Quantitative Research
Notes and projects in quantitative finance, statistics, algo trading, and machine learning.
Time Series
- Installing Merlion
- Kaggle Time Series Competitions and Solutions (1)
- Deep Adaptive Input Normalization
- Time Series Anomaly Detection
- Anomaly Detection with Salesforce Merlion Package - Unsupervised anomaly detection
- Technical Analysis
- Kaggle Competitions
- Time Series
- Predicting regime shift in time series data - Literature review
- Predicting regime shift in time series data - Literature review
- Temporal covariate shift
- Markov switching dynamic regression models
- Anomaly Detection with Salesforce Merlion Package - Unsupervised learning with Isolation Forest, VAE, and Ensemble
- Regime Shift
- Time series data split for cross validation
- A comparison of machine learning model validation schemes for non-stationary time series data
Portfolio Management
Technical Indicators
- Awesome Oscillator (AO)
- FRAMA - Fractal Adaptive Moving Average
- VAMA - A New Adaptive Moving Average
- Bollinger Bands Introduction
- Technical Indicators
- Moving Average Convergence/Divergence (MACD)
- Relative Strength Index (RSI), Stochastic RSI (STOCH RSI), Inverse Fisher Transform applied on RSI (IFT RSI)
- Commodity Channel Index (CCI)
- Williams %R (%R)
- Money Flow Index (MFI)
- Chaikin Money Flow (CMF)
- Chaikin Oscillator
- Connors RSI (CRSI)
- Coppock Curve
- Choppiness Index (CHOP)
- Keltner Channels (KC)
- Chande Momentum Oscillator (CMO)
- Average Directional Index (ADX)
- Dynamic Momentum Index (DYMI)
- The Vortex Indicator
- Ichimoku Cloud
- Value Chart
- Wave PM (Whistler Active Volatility Energy Price Mass)
- Exponential Deviation Bands
- Schaff Trend Cycle (Oscillator)
- Kaufman Efficiency Ratio
- RSMK
- KDJ
- XSII
- Donchian Channel
- Tom Demark Indicator (Magic 9)
- ASI
- Psychological Line (PSY)
- Bull Power and Bear Power (Elder-Ray Index)
- John Ehlers's Decycler Oscillator
- BRAR
- BBI
- MAMA - MESA Adaptive Moving Average
- Relative Strength Moving Averages (RS_EMA)
- The Relative Strength Volatility-Adjusted Exponential Moving Average (RS VolatAdj EMA)
- Stochastic Moving Average Convergence/Divergence (MACD)
- Hann windowed finite impulse response filter (FIR) Windowing
- An Improved Directional Movement Indicator (DMH)
- Relative Strength Moving Averages With Hann Windowing (RSIH)
- Moving average bands (MAB) and moving average band width (MABW)
- Detecting High-Volume Breakouts - Volume Positive Negative (VPN)
- MADH (moving average difference with Hann)
- Volume-Weighted Moving Average Convergence/Divergence (VW_MACD)
- Adaptive price zone (APZ)
- Aroon
- Chaikin Money Flow (CMF)
- MACD-V - Volatility Normalised Momentum
- The Relative Strength Volume-Adjusted Exponential Moving Average (RS VA EMA)
- True Range Adjusted Exponential Moving Average (TRAdj EMA)
- The Breakout Relative Strength Index (BRSI) by Howard Wang
- Measuring Overbought And Oversold - Greed And Fear Index (GFI)
Strategies & Backtests
- Backtesting A Mean-Reversion Strategy In Python
- Combining Bollinger Bands With Candlesticks
- Adaptive Moving Averages
- Detecting High-Volume Breakouts - volume positive negative (VPN)
- Moving average bands (MAB) and moving average band width (MABW)
- Strategies & Backtests
- A Candlestick Strategy With Soldiers And Crows
- Weekly & Daily MACD
- Short-Term Continuation And Reversal Signals - DMI Continuation Signals and CCI Reversal Signals
- Combine Stochastic MACD, RS EMA, and RS VolatAdj EMA