/Cycle-indicators

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

Primary LanguageJupyter Notebook

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.