Definisci e backtesta una strategia semplice

Vuoi creare una strategia per fare trading sulle azioni cosiddette "FAANG", un acronimo che si riferisce ai titoli delle cinque aziende tecnologiche americane più popolari e performanti: Facebook, Amazon, Apple, Netflix e Alphabet (cioè Google).

L’idea è semplice: nel portafoglio manterrai la stessa quantità (peso) di ciascun titolo. Ogni settimana la strategia comprerà o venderà azioni secondo necessità per riequilibrare i pesi uguali.

Per prima cosa ispezionerai i dati delle azioni "FAANG". Poi definirai la strategia, che specifica di acquistare la stessa quantità di ogni titolo e ribilanciare ogni settimana. Infine, eseguirai il backtest e tracerai il risultato.

Il pacchetto bt è già stato importato. I dati storici dei prezzi delle "FAANG" sono stati precaricati in bt_data.

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Trading finanziario con Python

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Trading finanziario con Python

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What is financial trading, why do people trade, and what’s the difference between technical trading and value investing? This chapter answers all these questions and more. You’ll also learn useful tools to explore trading data, generate plots, and how to implement and backtest a simple trading strategy in Python.

Exercise 1: Che cos’è il financial trading Exercise 2: Il concetto di trading Exercise 3: Traccia un grafico a linee di una serie temporale Exercise 4: Traccia un grafico a candele Exercise 5: Prendere confidenza con i tuoi dati di trading Exercise 6: Ricampiona i dati Exercise 7: Traccia un istogramma dei rendimenti Exercise 8: Calcola e traccia le SMA Exercise 9: Trading finanziario con bt Exercise 10: Il processo bt Exercise 11: Definisci e backtesta una strategia semplice

Esercizio in corso

Let's dive into the world of technical indicators—a useful tool for constructing trading signals and building strategies. You’ll get familiar with the three main indicator groups, including moving averages, ADX, RSI, and Bollinger Bands. By the end of this chapter, you’ll be able to calculate, plot, and understand the implications of indicators in Python.

Exercise 1: Trend indicator MAs Exercise 2: Calculate and plot two EMAs Exercise 3: SMA vs. EMA Exercise 4: Strength indicator: ADX Exercise 5: Understand the ADX Exercise 6: Calculate the ADX Exercise 7: Visualize the ADX Exercise 8: Momentum indicator: RSI Exercise 9: Understand the RSI Exercise 10: Calculate the RSI Exercise 11: Visualize the RSI Exercise 12: Volatility indicator: Bollinger Bands Exercise 13: Understand Bollinger Bands Exercise 14: Implement Bollinger Bands

You’re now ready to construct signals and use them to build trading strategies. You’ll get to know the two main styles of trading strategies: trend following and mean reversion. Working with real-life stock data, you’ll gain hands-on experience in implementing and backtesting these strategies and become more familiar with the concepts of strategy optimization and benchmarking.

Exercise 1: Trading signals Exercise 2: Understand trading signals Exercise 3: Build an SMA-based signal strategy Exercise 4: Build an EMA-based signal strategy Exercise 5: Trend-following strategies Exercise 6: Construct an EMA crossover signal Exercise 7: Build and backtest a trend-following strategy Exercise 8: Mean reversion strategy Exercise 9: Match the signals with the strategies Exercise 10: Construct an RSI based signal Exercise 11: Build and backtest a mean reversion strategy Exercise 12: Strategy optimization and benchmarking Exercise 13: Conduct a strategy optimization Exercise 14: Perform a strategy benchmarking

How is your trading strategy performing? Now it’s time to take a look at the detailed statistics of the strategy backtest result. You’ll gain knowledge of useful performance metrics, such as returns, drawdowns, Calmar ratio, Sharpe ratio, and Sortino ratio. You’ll then tie it all together by learning how to obtain these ratios from the backtest results and evaluate the strategy performance on a risk-adjusted basis.

Exercise 1: Strategy return analysis Exercise 2: Review return results of a backtest Exercise 3: Plot return histograms of a backtest Exercise 4: Compare return results of multiple strategies Exercise 5: Drawdown Exercise 6: Review performance with drawdowns Exercise 7: Calculate and review the Calmar ratio Exercise 8: Sharpe ratio and Sortino ratio Exercise 9: Evaluate strategy performance by Sharpe ratio Exercise 10: Evaluate strategy performance by Sortino ratio Exercise 11: Congratulations!