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def bbands(price, length=30, numsd=2): """ returns average, upper band, and lower band""" ave = pd.stats.moments.rolling_mean(price,length) sd = pd.stats.moments.rolling_std(price,length) upband = ave + (sd*numsd) dnband = ave - (sd*numsd) return np.round(ave,3), np.round(upband,3), np.round(dnband,3) sp['ave'], sp['upper'], ...


In the E.P. Chan's Book, the author provided an example in which he tests a pair trading strategy on GLD (gold spot price) and GDX (gold industry stock index). All code examples are written in Matlab down in the book, but all of them are explained pretty well; each practical example is equipped with a full theoretical explanation. The example you need for ...


There is a module called visualize-wealth that provides: Documentation auto-generation capability with sphinx Portfolio construction methodologies in 3 ways (trade blotter, weight allocation frame, and static allocation series) All basic statistical measures, including many sophisticated ones such as CVaR, Mean Absolute Tracking Error, Cornish Fisher ...


Trying to start framework which allows lots of flexibility. https://github.com/bpsmith/tia

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