A simple machine learning strategy based on intraday data. The strategy uses a large set of pre-calculated features based on minute bars, which are resampled to hourly bars. The Machine Learning model used is a hyper-parameter tuned LGBM. The idea of the strategy is to open a trading position in the morning and close it in the evening.
In this notebook we will try to implement a simple Machine Learning based strategy to forecast and trade an S&P 500 ETF. The strategy uses a set of very simple technical features, permutation as a feature selection algorithm and an optuna-based hyper parameter optimization. The label for the strategy is based on Marcos Lopez de Prado's Trend Scanner.
In this notebook we try to use Ernest Chan's ideas on Conditional Probability (https://www.youtube.com/watch?v=nBy7b_oZ7mE) to improve an options selling strategy introduced by "Quant Galore" (https://quantgalore.substack.com/p/selling-volatility-the-right-way). According to Chan, we can use Machine Learning to predict the profitability of our next trade, which allows to vary exposure, reduce drawdowns and improve the strategy's performance. I am aware that the history is very short, therefore using a cross-validation and walk-forward optimization only makes limited sense. This notebook is more a showcase of the conditional probability idea.
In this notebook we try to create a few simple long-only ETF Portfolios using different portfolio optimization methods. The methods we will look at are: equal risk, Hierarchical Equal Risk Contribution (HERC) and a HERC with a momentum overlay. The HERC optimization is based on the paper by: Raffinot, Thomas, The Hierarchical Equal Risk Contribution Portfolio (August 23, 2018) The portfolio is then backtested and the results are compared. We try to create a diversified portfolio meanwhile keeping in mind transaction costs.
In this notebook we create a sector rotation strategy implemented with sector ETFs. The idea is taken from the post by: Sector Momentum - Rotational System and uses Rob Carver's definition of momentum.
In this notebook we investigate a few ideas presented by Rob Carver
We are especially interested in the momentum strategies suggested in his latest book: EWMAC, Breakout, Skew