We are collecting (an admittedly opinionated) list of resources papers, datasets, blogs, libraries, books and methodologies for finding, developing, and running Systematic Trading (Quantitative Trading).
What will you find here?
- Academic Papers describing systematic trading strategies
- Libraries and packages for research and live trading
- Books for beginners and professionals
- Blogs
- Courses and Tutorials
How do we pick the resources?
- Fit in Systematic Trading / Quantitative Trading domain
- Covering styles, industries and asset classes from around the world
- Valuable to any financial institution
We are only at the beginning, and you can help by contributing to this GitHub!
If you're interested in this area and would like to hear more, join our mailing list (coming soon)! We'd also appreciate if you could fill out this short form (coming soon) to help us better understand what your interests might be.
If you have ideas on how we can make this repository better, feel free to submit an issue with suggestions.
We want this resource to grow with contributions from readers and data enthusiasts. If you'd like to make contributions to this Github repository, please read our contributing guidelines.
- Academic Papers
- Libraries and packages
- Books
- Blogs
- Courses and Tutorials
List of 89 scientific papers describing original systematic futures trading strategies. Each strategy is categorized by its asset class (Bonds, Commodities, Cryptos, Currencies, Equities), ordered by descending Sharpe ratio, and described by its Sharpe ratio, volatility and period of rebalancing.
Relative Strength Strategies for Investing
Sharpe Ratio | Volatility | Period of Rebalancing | Implementation |
---|---|---|---|
0.486 | 10.7% | Monthly | QuantConnect |
Market Closure and Short-Term Reversal
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.89 | 7.69% | Weekly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.68 | 8.63% | Monthly |
Profiting from Mean-Reverting Yield Curve Trading Strategies
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.65 | 15% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.62 | 10% | Monthly |
Short-Term Momentum (Almost) Everywhere
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.62 | 9.69% | Monthly |
Cross-Sectional Seasonalities in International Government Bond Returns
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.56 | 13.85% | Monthly |
Beyond Carry and Momentum in Government Bonds
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.13 | 10.1% | Monthly |
Carry investing on the yield curve
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.41 | 4.9% | Monthly |
Time Series Reversal in Trend Following Strategies
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.17 | 20.9% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.97 | 12.3% | Monthly |
Carry and time‐series momentum: a match made in Heaven
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.92 | 10% | Monthly |
Predicting Out-of-Sample Returns: Using Basis to Beat the Historical Average
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.49 | 7.67% | Monthly |
Trend-Following and Spillover Effects
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.67 | 4.8% | Weekly |
Cross-Sectional and Time-Series Tests of Return Predictability: What is the Difference?
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.5 | 12.91% | 6 Months |
Worth It’s Weight in Gold Offense and Defense in Active Portfolio Management
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.84 | 11.8% | Weekly |
Return Predictability and Market-Timing: A One-Month Model
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.72 | 11.05% | Monthly |
Cross-Asset Signals and Time Series Momentum
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.65 | 10% | Monthly |
Opposing Seasonalities in Treasury versus Equity Returns
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | 6 Months |
Pairs Trading the Commodity Futures Curve
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
3.09 | 2.01% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
2.41 | 11.09% | Monthly |
Short-Term Momentum (Almost) Everywhere
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.01 | 20.86% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.92 | 19.98% | Monthly |
Is Gold a Zero-Beta Asset? Analysis of the Investment Potential of Precious Metals
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.91 | 29.63% | Monthly |
Fear of Hazards in Commodity Futures Markets
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.89 | 9.26% | Weekly |
Long-Run Reversal in Commodity Returns: Insights from Seven Centuries of Evidence
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.83 | 19.37% | Yearly |
Tactical allocation in commodity futures markets: Combining momentum and term structure signals
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.79 | 27.6% | Monthly |
Modeling, Forecasting and Trading the Crude Oil Term Structure
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.76 | 7.1% | Weekly |
Trend Following, Risk Parity and Momentum in Commodity Futures
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.76 | 19.33% | Monthly |
Commodity Option Implied Volatilities and the Expected Futures Returns
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.69 | 18.48% | Monthly |
Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.68 | 10.79% | Monthly |
Idiosyncratic momentum in commodity futures
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.59 | 29.42% | Monthly |
Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.43 | 19.3% | Weekly |
Dynamic Commodity Timing Strategies
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.43 | 18% | Monthly |
Long-Short Commodity Investing: Implications for Portfolio Risk and Market Regulation
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.41 | 18.09% | Weekly |
Multi-Asset Seasonality and Trend-Following Strategies
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.38 | 9.32% | Monthly |
The Case for Long-Short Commodity Investing
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.25 | 17.17% | Weekly |
Investor Sentiment And Return Predictability in Agricultural Futures Market
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Weekly |
Political Uncertainty and Commodity Prices
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Quarterly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Monthly |
What does futures market interest tell us about the macroeconomy and asset prices?
