This repository is a collection of research notebooks and tutorials using the QuantConnect LEAN platform. Research covers a range of topics from tutorial focused demonstrations to topical analysis of modern movements in the financial markets.
- May 7, 2020 - S&P500 Hope vs Fear CV2019
- June 4, 2020 - Airline Bailout & Buybacks Research
- May 28, 2020 Episode 5 - Tail Risk Hedging
- May 22, 2020 Episode 4 - Nowcasting News Announcements of Vaccine Trials
- May 10, 2020 Episode 3 - Correlation Analysis Major CV19 Economies
- April 28, 2020 Episode 2 - Unemployment Claims with SKLean
- April 20th, 2020 Episode 1 - Traunch Rebalancing
- Mean Reversion
- Random Forest Regression
- Uncorrelated Assets
- Kalman Filters and Pairs Trading
- Stationary Processes and Z-Scores
- Principal Component Analysis
- Hidden Markov Models
- Long Short-Term Memory
-
Fudamental Factor Analysis: This research applies MorningStar fundamental data to demonstrate how to select the effective factors for long/short strategies.
-
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.
-
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.
-
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.
-
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.