longonly / quantitative-notebooks

Educational notebooks on quantitative finance, algorithmic trading, financial modelling and investment strategy

The main objective of this repo is 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)

Difficulty

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 2 July 2020

License

This code has been released under the Apache 2.0 License