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Monthly |
How to Time the Commodity Market
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.24 | 10.3% | Weekly |
When to Own Stocks and When to Own Gold
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.43 | 14% | Yearly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.13 | 7.1% | Weekly |
Do Fundamentals Drive Cryptocurrency Prices
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.06 | 9.3% | Weekly |
Combining Mean Reversion and Momentum Trading Strategies in Foreign Exchange Markets
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
2.43 | 10% | Monthly |
Beyond the Carry Trade: Optimal Currency Portfolios
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.4 | 23.89% | Monthly |
A Low-Risk Strategy based on Higher Moments in Currency Markets
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.38 | 8% | Monthly |
Economic Momentum and Currency Returns
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.1 | 5.6% | Monthly |
Are Value Strategies Profitable in the Foreign Exchange Market?
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.01 | 9.51% | Monthly |
Cross-Asset Return Predictability: Carry Trades, Stocks and Commodities
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.01 | 9.07% | Monthly |
Optimal and Naive Diversification in Currency Markets
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.99 | 6.97% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.91 | 9.23% | Monthly |
Market Closure and Short-Term Reversal
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.9 | 10.23% | Weekly |
Is There Momentum or Reversal in Weekly Currency Returns?
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.88 | 8.1% | Weekly |
The Revenge of Purchasing Power Parity on Carry Trades during Crises
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.87 | 4.97% | Monthly |
Predictability of Currency Carry Trades and Asset Pricing Implications
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.86 | 10% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.82 | 2.47% | Monthly |
The Term Structure of Sovereign CDS and the Cross-Section Exchange Rate Predictability
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.82 | 5.92% | Monthly |
Forward-Looking Policy Rules and Currency Premia
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.81 | 7.61% | Monthly |
U.S. Equity Tail Risk and Currency Risk Premia
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.75 | 8.12% | Monthly |
Perceived corruption, carry trades, and the cross section of currency returns
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.74 | 8.14% | Yearly |
The Equity Differential Factor in Currency Markets
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.61 | 3.1% | Monthly |
Investor sentiment, attention and profitability of currency momentum strategies
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.56 | 10.36% | Monthly |
The Rise and Fall of the Carry Trade: Links to Exchange Rate Predictability
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.55 | 19.65% | Monthly |
Yield Curve Predictors of Foreign Exchange Returns
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.52 | 3.67% | Monthly |
A Multi Strategy Approach to Trading Foreign Exchange Futures
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.5 | 13.16% | Monthly |
Carry Trades and Global Foreign Exchange Volatility
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.48 | 8.68% | 6 Months |
From Carry Trades to Curvy Trades
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.39 | 6.7% | Monthly |
International Diversification Benefits with Foreign Exchange Investment Styles
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.33 | 9.56% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Weekly |
The Presidential Term: Is the Third Year the Charm?
