Quant Mashup - Python For Finance

Create a Personal Portfolio/Wealth Simulation in Python (Part 2) [Python For Finance]

Welcome to Part 2 of the series of posts dealing with how to build your own python based personal portfolio /wealth simulation model. At the end of the first post (which can be found here), we got to the point where we had modelled some inflows, some outflows, we had applied an annual salary raise

*- 1 year ago, 18 Jul 2021, 12:45pm -*

Create a Personal Portfolio/Wealth Simulation in Python [Python For Finance]

This post will introduce the first part (of multiple) where we build up a personal finance model to help simulate future time periods based on certain chosen input variables. We will input variables such as our current investable asset base, our annual salary, expected monthly inflows and outflows

*- 1 year ago, 14 Jun 2021, 09:23am -*

Black-Litterman Portfolio Allocation Model in Python [Python For Finance]

A while ago I posted an article titled “INVESTMENT PORTFOLIO OPTIMISATION WITH PYTHON – REVISITED” which dealt with the process of calculating the optimal asset weightings for a portfolio according to the classic Markowitz “mean-variance” approach. With this method we aim to maximise our

*- 1 year ago, 27 Nov 2020, 01:18am -*

Build a Financial Data Database with Python [Python For Finance]

Hi all, and welcome back to the site – I appreciate it has been an unexpectedly long time since I last posted…in fact my last post was around this time last year. Hopefully I can get back on the “treadmill” and churn out some articles at a somewhat faster rate than 1 a year over the next

*- 1 year ago, 25 Oct 2020, 11:56am -*

Equities Market Intraday Momentum Strategy in Python – Part 1 [Python For Finance]

For this post, I want to take a look at the concept of intra-day momentum and investigate whether we are able to identify any positive signs of such a phenomenon occurring across (quite a large) universe of NYSE stocks. It has been suggested that, for the wider market in general at least, there is a

*- 2 years ago, 23 Oct 2019, 11:46am -*

Modelling Bid/Offer Spread In Equities Trading Strategy Backtest [Python For Finance]

In this blog post I wanted to run a couple of quick experiments to see how clearly I was able to highlight the importance of incorporating various elements and components into a backtest that I admittedly often overlook in most of my posts – that is I make the assumption that they will be dealt

*- 2 years ago, 13 Oct 2019, 07:16pm -*

Time Series Decomposition & Prediction in Python [Python For Finance]

In this article I wanted to concentrate on some basic time series analysis, and on efforts to see if there is any simple way we can improve our prediction skills and abilities in order to produce more accurate results. When considering most financial asset price time series you would be forgiven for

*- 3 years ago, 22 Jul 2019, 09:22am -*

Investment Portfolio Optimisation with Python – Revisited [Python For Finance]

In this post I am going to be looking at portfolio optimisation methods, touching on both the use of Monte Carlo, “brute force” style optimisation and then the use of Scipy’s “optimize” function for “minimizing (or maximizing) objective functions, possibly subject to constraints”, as

*- 3 years ago, 2 Jul 2019, 11:08am -*

Ichimoku Trading Strategy With Python – Part 2 [Python For Finance]

This is part 2 of the Ichimoku Strategy creation and backtest – with part 1 having dealt with the calculation and creation of the individual Ichimoku elements (which can be found here), we now move onto creating the actual trading strategy logic and subsequent backtest. The Ichimoku approach

*- 3 years ago, 27 Jun 2019, 09:45am -*

Ichimoku Trading Strategy With Python [Python For Finance]

I thought it was about time for another blog post, and this time I have decided to take a look at the “Ichimoku Kinko Hyo” trading strategy, or just “Ichimoku” strategy for short. The Ichimoku system is a Japanese charting and technical analysis method and was published in 1969 by a reporter

*- 3 years ago, 26 Jun 2019, 10:04am -*

Python Monte Carlo vs Bootstrapping [Python For Finance]

In this article I thought I would take a look at and compare the concepts of “Monte Carlo analysis” and “Bootstrapping” in relation to simulating returns series and generating corresponding confidence intervals as to a portfolio’s potential risks and rewards. Both methods are used to

*- 3 years ago, 30 May 2019, 12:39pm -*

Multi-threading Trading Strategy Back-tests and Monte Carlo Simulations in Python [Python For Finance]

In this post I will be looking at a few things all combined into one script – you ‘ll see what I mean in a moment… Being a blog about Python for finance, and having an admitted leaning towards scripting, backtesting and optimising systematic strategies I thought I would look at all three at

*- 3 years ago, 19 Apr 2019, 03:54pm -*