Python :
Lire https://mayerkrebs.com/best-backtesting-library-for-python/
cite
VectorBT: fastest backtesting library
Backtesting.py: easiest backtesting library
Obtenir les données
Les données historiques financières peuvent être obtenues par :
- pandas-datareader, Free accounts using pandas-datareader are rate limited and can access a limited number of symbols, approximately 500 at the time the documentation was written
- Quandl,
- findatapy, many sources including Quandl, Bloomberg, Yahoo, Google etc.
- yFinance, somewhere between 250,000 to 400,000+ tickers across all asset types
- investpy, investpy is a Python package to retrieve data from Investing.com, which provides data retrieval from up to 39952 stocks, 82221 funds, 11403 ETFs, 2029 currency crosses, 7797 indices, 688 bonds, 66 commodities, 250 certificates, and 4697 cryptocurrencies.
Optimisation de portfolio
https://riskfolio-lib.readthedocs.io/en/latest/
Autres outils quant:
Pyfolio
Zipline
https://www.pybroker.com/en/latest/notebooks/9.%20Rebalancing%20Positions.html
https://github.com/10mohi6/portfolio-backtest-python
Lesquels pour calculer une frontière efficiente ?
Liste de projets
https://git.tuu.cat/topics/efficient-frontier?o=desc&s=forks
Numpy, Pandas
https://nbviewer.org/github/rian-dolphin/Efficient-Frontier-Python/blob/main/Markowitz.ipynb
https://www.machinelearningplus.com/machine-learning/portfolio-optimization-python-example/
https://medium.com/@zeng.simonl/the-efficient-frontier-in-python-a1bc9496a0a1
https://www.youtube.com/watch?v=qJ5yCvA5E3Q
https://www.youtube.com/watch?v=f2BCmQBCwDs
https://www.youtube.com/watch?v=naYXfyKC4eM
https://www.youtube.com/watch?v=Isutk-wqJfE
Scipy
https://www.kaggle.com/code/vijipai/lesson-5-mean-variance-optimization-of-portfolios
https://amangupta16.medium.com/portfolio-optimization-using-python-part-1-2-9fd80097a606
https://github.com/tthustla/efficient_frontier/blob/master/Efficient%20_Frontier_implementation.ipynb
https://www.linkedin.com/pulse/efficient-frontier-portfolio-optimisation-inpython-ricky-kim/
https://colab.research.google.com/github/MOSEK/PortfolioOptimization/blob/master/python/notebooks-colab/ch10_robust_optimization_factor.ipynb
PyPortfolioOpt
https://pyportfolioopt.readthedocs.io/en/latest/index.html
https://nekrasovp.github.io/stock-market-portfolio-optimisation.html
https://www.youtube.com/watch?v=CRt1v50UHmo
Pyfolio
Cvxopt
https://notebook.community/gwulfs/research_public/research/Markowitz-Quantopian-Research
https://github.com/psthomas/efficient-frontier/blob/master/efficient_frontier.ipynb
https://plotly.com/python/v3/ipython-notebooks/markowitz-portfolio-optimization/
Scipy, Statsmodel et Cvxopt
https://alphapowertrading.com/quantopian/CAPM_Revisited_01.html