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.29 | 15.34% | Yearly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.16 | 19% | Monthly |
Stock Returns over the FOMC Cycle
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.83 | 13.92% | Weekly |
Combining equity country selection strategies
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.82 | 24.53% | Monthly |
Market Timing with Aggregate Accruals
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.8 | 37.7% | Yearly |
Short-Term Momentum (Almost) Everywhere
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.8 | 20.38% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.78 | 6.74% | Monthly |
Return Predictability and Market-Timing: A One-Month Model
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.76 | 16.6% | Monthly |
Time-Varying Sharpe Ratios and Market Timing
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.66 | 15.38% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.52 | 11% | Weekly |
Stock Return Predictability and Seasonality
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.46 | 17.78% | 6 Months |
Equity premiums in the Presidential cycle: The midterm election resolution of uncertainty
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.47 | 24.47% | 6 Months |
Market Timing with Aggregate and Idiosyncratic Stock Volatilities
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.43 | 37.8% | Quarterly |
Forecasting the size premium over different time horizons
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.38 | 14.62% | Monthly |
Alpha Momentum and Alpha Reversal in Country and Industry Equity
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.31 | 20.02% | Monthly |
A Performance Evaluation Model for Global Macro Funds
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.3 | 9.21% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Weekly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Monthly |
Note: these bots are old and not maintained. I put them here just to show some logic of crypto arbitrage.
- analyzingalpha
- bitcoin-arbitrage |
Python
| - Bitcoin arbitrage - opportunity detector - Blackbird |
C++
| - Blackbird Bitcoin Arbitrage: a long/short market-neutral strategy - czsc - 缠中说禅技术分析工具 |
Python
| - 缠中说禅技术分析工具;缠论;股票;期货;Quant;量化交易 - PyTrendFollow |
Python
| - PyTrendFollow - systematic futures trading using trend following - R2 Bitcoin Arbitrager |
TypeScript
| - R2 Bitcoin Arbitrager is an automatic arbitrage trading system powered by Node.js + TypeScript. - ThetaGang - ThetaGang is an IBKR bot for collecting money
- finta |
Python
| - Common financial technical indicators implemented in Pandas - pandas-ta |
Python
| - Pandas Technical Analysis (Pandas TA) is an easy to use library that leverages the Pandas package with more than 130 Indicators and Utility functions and more than 60 TA Lib Candlestick Patterns. - TA-Lib |
C
| - Perform technical analysis of financial market data- Python Wrapper |
Python
| - Go Port |
Go
| - Rust Wrapper |
Rust
|
- Python Wrapper |
- ta-rust |
Rust
| - Technical analysis library for Rust language
- ffn |
Python
| - A financial function library for Python - quantstats |
Python
| - Portfolio analytics for quants, written in Python
- Deepdow |
Python
| - Python package connecting portfolio optimization and deep learning. Its goal is to facilitate research of networks that perform weight allocation in one forward pass. - empyrial |
Python
| - Empyrial is a Python-based open-source quantitative investment library dedicated to financial institutions and retail investors, officially released in March 2021. - PyPortfolioOpt |
Python
| - Financial portfolio optimizations in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity - Riskfolio-Lib |
Python
| - Portfolio Optimization and Quantitative Strategic Asset Allocation in Python - spectre |
Python
| - spectre is a GPU-accelerated Parallel quantitative trading library, focused on performance.
- FinancePy |
Python
| - A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives. - Quantlib
- PyQL |
Python
,Cython
| - Python wrapper of the famous pricing library QuantLib - QuantLib.jl |
Julia
| - Quantlib implementation in pure Julia.
- PyQL |
- tf-quant-finance - High-performance TensorFlow library for quantitative finance from Google
- pyfolio |
Python
| - Portfolio and risk analytics in Python
Note: the one marked as Live Trading
has reasonable live trading support for at least 1 broker. Otherwise, backtest function only.
