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djangu-algo's Projects

vcpscreener icon vcpscreener

Rudimentary approach to screen stocks containing volatility contraction pattern (VCP)

vectorbt icon vectorbt

Find your trading edge, using the fastest engine for backtesting, algorithmic trading, and research.

volatility-study icon volatility-study

• Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot and options prices data from CBOE and Yahoo Finance • Utilized NumPy, Pandas, and SciPy packages to calculate implied volatility, realized volatility, and risk premiums to measure how the market prices risk • Gathered and plotted daily VIX futures data with Selenium, Seaborn and Matplotlib to study volatility term structure • Examined volatility clustering and built forecasting tools for market risk using correlations of daily absolute returns and volatility at different time lags

volatility-trading icon volatility-trading

A complete set of volatility estimators based on Euan Sinclair's Volatility Trading

vollib icon vollib

Fundamentally a swig/python wrapper around Peter Jaeckel's lets_be_rational. lets_be_rational focuses exclusively on Black76, while Vollib extends this to add support for Black-Scholes and Black-Scholes-Merton.

volt icon volt

Public Implementation of Volatility Based Kernels and Moving Average Means for Accurate Forecasting with Gaussian Processes

volvisualizer icon volvisualizer

Extract and visualize implied volatility from option chain data

web-scraping icon web-scraping

Detailed web scraping tutorials for dummies with financial data crawlers on Reddit WallStreetBets, CME (both options and futures), US Treasury, CFTC, LME, MacroTrends, SHFE and alternative data crawlers on Tomtom, BBC, Wall Street Journal, Al Jazeera, Reuters, Financial Times, Bloomberg, CNN, Fortune, The Economist

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