quantrocket-codeload's Repositories

backtest-speed-comparison

Trading strategies used to test the speed of Moonshot, Zipline, and Lean. See https://www.quantrocket.com/blog/backtest-speed-comparison/ for the results.

⭐ 3 🌐 Public

dual moving average crossover strategy for backtrader

⭐ 4 🌐 Public

Equal-weighted and dollar-volume-weighted benchmark strategies for Moonshot

⭐ 1 🌐 Public

borrow-fees-alpha

Introduction to QuantRocket's borrow fees dataset. Uses Alphalens to analyze borrow fees as an alpha source and uses Moonshot to backtest a strategy that shorts stocks with high borrow fees while modeling borrowing costs.

⭐ 1 🌐 Public

brain-sentiment

Overview of 3 sentiment datasets from data provider Brain: Brain Sentiment Indicator (news sentiment), Brain Language Metrics on Company Filings, and Brain Language Metrics on Earnings Call Transcripts.

⭐ 0 🌐 Public

Intraday trading strategy for futures calendar spreads. Uses crude oil futures and 1-minute bid/ask bars from Interactive Brokers with a Bollinger Band mean reversion strategy. Runs in Moonshot. Demonstrates using exchange native spreads for live/paper trading, and non-native spreads for backtesting.

⭐ 15 🌐 Public

Moonshot strategy that shorts stocks that fell 10% or more the previous day. Demonstrates running a multi-country backtest to find where an anomaly works best. Uses global equities data from EDI.

⭐ 1 🌐 Public

Intraday momentum strategy that buys (sells) the S&P 500 when the first half hour return and penultimate half hour return are both positive (negative). Uses VIX filter to restrict strategy to high volatility regimes. Uses 30-minute data from Interactive Brokers. Runs in Moonshot.

⭐ 8 🌐 Public

fundamental-factors

Learn how to research fundamental factors using Pipeline, Alphalens, and Sharadar price and fundamental data.

⭐ 16 🌐 Public

Tutorial for importing historical futures data from a third-party data provider and combining it with recent data from Interactive Brokers in a Zipline bundle.

⭐ 0 🌐 Public

Intraday forex strategy that exploits the tendency of currencies to depreciate during local business hours and appreciate during foreign business hours.

⭐ 6 🌐 Public

global-market-profiles

Comparative analysis of stock market characteristics for 17 countries, including number of listings, short sale availability, volatility, distribution of sectors, etc.

⭐ 2 🌐 Public

A simple introduction to Jupyter notebooks, to demonstrate how cloning works.

⭐ 1 🌐 Public

HML (High Minus Low) strategy for Moonshot and Zipline, using Reuters Fundamentals

⭐ 1 🌐 Public

Machine learning strategy that trains the model using "everything and the kitchen sink": fundamentals, technical indicators, returns, price levels, volume and volatility spikes, liquidity, market breadth, and more. Runs in Moonshot. Utilizes data from Sharadar and IB.

⭐ 14 🌐 Public

market-cap-vs-dollar-volume

⭐ 1 🌐 Public

Introductory tutorial for Moonshot demonstrating data collection, universe selection, and backtesting of an end-of-day momentum strategy.

⭐ 10 🌐 Public

moonshotml-intro

Introductory tutorial for MoonshotML demonstrating walk-forward optimization of a simple machine learning strategy. Uses free sample data.

⭐ 2 🌐 Public

Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for cointegration using the Johansen test, then runs in-sample backtests on all cointegrating pairs, then runs an out-of-sample backtest on the 5 best performing pairs.

⭐ 35 🌐 Public

pipeline-tutorial

In-depth walkthrough of Pipeline, an API for filtering and performing computations on large universes of securities. The Pipeline API is part of Zipline but can also be used on a standalone basis.

⭐ 11 🌐 Public

Long-only momentum strategy modeled on Alpha Architect's QMOM ETF, selecting stocks with the smoothest momentum and rebalancing the portfolio before quarter end to capture a window-dressing seasonality effect.

⭐ 8 🌐 Public

quant-finance-lectures

Learn quantitative finance with this comprehensive lecture series. Adapted from the Quantopian Lecture Series. Uses free sample data.

⭐ 508 🌐 Public

QuickStart notebooks for QuantRocket

⭐ 2 🌐 Public

Value strategy for US stocks modeled on Alpha Architect's QVAL ETF, using enterprise multiple and Piotroski F-Score to target cheap, high-quality stocks. Utilizes Sharadar fundamental and price data. Runs in Moonshot.

⭐ 7 🌐 Public

Intraday Zipline strategy for US stocks that sells stocks which gap below their moving average after previously trading above it. Demonstrates live trading.

⭐ 4 🌐 Public

Intraday momentum strategy that buys (sells) leveraged ETFs late in the trading session following a significant intraday gain (loss) and holds until the close. From Ernie Chan's book Algorithmic Trading. Runs in Moonshot.

⭐ 27 🌐 Public

Value/Momentum/Trend strategy modeled on Alpha Architect's VMOT ETF.

⭐ 7 🌐 Public

zipline-futures-pairs

futures pairs trading Zipline strategy

⭐ 2 🌐 Public

Introductory tutorial for Zipline demonstrating data collection, interactive research, and backtesting of a momentum strategy for equities. Uses free sample data.

⭐ 12 🌐 Public