- aat |
Python
,C++
,Live Trading
| - an asynchronous, event-driven framework for writing algorithmic trading strategies in python with optional acceleration in C++. It is designed to be modular and extensible, with support for a wide variety of instruments and strategies, live trading across (and between) multiple exchanges. - backtesting.py |
Python
| - Backtesting.py is a Python framework for inferring viability of trading strategies on historical (past) data. Improved upon the vision of Backtrader, and by all means surpassingly comparable to other accessible alternatives, Backtesting.py is lightweight, fast, user-friendly, intuitive, interactive, intelligent and, hopefully, future-proof. - ⭐ backtrader |
Python
,Live Trading
| - Event driven Python Backtesting library for trading strategies - barter-rs |
Rust
| - Open-source Rust framework for building event-driven live-trading & backtesting systems. Algorithmic trade with the peace of mind that comes from knowing your strategies have been backtested with a near-identical trading Engine. - finmarketpy |
Python
| - Python library for backtesting trading strategies & analyzing financial markets (formerly pythalesians) - FlashFunk |
Rust
| - High Performance Runtime in Rust - gobacktest |
Go
| - A Go implementation of event-driven backtesting framework - lumibot |
Python
| - A very simple yet useful backtesting and sample based live trading framework (a bit slow to run...) - nautilus_trader |
Python
,Cython
,Rust
,Live Trading
| - A high-performance algorithmic trading platform and event-driven backtester - ⭐ QuantConnect |
C#
,.NET
,Live Trading
| - Lean Algorithmic Trading Engine by QuantConnect (Python, C#) - QUANTAXIS |
Python
,Rust
,Live Trading
| - QUANTAXIS 支持任务调度 分布式部署的 股票/期货/期权/港股/虚拟货币 数据/回测/模拟/交易/可视化/多账户 纯本地量化解决方案 - quanttrader |
Python
| - Backtest and live trading in Python. Event based. Similar to backtesting.py. - Rqalpha |
Python
| - A extendable, replaceable Python algorithmic backtest && trading framework supporting multiple securities - sdoosa-algo-trade-python |
Python
| - This project is mainly for newbies into algo trading who are interested in learning to code their own trading algo using python interpreter. - vnpy |
Python
,Stock
,Futures
,Crypto
,Live Trading
| - Python-based open source quantitative trading system development framework, officially released in January 2015, has grown step by step into a full-featured quantitative trading platform - WonderTrader |
C++
,Python
| - WonderTrader——量化研发交易一站式框架 - zipline |
Python
| - Zipline is a Pythonic algorithmic trading library. It is an event-driven system for backtesting. - zvt |
Python
,Stock
,Backtest
| - Modular quant framework
Note: Vector based frameworks are not recommended, more error prone.
- bt |
Python
| - Flexible backtesting for Python based on Algo and Strategy Tree - pysystemtrade |
Python
,Live Trading
| - Systematic Trading in python from book by Rob Carver - vectorbt |
Python
,numba
| - vectorbt takes a novel approach to backtesting: it operates entirely on pandas and NumPy objects, and is accelerated by Numba to analyze any data at speed and scale. This allows for testing of many thousands of strategies in seconds.
- bTrader |
Rust
| - Triangle arbitrage trading bot for Binance - crypto-crawler-rs |
Rust
| - Crawl orderbook and trade messages from crypto exchanges - cryptotrader-core |
Rust
| - Simple to use Crypto Exchange REST API client in rust. - Freqtrade |
Python
| - Freqtrade is a free and open source crypto trading bot written in Python. It is designed to support all major exchanges and be controlled via Telegram. It contains backtesting, plotting and money management tools as well as strategy optimization by machine learning. - Hummingbot |
Python
,Cython
,Live Trading
| - A client for crypto market making - Kelp |
Go
,Live Trading
| - Kelp is a free and open-source trading bot for the Stellar DEX and 100+ centralized exchanges - Jesse |
Python
| - Jesse is an advanced crypto trading framework which aims to simplify researching and defining trading strategies. - OctoBot |
Python
,Cython
,Live Trading
| - Cryptocurrency trading bot for TA, arbitrage and social trading with an advanced web interface - openlimits |
Rust
| - A Rust high performance cryptocurrency trading API with support for multiple exchanges and language wrappers.
