Actuarial Data Science

Bridging the Gap between Actuarial and Data Science



Mon 23 April 2018

Creating Performance Reports with Backtrader

Posted by Pieter Marres in Articles   

When it comes to testing and comparing investment strategies, the Python ecosystem offers an interesting alternative for R’s quantstrat. I’m talking here about backtrader, a library that has been around for a while now. In this post, I propose a 1 page PDF report featuring both graphical output and essential performance statistics for making a sound judgment about the quality of a trading strategy.

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Sat 03 March 2018

Beware of hidden non-linearities!

Posted by Pieter Marres in Articles   

In many practical applications, assuming a linear relationship between variables can simplify problem solving significantly. During a recent project I learned things can go wrong when this assumption is made silently while the real world out there turns out to behave non-linear.

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