Backtesting Trading Strategies in Python - DEEP DIVE
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Welcome
Course overview
Python notebook for the course
1. Preparing financial data for backtesting
Resampling for different data frequencies
Filling financial data
2. Different types of backtests
Pandas backtest
Looping backtest
Vectorised backtest
3. Parameter sweeps to gain insights
An example -- sweeping different moving average windows
Defining a metric
Visualisation -- 3D plots
Visualisation -- contour plots
How to ensure our strategy also delivers for the future?
Assessing the best parameters -- are they viable trades?
4. Basics of portfolio optimisation
Varying asset weightings -- preparation
Randomising asset weightings
Finding the best asset weightings
Evaluating the performance of the optimised portfolio
5. Advanced analysis
Sortino ratio
CAGR (Compound Annual Growth Rate)
Beta
Monte Carlo simulation -- different return paths
Distribution of returns
Assessing the strategy further -- trimming the tails
6. Test your knowledge!
Exercises without answers
Exercises with answers
Explanations
Products
Course
Section
3. Parameter sweeps to gain insights
3. Parameter sweeps to gain insights
Backtesting Trading Strategies in Python - DEEP DIVE
Buy now
Learn more
Welcome
Course overview
Python notebook for the course
1. Preparing financial data for backtesting
Resampling for different data frequencies
Filling financial data
2. Different types of backtests
Pandas backtest
Looping backtest
Vectorised backtest
3. Parameter sweeps to gain insights
An example -- sweeping different moving average windows
Defining a metric
Visualisation -- 3D plots
Visualisation -- contour plots
How to ensure our strategy also delivers for the future?
Assessing the best parameters -- are they viable trades?
4. Basics of portfolio optimisation
Varying asset weightings -- preparation
Randomising asset weightings
Finding the best asset weightings
Evaluating the performance of the optimised portfolio
5. Advanced analysis
Sortino ratio
CAGR (Compound Annual Growth Rate)
Beta
Monte Carlo simulation -- different return paths
Distribution of returns
Assessing the strategy further -- trimming the tails
6. Test your knowledge!
Exercises without answers
Exercises with answers
Explanations
6 Lessons
An example -- sweeping different moving average windows
Defining a metric
Visualisation -- 3D plots
Visualisation -- contour plots
How to ensure our strategy also delivers for the future?
Assessing the best parameters -- are they viable trades?