Backtesting a Trading Strategy in Python With AI Generated Code

[@RyanOConnellCFA]

🤖 Sign Up For Datalore: jb.gg/check-out-datalore 💾 Download Free Code & AI Prompts Automatically: jb.gg/datalore-report 🖺 Link to Full Article: jb.gg/blog-datalore

[@Abhinavjain2004]

Sir, I want to express my heartfelt gratitude. You are truly one of the best teachers and a guiding light for many mathematics and computer science students. Your videos are incredibly insightful and make learning so much easier. Thank you for sharing your vast knowledge with us. If possible, could you consider creating a course or youtube playlist on Python for Quantitative Finance, covering everything from beginner to advanced topics such as risk models, option pricing, and algorithmic trading? It would be extremely helpful and invaluable for students pursuing a career in quantitative finance. Thank you once again for your dedication and generosity in teaching. 🙏🙏

[@SariKhayyal]

Great presentation! As you noted, if you factor in the 10 US Treasury note average interest rate over the past 10 years (2.0377%) the Sharpe Ratio works out to 0.730973 for the Mean Reversion Strategy, versus 0.776654 for the DIA, and this also doesn't include transaction costs - as you also mentioned - so caveat emptor for the implementation of this strategy.

[@RyanOConnellCFA]

Thank you and very good point! A more accurate backtest would include the risk free rate. I think a good way to adjust the prompt would be to ask the AI to source data on the 10 year treasury rates over the last 10 years, average it, and then include it in the sharpe ratio calculation as you hinted at

[@SlashnKashmir]

Great video. Please continue similar strategy+coding concept.

[@RyanOConnellCFA]

Thank you! This video seems to be a hit so I will definitely make more strategy and coding videos in the future

[@shih-binshih9889]

thanks for sharing, always learning a lots from your video!!!

[@RyanOConnellCFA]

Much appreciated and glad to hear that you are getting value out of it!

[@pablomoure2963]

Top notch video man¡ Could you please make a video setting up this strategy (or whichever you prefer) in a demo broker account? It would be nice to understand how to connect to broker apis, so we know the whole process end to end. Cheers

[@RyanOConnellCFA]

Hey Pablo, great idea! I have thought of creating a series of videos on setting up algorithmic trading strategies in a paper trading account (fake money for practicing) so I will absolutely look into it in the future

[@alwikah5664]

Top video. Possible to do the same process with Forex (EURUSD or GBPUSD) ? Thanks a lot !!!

[@RyanOConnellCFA]

I appreciate it and thank you for the video idea! I can look into this as a potential future video topic