FINM Computing for Finance in Python - Assignment 1

Overview

simulation and backtesting of Momentum strategy and Moving Average Crossover strategy for time series data of AAPL

Structure

• main.py: Main script to run the simulation.
• data_loader.py: Function to load market_data.csv data
• strategies.py: Strategy classes - Momentum strategy and Moving Average Crossover strategy
• models.py: Contains data models for orders and market data.
• engine.py: Portfolio and execution logic.
• reporting.py: Performance metrics and reporting functions.
• performance.ipynb: Jupyter notebook for analysis and visualization.

Usage

• Load market data: market_data = load_market_data_from_csv('./data/market_data.csv')
• Run the main script:

  python main.py

• Use the Jupyter notebook: Open performance.ipynb in VS Code or JupyterLab and run the cells.

Author

Joe Wang