This is my website related repo where I publish some algorithms for S&P500 stocks and market indexes!
The main objective is helping with idea generation! Some of these 'strategies' might not be appropriate for consumption due to overfitting (it's meant to be educational)
Dependencies: Numpy; Pandas; Matplotlib and Requests (for fetching Yahoo Finance data)
Moderate:
ML Based Pairs Trading - A simple Machine Learning example, Decision Tree Regressors applied to the previous pair (also requires Scikit-Learn)
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 & Diversification - Exploring geographical diversification and optimizing capital allocation (also requires Scipy)
Market data last updated at 13 June 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