paracats / Cycle-indicators

Cycle indicators from “Cybernetic Analysis for Stocks and Futures” and “Cycle Analytics for Traders”

Cycle-indicators

Cycle indicators from “Cybernetic Analysis for Stocks and Futures” and “Cycle Analytics for Traders” realized with python numpy package

final_report.ipynb

Summary of the indicators, including

• logic behind the code
• range of parameters (not effective range since it may be applied to time series with different frequencies)
• suggested simple trading strategy

indicator_lib.py

Indicator library. Return value include:

• signal generated by the simple trading strategy
• original indicator series
• trigger series (if necessary)

criteria_lib.py

Use rolling return to backtest indicators' performance.

Return criteria include:

• sharpe ratio
• MAR
• annualized profit
• max drawdown
• average largest 10 drawdown
• max drawdown ratio
• average turnover

Also, you can visualize indicator performance with the "performance" function.