zipline-reloaded
by stefan-jansen
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Build the foundations
Suggested foundations for asset pricing and factor research and trading research and honest backtests. Specialist prerequisites vary by resource.
Before you read
- Linear Regression
Interpret exposures, residuals and uncertainty in fitted coefficients.
- Financial Return Characteristics
Work with returns and recognise their empirical limitations.
- Point-in-Time Data
Use only information available at the simulated decision time.
- Time-Ordered Train, Validation and Test Design
Separate model selection from the final evaluation.
Go further
- Factor construction
Connect factor definitions to portfolio construction.
- Time-series and cross-sectional tests
Distinguish exposure estimation from tests of expected returns.
- Positions, Trades, Fills and P&L
Reconcile signals, executions, positions and P&L.
Explore a related reading path
- Portfolio construction and risk
Connect diversification, common risk factors, investor views, and the properties of a risk measure.
- From trading ideas to honest backtests
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.