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31 dokumentů
This notebook demonstrates a Monte Carlo approach to forecasting stock prices with geometric Brownian motion. It estimates drift and volatility from historical log returns, generates many simulated price paths, and splits the price series sequentially into…
This repository overview introduces a collection of systematic trading approaches, including moving-average momentum, cointegration-based pairs trading, candlestick signals, and an opening-range breakout. It also points to projects in options, portfolio…
This README introduces a planned quantitative research project connecting iron ore spot prices with the currencies of countries that export iron ore. It presents the project as an extension of an earlier commodity-focused trading strategy, with an intended…
The document outlines a mean-reversion strategy for two assets selected for cointegration. It uses the Engle–Granger two-step approach: regress one price series on the other, test whether the residuals are stationary, then fit an error-correction model and…
This example describes two ways to use the relative strength index (RSI) in an equity backtest. Its basic signal rule uses a smoothed moving average to calculate RSI, then takes a short position above 70 and a long position below 30, remaining flat between…
This notebook explores relationships between Colombian peso exchange-rate data and crude oil blends, currencies, and gold. It ranks simple ordinary least squares regressions by R-squared, compares the Vasconia crude relationship with the peso before and…
The script outlines an intraday foreign-exchange breakout strategy. It records prices during the hour before London opens, uses that period’s high and low as thresholds, and looks for a break during the first 30 minutes of the London session. It permits a…
The document implements two momentum approaches for a single asset: MACD from short and long exponential moving averages of closing prices, and the Awesome Oscillator from short and long simple moving averages of the high-low midpoint. Both use…
The document proposes using convex optimization to model how farmers allocate limited arable land among crops to maximize profit. Its framework combines crop prices, production costs, and supply effects: planting more can raise output but may also depress…
The document builds a long-only stock strategy around Heikin-Ashi candles, which transform open, high, low, and close prices to smooth price movement. A long signal requires a bearish candle whose open equals its high, a larger body than the previous candle,…
The document implements a shooting star candlestick detector for equities and turns qualifying patterns into short entries. It tests candle color, wick and body proportions, a recent upward move, and confirmation from the following candle. A qualifying…
The article tests whether Monte Carlo simulations of stochastic differential equations can forecast stock prices, directions, or severe losses. It selects the simulation curve that best fits historical data, then evaluates it on later observations, arguing…
The document is a country-level table of oil production economics. It lists operational cost, capital cost, total cost, estimated reserves, daily production, and the 2015 average oil price for twenty producers. The figures allow readers to compare reported…
This notebook explores relationships among the Canadian dollar, crude oil benchmarks, and other currencies or commodities. It compares normalized series and fits separate ordinary least squares regressions of CAD against candidate variables, using R-squared…
This document is a dated series of U.S. Treasury yields organized by maturity, from short bills through long-term securities. Each row pairs an observation date with a maturity and quoted yield, allowing researchers to examine how rates across the curve…
The script outlines a VIX-style calculation from options prices. It estimates a forward level from the call-put price difference at the strike with the smallest disparity, selects the adjacent strike not above that forward, and aggregates out-of-the-money…
This document is a dated market data table spanning observations from 2013 through 2018, with a truncated section indicated by an ellipsis. Columns identify Western Canadian Select crude, gas, WTI, several currency series, Edmonton, gold, and the Canadian…
This notebook explores how several market series relate to the Russian ruble exchange rate against the Australian dollar. It fits separate ordinary least squares regressions for each candidate regressor within each year, then repeats the analysis…
The notebook estimates crop prices from Malaysian GDP, population, and crop production data. It fits ordinary least squares models for comparison, then uses quadratic optimization to constrain the non-constant coefficients to be nonnegative. Production…
The document describes a rule-based method for detecting a double-bottom, or “W,” pattern with Bollinger Bands. It calculates a 20-period moving average and standard deviation, then sets the upper and lower bands two standard deviations from the average. The…
This script introduces a long straddle: buying a call and put with the same strike and expiration to seek gains from a sufficiently large move in either direction. It explains that the combined premium sets the loss at expiration and the distance the…
This Python example implements a Dual Thrust opening range breakout for intraday prices. It aggregates minute data into daily open, close, high, and low values, then calculates a rolling range from prior highs, lows, and closes. At the stated example…
This document describes a data preparation workflow for Malaysian crop production, harvested area, producer prices, land use, population, and GDP data over multiple years. It joins production with harvested area to calculate inverse yield, organizes crop…
The document explores a statistical arbitrage strategy that estimates NOKJPY from USD, GBP, EUR, and Brent crude priced in yen. An Elastic Net regression is used to address multicollinearity in the predictors. The difference between actual and fitted NOKJPY…