QuantConnect/Research

This repository is a collection of research notebooks and tutorials using the QuantConnect LEAN platform. Research covers a range of topics from tutorial focused demonstrations to topical analysis of modern movements in the financial markets.

Topical Events

• May 7, 2020 - S&P500 Hope vs Fear CV2019
• June 4, 2020 - Airline Bailout & Buybacks Research

Idea Streams PodCast

• May 28, 2020 Episode 5 - Tail Risk Hedging
• May 22, 2020 Episode 4 - Nowcasting News Announcements of Vaccine Trials
• May 10, 2020 Episode 3 - Correlation Analysis Major CV19 Economies
• April 28, 2020 Episode 2 - Unemployment Claims with SKLean
• April 20th, 2020 Episode 1 - Traunch Rebalancing

Research 2 Production Notebook Series

• Mean Reversion
• Random Forest Regression
• Uncorrelated Assets
• Kalman Filters and Pairs Trading
• Stationary Processes and Z-Scores
• Principal Component Analysis
• Hidden Markov Models
• Long Short-Term Memory

Analysis Examples

• Fudamental Factor Analysis: This research applies MorningStar fundamental data to demonstrate how to select the effective factors for long/short strategies.

• Kalman Filter Based Pairs Trading: This research demonstrates the basic principle of pairs trading and introduces the concepts of cointegration and Kalman Filter for pairs trading.

• Mean-Variance Portfolio Optimization: This research demonstrates the mean-variance approach to asset allocation in modern portfolio theory and shows how to find the efficient frontier.

• EMA Cross Strategy Based on VXX: This research demonstrates how to build a simple EMA cross strategy with Python and how to get the performance statistics of the strategy.

• Pairs Trading Strategy Based on Cointegration: This research goes through the development process step-by-step of a pairs trading strategy and shows how to backtest the strategy.