Python Backtesting - ETF Mean Reversion - creating the ticker pairs | Trading Strategy Backtest

Right, welcome back and sorry for the slight delay between posts…I’ve been way more busy than I had hoped. Onto our python backtesting! So this, I guess, could be considered the first proper post regarding the ETF mean reversion backtest script we’re trying to come up with. In the last post we went over creating…Continue Reading “Python Backtesting – ETF Mean Reversion – creating the ticker pairs”

Python Backtesting - ETF Mean Reversion - creating the ticker pairs | Trading Strategy Backtest

SQLite database python web scrape… As promised, here is the first part of my “ETF mean reversion strategy backtest” series. This article deals with scraping ETF data from the web and sticking it in an SQLite3 database. I’m using SQLite as it’s very easy to set up, and requires nothing complex to get up and…Continue Reading “Scraping ETF data from the web and sticking it in an SQLite3 database”

Python Backtesting - ETF Mean Reversion - creating the ticker pairs | Trading Strategy Backtest

Python Mean Reversion Backtest for ETFs… I have been looking into using Python to create a backtesting script to test mean reversion strategies based on cointegrated ETF pairs. I have broken down the process in my head into several stages, each of which will form the basis of my next few blog posts. I’m not…Continue Reading “Python Mean Reversion Backtest for ETFs”

Python Backtesting - ETF Mean Reversion - creating the ticker pairs | Trading Strategy Backtest
python skew kurtosis

Python…skew…kurtosis… So you have a series of returns you wish to analyse….mean and variance are easy to calculate…how easy does Python make it to calculate skew and kurtosis? When we look at a series of investment returns, we tend to concentrate on the first 2 ‘moments’ of the distribution; that is the mean and the…Continue Reading “What are ‘skew’ lookin’ at? – calculating skew and kurtosis with Python…”