Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, such as that on Medium. Those for the book are mostly originally written for the RATS time-series analysis system, which is commercial software, so I have begun porting the code to Python Notebooks written for Google's colab https://colab.research.google.com. This is mostly what I will post here. The figures for the book will be generated by notebooks titled "Section n.n.n Section Title" etc. It is my intention to release a book titled "Financial Data Science in Python" which incorporates all of this work and the descriptive prose necessary, but which could be thought of as a "study guide" for the "Adventures..." book.
I am also including notebooks which support some of my writing on Medium, but they may be moved to an other repo at a suitable time.
To learn more, or chat with me about this work, join my slack channel: https://join.slack.com/t/gillerinvestments/shared_invite/zt-12zh8m8na-4eDWT6GP5jAjGsYvVHf1dA
To read my work on Medium go here: https://stattrader.medium.com
You can buy copies of my books via: https://www.gillerinvestments.com/store or from Apple Books https://apple.co/3cQZoKl, Google Books http://bit.ly/39m8MDC and Amazon https://amzn.to/39cuRDa. The webpage for the 2nd. Edition is here https://www.worldscientific.com/worldscibooks/10.1142/12678.
Note added April, 2024: at this point I've decided that the repository for the next book, Financial Data Science in Python, will act as the primary location for the scripts that reproduce analytics similar to those covered in my original book: Adventures in Financial Data Science, Chapters 2 & 3. That will be plenty of enough content for the new book and, since the Python notebooks are largely completely original works, it prevents duplication of effort. The goal of Financial Data Science in Python will be to act as an "over your shoulder" companion for the analytics, with each Notebook discussed in great detail. Since I have other obligations, my writing being a "spare time" activity, this will proceed irregularly, but I hope to write an article for Medium once or twice a month. Each article will accompany an original notebook that is written for Google's Colab system at the moment.
And to answer an inevitable question: yes, I currently pursue an investment strategy that is based on the type of alphas developed in Adventures in Financial Data Science and using the kind of trading strategy I analyze in Essays on Trading Strategy.
Thanks, Graham