fynance 1.0.4

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 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):

• 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.