tradytics/eiten
Statistical and Algorithmic Investing Strategies for Everyone
Implements eigen portfolio decomposition, minimum variance optimization, and genetic algorithm-based portfolio construction with random matrix theory noise filtering on covariance matrices. Integrates Yahoo Finance for historical OHLC data across multiple timeframes (minute to daily), performs backtesting and Monte Carlo forward simulation, and compares strategy performance against market indices via a modular architecture separating data loading, strategy management, and portfolio backtesting.
3,157 stars. No commits in the last 6 months.
Stars
3,157
Forks
371
Language
Python
License
GPL-3.0
Category
Last pushed
Jul 30, 2022
Commits (30d)
0
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