لایب سان

Author(s): Andreas F. Clenow

Year: 2019

ISBN: 109198378X,9781091983786

1 ABOUT THIS BOOK The Trading Strategies in this Book How to Read this Book How this book is written How the code is written Errata Support 2 SYSTEMATIC TRADING Trading Approach Validation Scientific Approach Consistent Methodology Time Management 3 DEVELOPING TRADING MODELS Model Purpose Rules and Variations Handling Data Asset Class Investment Universe Allocation and Risk Level Entry and Exit Rules Rebalancing 4 FINANCIAL RISK Quantifying Risk Mark to Market Common Risk Fallacies Risk as Currency to Buy Performance 5 INTRODUCTION TO PYTHON Some Assembly Required Python Emerges as the Logical Choice Programming Teaching Approach Installing Python on your Computer Let’s Run Some Code Working with Jupyter Notebook Dictionary Lookup Conditional Logic Common Mistakes Installing Libraries 6 BRING OUT THE PANDAS Documentation and Help Simple Python Simulation Making a Correlation Graph Prettier Graphs 7 BACKTESTING TRADING STRATEGIES Python Backtesting Engines Zipline and Quantopian Pros and Cons Installing Zipline Problems with Installing Zipline Patching the Framework Zipline and Data Ingesting the Quandl Bundle Installing Useful Libraries Where to Write Backtest Algos Your First Zipline Backtest Portfolio Backtest Data Used for this Book 8 ANALYZING BACKTEST RESULTS Installing PyFolio Portfolio Algorithm to Analyze Analyzing Performance with PyFolio Custom Analysis Day Snapshot Custom Time Series Analytics 9 EXCHANGE TRADED FUNDS The Good The Bad The Worst Shorting Exchange Traded Funds 10 CONSTRUCTING ETF MODELS Asset Allocation Model 11 EQUITIES The Most Difficult Asset Class A word on Methodology Equity Investment Universe Dividends 12 SYSTEMATIC MOMENTUM Replicating this Model Momentum Model Rules Summary Investment Universe Momentum Ranking Position Allocation Momentum Model Logic Downside Protection Momentum Model Source Code Performance Equity Momentum Model Results 13 FUTURES MODELS Futures Basics Futures Mechanics and Terminology Futures and Currency Exposure Futures and Leverage 14 FUTURES MODELING AND BACKTESTING Continuations Zipline Continuation Behavior Contracts, Continuations and Rolling 15 FUTURES TREND FOLLOWING Principles of Trend Following Revisiting the Core Trend Model Model Purpose Investment Universe Trading Frequency Position Allocation Entry Rules Exit Rules Costs and Slippage Interest on Liquidity Trend Model Source Code Core Trend Model Results 16 TIME RETURN TREND MODEL Investment Universe Trading Frequency Position Allocation Trading Rules Dynamic Performance Chart Time Return Source Code Time Return Model Performance Rebalancing 17 COUNTER TREND TRADING Counter Model Logic Quantifying Pullbacks Rules Summary Counter Trend Source Code Counter Trend Results 18 TRADING THE CURVE Term Structure Basics Quantifying Term Structure Effect Curve Model Logic Curve Trading Source Code Curve Trading Results Model Considerations 19 COMPARING AND COMBINING MODELS Combining the Models Implementing a Portfolio of Models 20 PERFORMANCE VISUALIZATION AND COMBINATIONS Storing Model Results How the Model Performance Analysis was done How the Combined Portfolio Analysis was done 21 YOU CAN’T BEAT ALL OF THE MONKEYS ALL OF THE TIME Mr. Bubbles goes to Wall Street The Problem is with the Index Finding Mr. Bubbles 22 GUEST CHAPTER: MEASURING RELATIVE PERFORMANCE 23 IMPORTING YOUR DATA Making a Bundle Zipline and Futures Data Futures Data Bundle Patching the Framework 24 DATA AND DATABASES Your Very Own Securities Database Installing MySQL Server Making an Equities Time-Series Table Populating the Database Querying the Database Making a Database Bundle 25 FINAL WORDS – PATH FORWARD Build Your Own Models Other Backtesting Engines How to Make Money in the Markets REFERENCES INDEX

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