You're reading from Hands-On Financial Trading with Python A practical guide to using Zipline and other Python libraries for backtesting trading strategies

Product type Paperback

Published in Apr 2021

Publisher Packt

ISBN-13 9781838982881

Length 360 pages

Edition 1st Edition

Languages

Python

Tools

NumPy

Concepts

Data Analysis

Authors (2):

Sourav Ghosh

Jiri Pik

View More author details

Table of Contents (15) Chapters

Preface

1. Section 1: Introduction to Algorithmic Trading

2. Chapter 1: Introduction to Algorithmic Trading FREE CHAPTER

3. Section 2: In-Depth Look at Python Libraries for the Analysis of Financial Datasets

4. Chapter 2: Exploratory Data Analysis in Python

5. Chapter 3: High-Speed Scientific Computing Using NumPy

6. Chapter 4: Data Manipulation and Analysis with pandas

7. Chapter 5: Data Visualization Using Matplotlib

8. Chapter 6: Statistical Estimation, Inference, and Prediction

9. Section 3: Algorithmic Trading in Python

10. Chapter 7: Financial Market Data Access in Python

11. Chapter 8: Introduction to Zipline and PyFolio

12. Chapter 9: Fundamental Algorithmic Trading Strategies

13. Other Books You May Enjoy

Appendix A: How to Setup a Python Environment

Introduction to Zipline and PyFolio

Backtesting is a computational method of assessing how well a trading strategy would have done if it had been applied to historical data. Ideally, this historical data should come from a period of time where there were similar market conditions, such as it having similar volatility to the present and the future.

Backtesting should include all relevant factors, such as slippage and trading costs.

Zipline is one of the most advanced open source Python libraries for algorithmic trading backtesting engines. Its source code can be found at https://github.com/quantopian/zipline. Zipline is a backtesting library ideal for daily trading (you can also backtest weekly, monthly, and so on). It is less suitable for backtesting high-frequency trading strategies.

PyFolio is an open source Python performance and risk analysis library consisting of financial portfolios that's closely integrated with Zipline. You can find its documentation at https...