- ccxt |
Python
,JavaScript
| - A JavaScript / Python / PHP cryptocurrency trading API with support for more than 100 bitcoin/altcoin exchanges - Coinnect |
Rust
| - Coinnect is a Rust library aiming to provide a complete access to main crypto currencies exchanges via REST API. - Ib_insync |
Python
| - Python sync/async framework for - More is coming... (PR welcome)
- Cvxpy |
Python
,C++
| - A Python-embedded modeling language for convex optimization problems. - Keras |
Python
| - The most user friendly Deep Learning for humans in Python - ⭐ Numpy |
Python
,C
| - The fundamental package for scientific computing with Python - ⭐ Pandas |
Python
,Cython
| - Flexible and powerful data analysis / manipulation library for Python, providing labeled data structures similar to R data.frame objects, statistical functions, and much more - Pytorch |
Python
| - Tensors and Dynamic neural networks in Python with strong GPU acceleration - PyMC |
Python
| - Probabilistic Programming in Python: Bayesian Modeling and Probabilistic Machine Learning with Aesara - ⭐ Scikit-learn |
Python
,Cython
| - Machine learning in Python - ⭐ Scipy |
Python
,C
| - Fundamental algorithms for scientific computing in Python - TensorFlow |
Python
,C++
| - More low level Deep Learning framework
- Arctic (Man Group) |
Python
| - High performance datastore for time series and tick data - Marketstore |
Go
| - DataFrame Server for Financial Timeseries Data - Tectonicdb |
Rust
| - Tectonicdb is a fast, highly compressed standalone database and streaming protocol for order book ticks.
- Dask |
Python
| - Parallel computing with task scheduling in Python with a Pandas like API - GraphKit |
Python
| - A lightweight Python module for creating and running ordered graphs of computations. - Incremental (JaneStreet) |
Ocaml
| - Incremental is a library that gives you a way of building complex computations that can update efficiently in response to their inputs changing, inspired by the work of Umut Acar et. al. on self-adjusting computations. Incremental can be useful in a number of applications - ⭐ Man MDF |
Python
| - Data-flow programming toolkit for Python - Ray |
Python
,C++
| - An open source framework that provides a simple, universal API for building distributed applications. - Tributary |
Python
| - Streaming reactive and dataflow graphs in Python
- FinRL |
Python
| - FinRL is the first open-source framework to demonstrate the great potential of applying deep reinforcement learning in quantitative finance. - MlFinLab (Hudson & Thames) |
Python
| - MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable, and easy to use tools. - QLib (Microsoft) |
Python
,Cython
| - Qlib is an AI-oriented quantitative investment platform, which aims to realize the potential, empower the research, and create the value of AI technologies in quantitative investment. With Qlib, you can easily try your ideas to create better Quant investment strategies. An increasing number of SOTA Quant research works/papers are released in Qlib. - Stock Trading Bot using Deep Q-Learning |
Python
| - Stock Trading Bot using Deep Q-Learning - TradingGym |
Python
,Live Trading
| - Trading and Backtesting environment for training reinforcement learning agent or simple rule base algo.
- Facebook Prophet - Tool for producing high quality forecasts for time series data that has multiple seasonality with linear or non-linear growth.
- pmdarima - A statistical library designed to fill the void in Python's time series analysis capabilities, including the equivalent of R's auto.arima function.
- statsmodels - Python module that allows users to explore data, estimate statistical models, and perform statistical tests.
- tsfresh - Automatic extraction of relevant features from time series.
