fynance 1.0.0

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

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):

• 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):

[*]

Package not achieved, always in progress. All advice is welcome.