This repo recreates the book Algorithmic Trading Winning Strategies and their Rational by Ernie Chan.
The original code is in MATLAB. Many others have implemented this book in Python and helped me a lot during the study process. I try to implement every chapter using Jupyter Notebook. In the notebook, I can write down my thought process, therefore, make it easier for others who are interested in learning the book in Python.
- This project is associated with virtural environment qt-env and ipykernel qt.
- ipykernel==4.8.2
- bokeh==0.12.15
- lxml==4.2.1
- mysql-connector-python==8.0.11
- pandas-datareader==0.6.0
- pipdeptree==0.12.1
- seaborn==0.8.1
- SQLAlchemy==1.2.7
- statsmodels==0.9.0
- bs4==0.0.1
- pykalman==0.9.5
- Complete Trading calender spread, 07/16/2018