hydershykh

7 ms·

31.
by hydershykh 6y ago
I would say this is a subset of the above repo but with one major difference. All you need is a single command to use Eiten while for most of the other repos, they require a user to code just a little bit. The goal of Eiten was to make it a
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by hydershykh 6y ago
Glad to hear that.
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by hydershykh 6y ago
Trading costs are not included during the back test. Since the portfolios are buy and hold, there won't be a lot of trades. Therefore, it seemed like a reasonable assumption to ignore the trading costs especially with all the 0-commiss
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by hydershykh 6y ago
This is perfect. Thank you for sharing this. I might start implementing some of these but would love for someone else to add a few PRs as well. The code is pretty modular especially if we want to add new strategies.
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by hydershykh 6y ago
That's pretty awesome. Please keep in touch, let's see if we can apply the tool on the new data sets.
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by hydershykh 6y ago
So the negative weights are just ignored during the forward and back tests. They are there just to show you the raw portfolios without any filtering. As for the other question, the weights are just proportions of your money that you should
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by hydershykh 6y ago
Oh sure. I am at lecture 11 right now (volatility modeling). I guess the best thing I learned was value at risk models and how companies like Morgan Stanley use historical returns, covariance matrices, and monte carlo to estimate their maxi
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by hydershykh 6y ago
Glad to know that. How did it go? As for realtime data, this can easily work with real time data as well with some small adjustments.
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by hydershykh 6y ago
yes, since the code is pretty modular. All the changes that one needs to make are in the data_manager.py file. There is a single function that loads the stocks data which can easily be changed. Happy to talk more on this.
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by hydershykh 6y ago
Hi, developer of the tool here. Have been dabbling in trading for about two years and have plenty of data science experience. Trying to merge the two by working on a lot of tools right now. This one was inspired from a few lectures at the M
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by hydershykh 6y ago
that wasn't the intention to be honest which is why the link of the company is at the very bottom.
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Show HN: Eiten – open-source tool for portfolio optimization(github.com)
201 points by hydershykh 6y ago|48 comments
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Eigen Values for Portfolio Construction(github.com)
3 points by hydershykh 6y ago|0 comments
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Show HN: Eigen Values for Portfolio Construction(github.com)
4 points by hydershykh 6y ago|0 comments
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Show HN: Surpriver Finds Unusual Patterns in Stock Movements(github.com)
3 points by hydershykh 6y ago|0 comments
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Show HN: Isolation Forests to Find Big Moving Stocks Before They Move(github.com)
2 points by hydershykh 6y ago|0 comments
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by hydershykh 6y ago
Great work. Bookmarked :)
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by hydershykh 6y ago
Well executed Best of Luck