- btplotting |
Python
,bokeh
| - btplotting provides plotting for backtests, optimization results and live data from backtrader. - ⭐ D-Tale (Man Group) |
JavaScript
,Python
| - D-Tale is the combination of a Flask back-end and a React front-end to bring you an easy way to view & analyze Pandas data structures. - mplfinance |
Python
| - Financial Markets Data Visualization using Matplotlib
- AkShare |
Python
| - AKShare is an elegant and simple financial data interface library for Python, built for human beings! - findatapy |
Python
| - findatapy creates an easy to use Python API to download market data from many sources including Quandl, Bloomberg, Yahoo, Google etc. using a unified high level interface. - Fundamental Analysis Data |
Python
| - Fully-fledged Fundamental Analysis package capable of collecting 20 years of Company Profiles, Financial Statements, Ratios and Stock Data of 20.000+ companies. - Investpy - Financial Data Extraction from Investing.com with Python
- OpenBB Terminal |
Python
| - Investment Research for Everyone, Anywhere. - pandas-datareader |
Python
| - Up to date remote data access for pandas, works for multiple versions of pandas. - ⭐ Quandl |
Python
| - Get millions of financial and economic dataset from hundreds of publishers via a single free API. - TuShare |
Python
| - TuShare is a utility for crawling historical data of China stocks - Wallstreet |
Python
| - Wallstreet: Real time Stock and Option tools - ⭐ yfinance |
Python
| - yfinance offers a threaded and Pythonic way to download market data from Yahoo!Ⓡ finance.
- Cryptofeed |
Python
| - Cryptocurrency Exchange Websocket Data Feed Handler with Asyncio - CryptoInscriber |
Python
| - A live crypto currency historical trade data blotter. Download live historical trade data from any crypto exchange. - Gekko-Datasets |
Python
| - Gekko trading bot dataset dumps. Download and use history files in SQLite format.
A comprehensive list of 56 books for quantitative traders.
Algorithmic Trading and DMA: An introduction to direct access trading strategies - Barry Johnson
How I Became a Quant: Insights from 25 of Wall Street’s Elite: - Barry Schachter
My Life as a Quant: Reflections on Physics and Finance - Emanuel Derman
Algorithmic Trading with Python: Quantitative Methods and Strategy Development - Chris Conlan
Python for Algorithmic Trading: From Idea to Cloud Deployment - Yves Hilpisch
Python for Finance: Mastering Data-Driven Finance - Yves Hilpisch
Trading Evolved: Anyone can Build Killer Trading Strategies in Python - Andreas F. Clenow
Bitcoin Billionaires: A True Story of Genius, Betrayal, and Redemption - Ben Mezrich
Mastering Bitcoin: Programming the Open Blockchain - Andreas M. Antonopoulos
The Bitcoin Standard: The Decentralized Alternative to Central Banking - Saifedean Ammous
Why Buy Bitcoin: Investing Today in the Money of Tomorrow - Andy Edstrom
Algorithmic Trading: Winning Strategies and Their Rationale - Ernest P. Chan
Machine Trading: Deploying Computer Algorithms to Conquer the Markets - Ernest P. Chan
Naked Forex: High-Probability Techniques for Trading Without Indicators - Alex Nekritin
Professional Automated Trading: Theory and Practice - Eugene A. Durenard
|
Quantitative Trading: How to Build Your Own Algorithmic Trading Business - Ernest P. Chan
Systematic Trading: A unique new method for designing trading and investing systems - Robert Carver
The Four Pillars of Investing: Lessons for Building a Winning Portfolio - William J. Bernstein
The Intelligent Investor: The Definitive Book on Value Investing - Benjamin Graham, Jason Zweig
Trading and Exchanges: Market Microstructure for Practitioners - Larry Harris
High-Frequency Trading - Maureen O’Hara, David Easley, Marcos M López de Prado
Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading - Rishi K. Narang
Market Microstructure in Practice - Charles-Albert Lehalle, Sophie Laruelle
The Financial Mathematics of Market Liquidity - Olivier Gueant
Advances in Financial Machine Learning - Marcos Lopez de Prado
Artificial Intelligence in Finance: A Python-Based Guide - Yves Hilpisch
Machine Learning for Asset Managers (Elements in Quantitative Finance) - Marcos M López de Prado
Machine Learning in Finance: From Theory to Practice - Matthew F. Dixon, Igor Halperin, Paul Bilokon
- AAA Quants, Tom Starke Blog
- Blackarbs blog
- Hardikp, Hardik Patel blog
- ⭐ Max Dama on Automated Trading
- Proof Engineering: The Algorithmic Trading Platform
- Quantsportal, Jacques Joubert's Blog
- ⭐ Quantstart - Machine Learning for Trading articles
- RobotWealth, Kris Longmore Blog
- More is coming... (PR welcome)
- AI in Finance - Learn Fintech Online.
