Silver Trading Algorithm

Last update: Jan 29, 2022

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Overview

Silver Trading Algorithm

This project was done in the context of the Applied Algorithm Trading Course (FINM 35910) at the University of Chicago.

Motivation

Build an algorithm trading strategy with multiple constraints dictated by the teacher in terms of market impact, liquidity, frequency of trades...

Code Style

The majority of the code that are with respect to analysis can be found in "analysis.py". The "data.py" code is there to generate and clean the data from source files, and "backtester.py" is the functions we used to backtest our strategy. The presentation to see the relevant results is under "trading_presentation.ipynb".

Contributing

Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.

Please make sure to update tests as appropriate.

Author

Laurent Lanteigne

License

MIT © lanteignel93

Owner

Laurent Lanteigne

Financial Engineer / Algorithmic Trading, Data and ML enthusiast / Mediocre bartender.

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