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Algorithmic Short Selling with Python

Algorithmic Short Selling with Python

By : Laurent Bernut
4.7 (29)
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Algorithmic Short Selling with Python

Algorithmic Short Selling with Python

4.7 (29)
By: Laurent Bernut

Overview of this book

If you are in the long/short business, learning how to sell short is not a choice. Short selling is the key to raising assets under management. This book will help you demystify and hone the short selling craft, providing Python source code to construct a robust long/short portfolio. It discusses fundamental and advanced trading concepts from the perspective of a veteran short seller. This book will take you on a journey from an idea (“buy bullish stocks, sell bearish ones”) to becoming part of the elite club of long/short hedge fund algorithmic traders. You’ll explore key concepts such as trading psychology, trading edge, regime definition, signal processing, position sizing, risk management, and asset allocation, one obstacle at a time. Along the way, you’ll will discover simple methods to consistently generate investment ideas, and consider variables that impact returns, volatility, and overall attractiveness of returns. By the end of this book, you’ll not only become familiar with some of the most sophisticated concepts in capital markets, but also have Python source code to construct a long/short product that investors are bound to find attractive.
Table of Contents (17 chapters)
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14
Other Books You May Enjoy
15
Index

Creating a charting function

Before we visually compare various regime methods, let's publish the source code for a colorful charting function called graph_regime_combo. The parameters will gradually make sense as we unveil each method.

The code is as digestible as Japanese mochi rice, a common cause of death by asphyxiation for toddlers, elderly people, and foreigners, like the author, in Japan. The structure is however simple, like the author as well. Everything depends on whether the floor/ceiling method is instantiated in the rg variable, or not. If floor/ceiling is present, then it supersedes everything else. If not, the other two methods (breakout and moving average crossover) are printed. The ax1.fill_between method identifies the boundaries. Read all of them to understand the conditions. The rest is uneventful:

#### Graph Regimes ####
def graph_regime_combo(ticker,df,_c,rg,lo,hi,slo,shi,clg,flr,rg_ch,                       ma_st,ma_mt,ma_lt,lt_lo,lt_hi,st_lo,st_hi...
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Algorithmic Short Selling with Python
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