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所在平台: Udemy |
课程主页: https://www.udemy.com/course/backtest-quantitative-trading-strategies-from-scratch/
课程评论：没有评论
课程名称：从零开始回测量化交易策略 课程概述：本课程的核心是“从基础开始”的教学方式。学员将获得一份包含超过3000万行数据的大型数据集，涵盖了自2001年至2021年10月期间美股市场上所有可交易股票的每日数据。在此基础上，我们将逐步展示如何构建自己的回测系统，并将其应用于两种知名的交易算法：移动平均交叉策略和配对交易。课程中还将提供关于时间序列的简要介绍，以帮助学员理解配对交易背后的一些数学概念，如配对的单位根和协整。 除了算法的实现，我们还将探讨使用数据管道进行大规模算法实现的方法，帮助学员创建股票投资组合。该模块将逐步讲解。此外，我们还将结束这一部分的学习，提供一个实际案例作业，模拟交易公司中的实际任务。该作业涉及使用高频数据进行数据排序和清理、确定协整关系，并探讨如何对这两种金融工具进行交易。 通过本课程，学员将全面掌握量化交易策略回测的技术和方法，为今后的量化分析和交易打下坚实的基础。
The essence of this course is a 'from the group up movement' type of course. You will be given a very large dataset with over 30 million rows of data of all tradable equities on the US stock markets from 2001 up until October 2021 - at daily intervals. Having having said that, we will show how to build your own backtester step by step and apply it to two well known trading algorithms: Moving Average Cross Over strategy and Pairs trading. With a brief reader on time series is also provided in order to help understand some of the mathematical concepts behind pairs trading such as pairs unit root and cointegration.Besides the implementation of the algorithms, we also look at large scale implementations of the algorithms using a pipeline which allows you to create a stock universe. Which is a class we will go over step by step as well. Moreover, we also look at Finally we end this section with a take home assignment that is a real life example of an assignment at a trading firm using high frequency data, where data sort and cleaning has to be implemented, determining a cointegrated relationship and determining how you would trade these two instruments.
