Analyzed fixed income term structure data to understand the distribution of interest rates by plotting kernel density and to identify bull and bear markets Forecasted bond prices using Principal Component Analysis, OLS Regression and designed trading strategies using prices, momentum, moving averages and market oscillators Maximized portfolio Sharpe Ratio and made P&L analysis. Calibrated risk measures such as Treynor Ratio, Sortino Ratio, Value-at-Risk and Expected Short Falls Created Trading Signals using numerical optimizations methods to secure long and short positions and the best time to buy, sell or hold the asset
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DharitShah13/Fixed-Income-Trading-Strategies
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