Concepts of Theory & Python code to speed up your project.
This article aims to explain how to extract features from signal in Statistical-Time domain and Frequency domain (it is also possible to extract features in Time-Frequency domain with Short-Time Fourier Transform or Wavelet Decomposition, but they need a separate article to be explained well).
The points that will be studied in this article are two:
1. Basics concept on Features Extraction
2. Features Extraction in Python
1. Basics concept on Features Extraction
To explain what we will talk about I borrow a definition of DeepAI:
“Feature extraction is a process of dimensionality reduction by which…
How to use Monte Carlo analysis on Python to evaluate the “hidden risks” of a trading strategy
Contents
- What is Drawdown?
- Calculate Drawdown on Equity
- Evaluate the Worst Case Scenario
What is Drawdown?
Drawdown is a fundamental concept in money management as it measures the cost in terms of losses of a trading system and therefore helps to assess its level of risk and efficiency in some way.
Drawdown is a term that indicates the amount of money (as a percentage of the total capital) lost when trading, and the consequent reduction of your initial capital.
Normally the drawdown is calculated by finding the difference between a relative peak in equity capital and a relative depression. …
This article aims to explain how to do a simple analysis of the pairs to be used for Freqtrade trading strategy.
- Transform json file to pandas dataframe
- Understand and calculate Expectancy
- Plotting rolling Expectancy
How to obtain and trasform backtest data
Freqtrade allows you to perform a backtest on the historical data of your strategy.
If - - export trades is added to the command to perform the backtest then you can also obtain a json file that saves all the buy and sell operations carried out during the backtest period.
An example of a command to perform the backtest is this:
freqtrade backtesting -c config.json --strategy…This short article aims to clarify the first aspects needed to start analyzing an equity portfolio through Python.
- Download share price
- Calculate stocks’ correlation
- Calculate portfolio’s return and volatility
How to download share price?
To download data easily and for free, you can rely on Yahoo Finance.
To do this, you need to import libraries that allow you to create a dataframe where you can enter data.
import pandas as pdIt will also need a function to download data.
from pandas_datareader import data as wbNow you can download share price that interests you.
Create a list with ticker symbols, define time period in which…
Matteo Gambera
I’m an industrial automation engineer interested in data science and finance.
