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Yves Hilpisch
Yves Hilpisch
Python
for Algorithmic
Trading
From Idea to Cloud Deployment
Yves Hilpisch
Python for Algorithmic Trading
From Idea to Cloud Deployment
Boston Farnham Sebastopol
Tokyo
Beijing Boston Farnham Sebastopol
Tokyo
Beijing
978-1-492-05335-4
[LSI]
Python for Algorithmic Trading
by Yves Hilpisch
Copyright © 2021 Yves Hilpisch. All rights reserved.
Printed in the United States of America.
Published by O’Reilly Media, Inc., 1005 Gravenstein Highway North, Sebastopol, CA 95472.
O’Reilly books may be purchased for educational, business, or sales promotional use. Online editions are
also available for most titles (http://oreilly.com). For more information, contact our corporate/institutional
sales department: 800-998-9938 or corporate@oreilly.com.
Acquisitions Editor: Michelle Smith
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Interior Designer: David Futato
Cover Designer: Jose Marzan
Illustrator: Kate Dullea
November 2020: First Edition
Revision History for the First Edition
2020-11-11: First Release
See http://oreilly.com/catalog/errata.csp?isbn=9781492053354 for release details.
The O’Reilly logo is a registered trademark of O’Reilly Media, Inc. Python for Algorithmic Trading, the
cover image, and related trade dress are trademarks of O’Reilly Media, Inc.
The views expressed in this work are those of the author, and do not represent the publisher’s views.
While the publisher and the author have used good faith efforts to ensure that the information and
instructions contained in this work are accurate, the publisher and the author disclaim all responsibility
for errors or omissions, including without limitation responsibility for damages resulting from the use of
or reliance on this work. Use of the information and instructions contained in this work is at your own
risk. If any code samples or other technology this work contains or describes is subject to open source
licenses or the intellectual property rights of others, it is your responsibility to ensure that your use
thereof complies with such licenses and/or rights. This book is not intended as financial advice. Please
consult a qualified professional if you require financial advice.
Table of Contents
Preface. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ix
1.
Python and Algorithmic Trading. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Python for Finance 1
Python Versus Pseudo-Code 2
NumPy and Vectorization 3
pandas and the DataFrame Class 5
Algorithmic Trading 7
Python for Algorithmic Trading 11
Focus and Prerequisites 13
Trading Strategies 13
Simple Moving Averages 14
Momentum 14
Mean Reversion 14
Machine and Deep Learning 15
Conclusions 15
References and Further Resources 15
2.
Python Infrastructure. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
Conda as a Package Manager 19
Installing Miniconda 19
Basic Operations with Conda 21
Conda as a Virtual Environment Manager 27
Using Docker Containers 30
Docker Images and Containers 31
Building a Ubuntu and Python Docker Image 31
Using Cloud Instances 36
RSA Public and Private Keys 38
iii
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