Math 6911

This is the final project folder of York master 6911

Workflow

You would use the Jupyter Notebook to prepare data. After that, you need to set up local Zipline environment and ingest data into the system. In the very end, after you execute the algorithmic backtest, pyfolio would be used to generate report.

Files

There are three main groups of files.

1. Exploration.ipynb is the notebook used to create
2. main.py is the major algorithm part in Zipline. We may need to implement more method in this case
3. src contains files to prepare data and generate report

Dependencies

In general, Zipline is a strong but relatively awkward framework. I would suggest you to set up two independent virtual environments. One to prepare data (Python > 3.8) and the other for Zipline (Python == 3.6). In the current stage, I heavily rely on a few packages. We can bypass later in the project.

1. Optimization
2. Visualization
3. Backtest
4. Generic Optimization