This is my website related repo where I publish trading algorithms for S&P500 stocks and market indexes!
The main objective is to be educational and help with idea generation, they're not appropriate for consumption since they are overfitted optimized but I'm aiming to publish some content on validation soon
Dependencies: Numpy; Scipy; Pandas; Matplotlib and Requests (for fetching Yahoo Finance data)
Moderate:
ML Based Pairs Trading - Simple Machine Learning demonstration of Decision Tree Regressors applied to the previous pair
Basic:
Long Only Pairs Trading - A simple pairs trading strategy focused on buying the loser! Signal is given by rolling correlation
Introductory:
Dynamic Asset Allocation - Encouraging dynamic capital allocation (not rebalacing)! #Think Bayes
Geographical Diversification - Hello (Financial) World
Market data last updated at 18 March 2019
I'm Leonardo, a 23 year old currently enrolled in a Masters of Applied Econometrics and Forecasting, looking forward to share (some) of my insights on quantitative investment strategies
Feel free to email me if you have any doubt, suggestion or critique - contact at leonardofilipe.com
This code has been released under the Apache 2.0 License