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Jupyter notebook tutorials for the QuantBook Lean system project.

Home Page: https://www.quantconnect.com/research

License: Apache License 2.0

Jupyter Notebook 100.00%

research's Introduction

Research

Jupyter notebook tutorials for the QuantBook Lean system project.

Fudamental Factor Analysis

This research applies MorningStar fundamental data to demonstrate how to select the effective factors for long/short strategies.

By Jing Wu.

Kalman Filter Based Pairs Trading

This research demonstrates the basic principle of pairs trading and introduces the concepts of cointegration and Kalman Filter for pairs trading.

By Jing Wu.

Mean-Variance Portfolio Optimization

This research demonstrates the mean-variance approach to asset allocation in modern portfolio theory and shows how to find the efficient frontier.

By Jing Wu.

EMA Cross Strategy Based on VXX

This research demonstrates how to build a simple EMA cross strategy with Python and how to get the performance statistics of the strategy.

By Jing Wu.

Pairs Trading Strategy Based on Cointegration

This research goes through the development process step-by-step of a pairs trading strategy and shows how to backtest the strategy.

By Jing Wu.

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