Quant-trading

 

Intro

 

We’re right 50.75 percent of the time... but we’re 100 percent right 50.75 percent of the time, you can make billions that way. --- Robert Mercer, co-CEO of Renaissance Technologies

If you trade a lot, you only need to be right 51 percent of the time, we need a smaller edge on each trade. --- Elwyn Berlekamp, co-Founder of Combinatorial Game Theory

###### The quotes above come from a book by Gregory Zuckerman, a book every quant must read, THE MAN WHO SOLVED THE MARKET.

 

Most scripts inside this repository are technical indicator automated trading. These scripts include various types of momentum trading, opening range breakout, reversal of support & resistance and statistical arbitrage strategies. Yet, quantitative trading is not only about technical analysis. It can refer to computational finance to exploit derivative price mismatch, pattern recognition on alternative datasets to generate alphas or low latency order execution in the market microstructure. Hence, there are a few ongoing projects inside this repository. These projects are mostly quantamental analysis on some strange ideas I come up with to beat the market (or so I thought). There is no HFT strategy simply because ultra high frequency data are very expensive to acquire (even consider platforms like Quantopian or Quandl). Additionally, please note that, all scripts are historical data backtesting/forward testing (basically via Python, not C++, maybe Julia in the near future). The assumption is that all trades are frictionless. No slippage, no surcharge, no illiquidity. Last but not least, all scripts contain a global function named main so that you can embed the scripts directly into you trading system (although too lazy to write docstring).

Table of Contents

 

#### Options Strategy

• Options Straddle
• VIX Calculator

 

#### Quantamental Analysis

• Monte Carlo Project

• Oil Money Project

• Pair Trading

• Portfolio Optimization Project

• Smart Farmers Project

• Wisdom of Crowd Project

 

#### Technical Indicators

• Awesome Oscillator

• Bollinger Bands Pattern Recognition

• Dual Thrust

• Heikin-Ashi Candlestick

• London Breakout

• MACD Oscillator

• Parabolic SAR

• Relative Strength Index Pattern Recognition

• Shooting Star

 

Data Source

• Bloomberg/Eikon

• CME/LME

• Histdata/FX Historical Data

• Macrotrends

• Stooq/Quandl

• Reddit WallStreetBets

• Web Scraping

• Yahoo Finance/fix_yahoo_finance package/yfinance package

Strategies:

1. MACD oscillator