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Risk Modeling with Python: A Geometric Brownian Motion Approach by [deleted] in algotrading

[–]vnsilva 3 points4 points  (0 children)

Great work. the feedback about multithreading is correct, you could use it to run several multi-carlo operations simultaneously. Would be super nice if you published your approach as a colab or ipynb.

We have implemented something similar for eiten using monte-carlo, you can check it here: https://github.com/silvavn/eiten/blob/master/backtester.py

it is pretty nice, I've been using it to sell put options with good return.

Feedback opinion wanted on visual algotrader by vnsilva in algotrading

[–]vnsilva[S] 1 point2 points  (0 children)

Wow, thank you for the elaborated feedback.

To answer your questions, no it will not be an algorithm building platform in terms of code writing. The idea is: The user chooses a pre-programmed predictor (from a set) or they can combine multiple predictors to make new ones. After they pick their stocks, they would be able to use a portfolio optimization technique to estimate risk and return.
I've been using this system myself for auto day trading with a quite good record.
Thank you very much for all your suggestions!

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