[TOC]
Trading Basics
what is financial trading?
Financial trading is the buying and selling of financial assets, also called financial securities.
- financial instruments:
- equities: shares of stocks representing ownership of companies
- bonds: debt instruments issued by the government or corporations
- forex or foreign exchange market of currencies
- commodities such as gold, silver, and oil
- cryptocurrencies like Bitcoin
- why people trade?
going long/long position (做多): profit from upward price movement
eg. 低买高卖
going short/short position (做空): profit from downward price movement
eg. 高价抛售（借来的）股票，在低价时再买入
- what’s market participants?
institution traders: 对冲风险、平衡资产配置
retail traders: 散户
- Different types of traders:
- Trading vs. Investing
- What’s technical indicators: various types of data transformations
Manipulation with Python
- resample the data
- pct_change() 计算行变化百分比
stock_data['daily_return']=stock_data['CLose'].pct_change()*100
- candlestick chart
import plotly.graph_objects as go
candlestick = go.Candlestick(
x = bitcoin_data.index,
open = bitcoin_data['Open'],
high = bitcoin_data['High'],
low = bitcoin_data['Low'],
close = bitcoin_data['Close']
)
fig = go.Figure(data=[candlestick])
fig.show()
- Sample moving average (SMA) : 指定滑动窗口内数据的聚合平均值
stock_data['sma_50']=stock_data['Close'].rolling(window=50).mean()
Backtesting (回测)
the bt package gives a flexible framework for defining and backtesting trading strategies
- The bt process
import bt
# get the data
# 默认根据股票代码从yahoo财经下载“调整后的收盘价”
bt_data = bt.get('goog, amzn, tsla', start='2020-6-1', end='2020-12-1')
# define our strategy
bt_strategy = bt.Strategy('Trade_Weekly', # startegy's name
[bt.algos.RunWeekly(), #run weekly 交易频率
bt.algos.SelectAll(), # use all data 使用哪些数据
bt.algos.WeighEqually(), # maintain euqal weights 多种资产配置下，每种资产的权重（持股）
bt.algos.Rebalance()]) # 重平衡资产权重
# backtest
bt_test = bt.Backtest(bt_strategy,bt_data)
# run
bt_res = bt.run(bt_test)
# plot
bt_res.plot(title="backtest result")
# get trade details
bt_res.et_transactions()
Trading Indicators
Indicators Basics
- What’s technical indicators?
- Types of indicators:
- The TA-Lib package
import talib
SMA (Simple Moving Average)
随价格变化，平滑数据之后可以指示价格变化的方向
EMA (Exponential Moving Average)
随价格变化，平滑数据之后可以指示价格变化的方向
