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We have set out on a journey to build a systematic trading strategy.

This is our story…

Asset Classes

Equities Deciding on a universe to trade: If mirroring an index you will need to take the index joiners and leavers into account. Reduce survivorship bias Handling dividends Option 1 is to use total return time series which assumes dividends are directly reinvested into the same stock (easy to model). Option 2 is to leaveContinue reading “Asset Classes”

Complete Backtest Using Ingested Zipline Data

Import necessary functions in Python Set target weights for each ticker Set rebalance rules, i.e. monthly Set benchmark, i.e. SPY Set start and end dates – should match trade dates in zipline ingested files Create benchmark file Make sure benchmark dates align with trade dates Run backtest analysis If there are modules to import –Continue reading “Complete Backtest Using Ingested Zipline Data”