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

Project description

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This is a beta version of python package [*] of machine learning, econometrics and statistical tools 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.

Installation

From pip

$ pip install fynance

From GitHub

Use the command:

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

$ cd Fynance

$ 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 1.0.0
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