://img.shields.io/pypi/v/fynance.svg https://img.shields.io/pypi/status/fynance.svg?colorB=blue https://travis-ci.org/ArthurBernard/Fynance.svg?branch=master https://img.shields.io/github/license/ArthurBernard/fynance.svg https://pepy.tech/badge/fynance Documentation Status Language grade: Python

fynance is a beta version of python/cython project [*] that includes several machine learning, econometric and statistical tools specialy adapted for trading strategy and financial analysis.

Description

This project contains several python (and cython) tools for trading strategy and financial analysis:

  • Neural Networks
  • Feature extraction methods
  • Financial indicators
  • Backtesting
  • Econometric models
  • Notebooks with some exemples
  • Etc.

Please refer you to the documentation to see more details on different tools available in fynance package. Documentation contains some descriptions and examples for functions, classes and methods.

Installation

From pip

$ pip install fynance

From GitHub

Use the command:

$ git clone https://github.com/ArthurBernard/Fynance.git

$ cd Fynance

$ python setup.py build_ext –inplace

$ python setup.py install –user

Compile from cython files

If you want to compile fynance package from cython files you must edit setup.py file and set :: USE_CYTHON = True

And use the commad:

$ python setup.py build_ext –inplace

$ python setup.py install –user

Demo

  • Backtest (performance, drawdown and rolling sharpe ratio) of a trading strategy did with a rolling neural network (see Notebooks/Exemple_Rolling_NeuralNetwork.ipynb for more details):
https://github.com/ArthurBernard/Fynance/blob/master/pictures/backtest_RollNeuralNet.png
  • Loss functions and performances (trading strategy) of five rolling neural networks on the training and testing period (see Notebooks/Exemple_Rolling_NeuralNetwork.ipynb for more details):
https://github.com/ArthurBernard/Fynance/blob/master/pictures/loss_RollNeuralNet.png
[*]Package not achieved, always in progress. All advice is welcome.

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Files for fynance, version 1.0.8
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