Chris Conlan

Data Scientist

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Calculating Triple Barrier Labels from Advances in Financial Machine Learning

April 12, 2020 By Chris Conlan 2 Comments

In Marcos Lopez de Prado’s 2018 book, Advances in Financial Machine Learning, the author proposes a system for calculating labels for financial events based on the precipitation of events followings a list of event dates. These labels are typically members of the set {-1, 0, 1}, and are ideal for fitting machine learning classification models. […]

Filed Under: Automated Trading, Programming with Python, Snippets

Calculating Financial Performance Metrics in Pandas

April 12, 2020 By Chris Conlan 2 Comments

I just finished writing my latest book, Algorithmic Trading with Python. When writing the chapter on performance metrics, I was consistently surprised with the simplicity of the pandas code. If you, as a developer, resolve to only work with datetime-indexed pd.Series objects, the resulting code is really clean and easy. Simulating Data For those unfamiliar […]

Filed Under: Automated Trading, Programming with Python

The Best Language for XYZ: Answered Empirically

August 9, 2017 By Chris Conlan 2 Comments

Programming topics by programming language in open-source repos of big companies

One of the biggest jobs of CTOs and Technical Project Managers is to answer: What is the best software stack for building XYZ? On the web… Internet forums like Quora and Stack Overflow are littered with these kinds of questions. This is understandable, because committing to the wrong software stack can be deadly in the […]

Filed Under: Business Management, Programming with Python

Download Historical Stock Data with R and Python

July 24, 2017 By Chris Conlan 35 Comments

Update #2: Track this Issue Here Updates to this post are more about which API’s are still supported than how to access them with R, Python, or any other language. Follow the hilarious change history of EOD stock data API’s at my other post: https://chrisconlan.com/download-daily-data-every-sp-500-stock-r/. Update: Using Quandl’s API Because everything I write about breaks, […]

Filed Under: Automated Trading, Programming with Python, Programming with R

Procedurally Generating a Maze in Blender Python

July 23, 2017 By Chris Conlan 1 Comment

Everyone knows I am a fan of Blender Python. It’s really fun. This post will discuss a brief script for procedurally generating a maze in Blender Python. This may be the boilerplate code for a larger routine that produces massive randomly-generated landscapes. In this brief code, we will run into some fairly advanced concepts in […]

Filed Under: 3D Technology and Virtual Reality, Programming with Python

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