Back-Testing of Various Basic Strategies of Quantitative Investmentin Python – and Comparative Analysis of Specific Strategies
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DOI: 10.25236/ieesasm.2021.025
Corresponding Author
Wu Junlin
Abstract
In this article, we back-test some strategies of quantitative trading in the secondary market and get the key parameter such as yield, maximum drawdown, Sharpe ratio, Alpha and Beta, providing accurate and explicit references for the quantitative investors.
Keywords
Quantitative investment, Stock and bond, Mathematical modelling, Linear programming, Programming
