Tag: alpha

Fordham-PortfolioEffect Algo Trading Workshop with Python, NYC

NYC, Sunday, May 21st from 9am to 4pm During the workshop, you will learn how to compute intraday risk with PortfolioEffect HFT package available on Anaconda. The complexity of tick market data will be explained. You will study how to build your own portfolio, create a strategy, backtest it, optimize it, and use vol forecasting. […]

Jupyter Notebook, Python or R Kernel & PortfolioEffect HFT Package

Using Jupyter notebook to develop strategies, do research or monitor your portfolio is a great idea.  Jupyter supports different languages. At PortfolioEffect, our users are currently using R or Python kernel. They directly login through our web browser to see their portfolios. Examples on how to develop strategies and monitor risks are provided. This solution […]

PortfolioEffect Utilizes Real-Time Risk Metrics To Create Alpha

Benzinga’s article on PorftolioEffect can be found on this link. We decided to post the article in the blog as it is a good description of what we do. You can vote for PortfolioEffect here on Facebook and Linkedin for 2 votes. PortfolioEffect Utilizes Real-Time Risk Metrics To Create Alpha Brett Hershman , Benzinga Staff Writer   […]

Moving Average Strategy using hft Python package

Package Installation For hft package installation, you will need to have Anaconda2 and JDK installed. Please take a look at the manual. conda install -c portfolioeffect hft Strategy description We use price vector to create a strategy based on moving average. We assume that prices tend to revert to its moving average. Therefore, if the […]

Chicago Python Workshop

Alpha Generation: Controlling Intraday Risk Profile with Python Friday, February 10 2017, 10:30 AM – 5:30 PM [CST] Chicago, 10th of  Frebruary 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 learn how to build strategies to […]

Very interesting R and Python Workshops in NYC

During our 2 workshops, we covered how to compute intraday risk, backtest strategies, forecast metrics and optimize your portfolio to get more alpha. We went through classic moving average strategies to comparing high frequency strategies to low frequencies. Attendees from different background have been present from banks to hedge funds to academics. It gave a stimulating […]