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    Trading Strategy Backtest

    Python Backtesting Mean Reversion – Part 2

    by s666 9 May 2016

    Hi all, welcome back. This blog post is going to deal with creating the initial stages of our Python backtesting mean reversion script – we’re going to leave the “symbol pairs” function we created in the last post behind for a bit (we’ll come back to it a bit later) and use a single pair of symbols to run our first few stages of the backtest to keep it simple.

    Once we have the script working for a single input of one pair of symbols, we can very easily adapt it at the end to work with the symbol pairs function created previously.

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    9 May 2016 8 comments
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  • Trading Strategy Backtest

    Python Backtesting – ETF Mean Reversion – creating the ticker pairs

    by s666 28 April 2016
    by s666 28 April 2016

    Right, welcome back and sorry for the slight delay between posts…I’ve been way more busy than I had hoped. Onto our python backtesting! So this, I guess, could be considered the first proper post regarding the ETF mean reversion backtest script we’re trying to come up with. In the last post we went over creating our SQLite database and populating…

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  • Trading Strategy Backtest

    Scraping ETF data from the web and sticking it in an SQLite3 database

    by s666 11 April 2016
    by s666 11 April 2016

    SQLite database python web scrape… As promised, here is the first part of my “ETF mean reversion strategy backtest” series. This article deals with scraping ETF data from the web and sticking it in an SQLite3 database. I’m using SQLite as it’s very easy to set up, and requires nothing complex to get up and running. Firstly you need to…

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  • Trading Strategy Backtest

    Python Mean Reversion Backtest for ETFs

    by s666 10 April 2016
    by s666 10 April 2016

    Python Mean Reversion Backtest for ETFs… I have been looking into using Python to create a backtesting script to test mean reversion strategies based on cointegrated ETF pairs. I have broken down the process in my head into several stages, each of which will form the basis of my next few blog posts. I’m not sure how many I will…

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  • Basic Data Analysis

    What are ‘skew’ lookin’ at? – calculating skew and kurtosis with Python…

    by s666 4 April 2016
    by s666 4 April 2016

    Python…skew…kurtosis… So you have a series of returns you wish to analyse….mean and variance are easy to calculate…how easy does Python make it to calculate skew and kurtosis? When we look at a series of investment returns, we tend to concentrate on the first 2 ‘moments’ of the distribution; that is the mean and the variance of the returns. The…

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  • Basic Data Analysis

    Python Pandas…Eats, shoots and leaves…?

    by s666 23 March 2016
    by s666 23 March 2016

    Ok so I thought it was about time we got into the nitty gritty of some “financial analysis”, rather than have me spout info regarding available beginners courses like I’m some sort of salesman. “I want to do some analysis”, I hear you scream… Well ok then…let’s start. With the Python Pandas module. So financial analysis usually starts by asking…

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  • Beginners Resources

    Want to learn Python? Coursera…of course!

    by s666 17 March 2016
    by s666 17 March 2016

    As promised in the last blog post, it’s time to review some of the beginner resource material mentioned previously, aimed at those who want to learn Python. I’ve decided to start off with the courses provided by Coursera (www.coursera.com). They were my second port of call after www.codecademy.com when I first started learning Python on and off, about a year…

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  • Beginners Resources

    Learning Python – From a single acorn grows…

    by s666 17 March 2016
    by s666 17 March 2016

    Ok, so…it’s time to get started. I thought the best thing to begin with would be to do a bit of research regarding available resources for beginner Python students. As I mentioned in a previous post, I have dabbled on and off (although very lightly) with learning Python, using some starter resources over the last year or so. This means…

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  • Beginners Resources

    Learn Python for finance, trading and data analysis –the journey begins!

    by s666 17 March 2016
    by s666 17 March 2016

    I will be posting here regarding my journey to learn Python for use in designing and building automated trading strategies, along with general data analysis and perhaps (eventually) some web based python involving Flask and Django. I have been meaning to do this for some time (especially on the automated trading strategy side of things), having worked as a trader…

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About Me

About Me

I am a current PhD Computer Science candidate, a CFA Charterholder (CFAI) and Certified Financial Risk Manager (GARP) with over 16 years experience as a financial derivatives trader in London. I also hold an MSc in Data Science and a BA in Economics. Finance / Machine Learning / Data Visualization / Data Science Consultant I am mostly interested in projects related to data science, data visualization, data engineering and machine learning, especially those related to finance.

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