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Small update :)
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LongOnly committed Apr 5, 2019
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636 changes: 636 additions & 0 deletions AssetAllocation.ipynb

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123 changes: 63 additions & 60 deletions DecisionTreeRegressors.ipynb

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2 changes: 1 addition & 1 deletion LICENSE
Expand Up @@ -175,7 +175,7 @@ Apache License

END OF TERMS AND CONDITIONS

Copyright (c) 2018 Leonardo Filipe <contact@leonardofilipe.com>
Copyright (c) 2019 Leonardo Filipe <contact@leonardofilipe.com>

Licensed under the Apache License, Version 2.0 (the "License");
you may not use this file except in compliance with the License.
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133 changes: 72 additions & 61 deletions PairsTrading.ipynb

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14 changes: 6 additions & 8 deletions README.md
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#### This is [my website](https://www.leonardofilipe.com) related repo where I publish trading algorithms for S&P500 stocks and market indexes!
#### This is [my website](https://www.leonardofilipe.com) related repo where I publish some 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
#### 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; Scipy; Pandas; Matplotlib and Requests (for fetching Yahoo Finance data)
Dependencies: Numpy; Pandas; Matplotlib and Requests (for fetching Yahoo Finance data)

#### Difficulty

Moderate:

[ML Based Pairs Trading](DecisionTreeRegressors.ipynb) - Simple Machine Learning demonstration of Decision Tree Regressors applied to the previous pair
[ML Based Pairs Trading](DecisionTreeRegressors.ipynb) - A simple Machine Learning example, Decision Tree Regressors applied to the previous pair (also requires Scikit-Learn)

Basic:

[Long Only Pairs Trading](PairsTrading.ipynb) - A simple pairs trading strategy focused on buying the loser! Signal is given by rolling correlation

Introductory:

[Dynamic Asset Allocation](DynamicAssetAllocation.ipynb) - Encouraging dynamic capital allocation (not rebalacing)! [#Think Bayes](https://github.com/AllenDowney/ThinkBayes2)
[Dynamic Asset Allocation & Diversification](AssetAllocation.ipynb) - Exploring geographical diversification and optimizing capital allocation (also requires Scipy)

[Geographical Diversification](GeographicDiversification.ipynb) - Hello (Financial) World

Market data last updated at 18 March 2019
Market data last updated at 4 April 2019

#### Who am I?
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
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