There are 5 repositories under sharpe-ratio topic.
Portfolio Optimization and Quantitative Strategic Asset Allocation in Python
For trading. Please star.
Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulations.
Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics and many other (ex-post) risk/return characteristics both on an individual stock and portfolio-basis, stand-alone and vs. a benchmark of choice (constructed with wxPython)
Parameter Optimization for Lean Algorithms
Portfolio optimization using Genetic algorithm.
A collection of various computational methods to optimize a user's investment portfolio using Modern Portfolio Theory and optimizing various factors such as Returns, Sharpe Ratio and Risk.
A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.
C++ code for "A Faster Drop-in Implementation for Leaf-wise Exact Greedy Induction of Decision Tree Using Pre-sorted Deque"
Markowitzify will implement a variety of portfolio and stock/cryptocurrency analysis methods to optimize portfolios or trading strategies. The two primary classes are "portfolio" and "stonks."
Design your own Trading Strategy
Stock Portfolio Analysis using Python/Pandas
analyze financial data using python: numpy, pandas, etc.
Python notes on finance
A student Investment portfolio web app built with various optimization techniques and screening parameters from core finance
Data Science Case Studies
📈This repo describes a framework that leverages sentiment stability of a financial 10-K report as the trading signal (alpha factor)
📊 A financial correlations library for Elixir, fully compatible with the elixir Decimal library.
💪📈 Powerfolio! is a stock screener and portfolio analysis. Backtest buy-and-hold vs. trading on RSI. Build a portfolio using efficient frontier and map hierarchical clustering results.
Modern Portfolio Theorem for portfolio optimization and asset allocation
📈This repo describes a framework that leverages sentiment stability of a financial 10-K report as the trading signal (alpha factor)
Download NIFTY historic data and calculate Calmar Ratio, Sortino Ratio, Sterling ratio, Sharpe Ratio, Treynor ratio, Jensens alpha, Information ratio, Appraisal ratio, Tracking error, Max drawdown, Average drawdown. Select the best stocks based on Risk Adjusted Return and other parameters like debt to equity, insider holding, profit margin etc.
Sharpe ratio portfolio maximization by way of quadratic programming.
Investment strategy on NAFTRAC, which is an ETF (Exchanged Traded Fund), which replicates the index of the Mexican Stock Exchange
Using Monte-Carlo simulation in order to find the optimal portfolio weights according to several criteras (Sharpe ratio, max drawdown, mean-variance).
Simple trading bot algorithms based on Sharpe ratio and Moving Average
Portfolio optimization using efficient frontier curve
NIFTY50 Data Analysis from scratch (Data Extraction & Visualization to Investment Insights)
Backtesting my current US stocks portfolio
Analyze a personal portfolio of stock's past performance and forecast future performance to optimize daily positional adjustments to create a 20% monthly return
Deflated Sharpe Ratio