Definieer en backtest een eenvoudige strategie

Je wilt een strategie maken om te handelen in de zogeheten "FAANG"-aandelen, een acroniem voor de aandelen van vijf populaire en best presterende Amerikaanse technologiebedrijven: Facebook, Amazon, Apple, Netflix en Alphabet (oftewel Google).

Het idee is simpel: je houdt een gelijke weging van elk aandeel in je portefeuille aan. Elke week koopt of verkoopt de strategie aandelen om de gelijke wegingen te herstellen.

Eerst ga je de data voor de "FAANG"-aandelen bekijken. Vervolgens definieer je de strategie: koop elk aandeel in gelijke hoeveelheden en rebalanceer wekelijks. Tot slot voer je de backtest uit en plot je het resultaat.

Het bt-pakket is al voor je geïmporteerd. De historische prijsdata van de "FAANG"-aandelen is vooraf ingeladen in bt_data.

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Financieel traden in Python

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Financieel traden in 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: Wat is financieel traden Exercise 2: Het concept van traden Exercise 3: Maak een lijngrafiek van een tijdreeks Exercise 4: Maak een candlestick-grafiek Exercise 5: Aan de slag met je tradingdata Exercise 6: Hersampel de gegevens Exercise 7: Plot een rendementshistogram Exercise 8: SMA's berekenen en plotten Exercise 9: Financieel traden met bt Exercise 10: Het bt-proces Exercise 11: Definieer en backtest een eenvoudige strategie

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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!