NYC Python Workshop

Intraday Strategy Backtesting, Portfolio Optimization and Risk Forecasting with Python

Nov 16th, NYC

You will learn why the use of high frequency market data is necessary to be able to measure correctly the risk and rebalance your portfolio adequately. You will also study how to build your own portfolio, create a strategy, backtest it, optimize it, and use vol forecasting with PortfolioEffect hft package available on Anaconda.


Beginner knowledge of Python and finance, college level math, laptop with Anaconda2 installed


10:30 AM-11:00 AM    Welcome

11:00 AM-11:30 AM    Introduction to high frequency market data

11:30 AM-12:00 PM    Intraday risk metrics

12:00 PM-12:30 PM    Exercise-build intraday risk metrics on portfolio

12:30 PM-1:00 PM      Backtesting portfolio and build your own strategies

1:00 PM-1:30 PM         Lunch break

1:30 PM-2:00 PM         Exercise on backtesting

2:00 PM-2:30 PM         Vol forecasting

3:00 PM-3:30 PM         Exercise

3:30 PM-4:00 PM         Portfolio optimization

4:00 PM-5:00 PM         Exercise Built your own optimization

5:00 PM-5:30PM           Closing remarks


Registration: Click here, space is limited

For a student discount, please email

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