- Algorithmic Trading for Cryptocurrencies in Python - A simple yet practical experiment tutorial for cryto trading.
- Coursera, NYU - Machine Learning and Reinforcement Learning in Finance Specialization (Weakly related to trading)
- Coursera, NYU - Guided Tour of Machine Learning in Finance
- Coursera, NYU - Fundamentals of Machine Learning in Finance
- Coursera, NYU - Reinforcement Learning in Finance
- Coursera, NYU - Overview of Advanced Methods for Reinforcement Learning in Finance- Hudson and Thames Quantitative Research - Our mission is to promote the scientific method within investment management by codifying frameworks, algorithms, and best practices.
- NYU: Overview of Advanced Methods of Reinforcement Learning in Finance
- Udacity: Artificial Intelligence for Trading
- Udacity, Georgia Tech - Machine Learning for Trading
- More is coming... (PR welcome)
- Better System Trader EP023 - Portfolio manager Michael Himmel talks AI and machine learning in trading
- ⭐ Better System Trader EP028 - David Aronson shares research into indicators that identify Bull and Bear markets.
- ⭐ Chat with Traders EP042 - Machine learning for algorithmic trading with Bert Mouler
- ⭐ Better System Trader EP064 - Cryptocurrencies and Machine Learning with Bert Mouler
- Better System Trader EP082 - Machine Learning With Kris Longmore
- Better System Trader EP090 - This quants’ approach to designing algo strategies with Michael Halls-Moore* Chat With Traders EP131 - Trading strategies, powered by machine learning with Morgan Slade
- ⭐ Chat with Traders EP142 - Algo trader using automation to bypass human flaws with Bert Mouler
- Chat with Traders EP147 - Detective work leading to viable trading strategies with Tom Starke
- ⭐ Chat with Traders Quantopian 5 - Good Uses of Machine Learning in Finance with Max Margenot
- Ernie Chan - Machine Learning for Quantitative Trading Webinar
- Hitoshi Harada, CTO at Alpaca - Deep Learning in Finance Talk
- ⭐ Howard Bandy - Machine Learning Trading System Development Webinar
- Krish Naik - Machine learning tutorials and their Application in Stock Prediction
- Master Thesis presentation, Uni of Essex - Analyzing the Limit Order Book, A Deep Learning Approach
- Prediction Machines - Deep Learning with Python in Finance Talk
- QuantInsti Youtube - webinars about Machine Learning for trading
- QuantNews - Machine Learning for Algorithmic Trading 3 part series
- ⭐ Quantopian - Webinars about Machine Learning for trading
- Sentdex - Machine Learning for Forex and Stock analysis and algorithmic trading
- Sentdex - Python programming for Finance (a few videos including Machine Learning)
- ⭐ Siraj Raval - Videos about stock market prediction using Deep Learning
- Tucker Balch - Applying Deep Reinforcement Learning to Trading