trading-strategy-backtest
Unverified Other strategy on Multi by bottama. BotFinder score 18 out of 100.
Backtesting of different trading strategies by applying different Modern Portfolio Theory (MPT) approaches on long-only ETFs portfolios in Python.
Source: github
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trading-strategy-backtest
Backtesting trading strategies Last Update February 25, 2021 #### Matteo Bottacini, matteo.bottacini@usi.ch #### Project description This project is to backtest different trading strategies applying different approaches from the Modern Portfolio Tehory (MPT) in Python 3. The strategies backtested are: The Optimal Markowitz Portfolio; The Global Minimum Variance Portfolio; The Risk-Parity Portfolio; The Equally Weighted Portfolio The ETFs considered are: EEM: iShares MSCI Emerging Markets ETF EMLC: VanEck Vectors J.P. Morgan EM Local Currency Bond ETF IAU: iShares Gold Trust IEF: iShares 7-10 Year Treasury Bond ETF IWM: iShares Russell 2000 ETF SPY: SPDR S&P 500 ETF Trust TIP: iShares TIPS Bond ETF TLT: iShares 20+ Year Treasury Bond ETF VGK: Vanguard FTSE Europe Index Fund ETF Shares The scripts do the following: Download and analyse financial data; Find the optimal Markowtiz portfolio (mean-variance); Find the Global Minimum Variance (GMV) portfolio (minimum variance); Find the risk-parity portfolio (risk parity); Find the equally weighted portfolio (equally weighted); Backtest a tr
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