Python and Cython scripts of machine learning, econometrics and statistical tools for financial analysis [In progress]
Project description
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):
Project details
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