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Harbourfront Technologies
Harbourfront Technologies

302 Followers

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May 5, 2021

Trend-Following Trading System, Quantitative Trading in Python

In a previous post, we demonstrated the mean-reverting and trending properties of SP500. We subsequently developed a trading system based on the mean-reverting behavior of the index. In this installment, we will develop a trend-following trading strategy. Trend following or trend trading is a trading strategy according to which one…

Trading Ideas

2 min read

Trend-Following Trading System, Quantitative Trading in Python
Trend-Following Trading System, Quantitative Trading in Python
Trading Ideas

2 min read


Apr 27, 2021

Mean-Reverting Trading System-Quantitative Trading in Python

In a previous post, we demonstrated the mean-reverting and trending properties of SP500. In this follow-up post, we will develop a simple trading system exploiting the mean-reverting behaviour of this market index. To generate buy and sell signals, we will use simple moving averages as noise filters. The simple moving…

Trading

2 min read

Mean-Reverting Trading System-Quantitative Trading in Python
Mean-Reverting Trading System-Quantitative Trading in Python
Trading

2 min read


Mar 31, 2021

Autocorrelation Properties of SP500-Quantitative Trading in Python

A technical or quantitative trading system on a linear (i.e. delta 1) instrument is basically a bet on the autocorrelation of the underlying. The autocorrelation properties of the underlying can be examined directly through autocorrelation functions or indirectly through the Hurst exponent. In this post, we are going to examine…

Python

2 min read

Autocorrelation Properties of SP500-Quantitative Trading in Python
Autocorrelation Properties of SP500-Quantitative Trading in Python
Python

2 min read


Mar 6, 2021

How to Determine Implied Dividend Yield-Derivative Valuation in Excel

Dividend yield is an input into the option valuation model that often receives little attention from the practitioners. This is probably because the majority of companies do not pay dividends. …

Dividends

4 min read

Dividends

4 min read


Feb 22, 2021

Exponentially Weighted Historical Volatility in Excel-Volatility Analysis in Excel

Historical volatility (HV) is a useful measure to gauge market uncertainty. Recall that, In finance, volatility (usually denoted by σ) is the degree of variation of a trading price series over time, usually measured by the standard deviation of logarithmic returns. …

Volatility Forecasting

3 min read

Exponentially Weighted Historical Volatility in Excel-Volatility Analysis in Excel
Exponentially Weighted Historical Volatility in Excel-Volatility Analysis in Excel
Volatility Forecasting

3 min read


Feb 1, 2021

Modern Portfolio Theory-Effect of Diversification on the Optimal Portfolio-Portfolio Management in Python

In the previous installments, we presented the concept of Modern Portfolio Theory. We also provided an optimization algorithm, written in Python, for searching for the optimal portfolio. To continue, we are going to perform some numerical experiments. Specifically, we are going to use the portfolio optimization program developed in the…

Gold

3 min read

Modern Portfolio Theory-Effect of Diversification on the Optimal Portfolio-Portfolio Management in…
Modern Portfolio Theory-Effect of Diversification on the Optimal Portfolio-Portfolio Management in…
Gold

3 min read


Jan 25, 2021

Modern Portfolio Theory-Searching For the Optimal Portfolio-Portfolio Management in Python

In the previous installment, we presented a description of the Model Portfolio Theory and provided a concrete example in Python. We also explained the concept of an Efficient Frontier and provided a visual presentation of it. Recall that, … the efficient frontier (or portfolio frontier) is an investment portfolio which…

Portfolio Management

2 min read

Modern Portfolio Theory-Searching For the Optimal Portfolio-Portfolio Management in Python
Modern Portfolio Theory-Searching For the Optimal Portfolio-Portfolio Management in Python
Portfolio Management

2 min read


Jan 21, 2021

The Willow Tree Method, an Advanced Option Pricing Model

The Binomial tree is a standard method for pricing American style options. Recall that, The Binomial options pricing model approach has been widely used since it is able to handle a variety of conditions for which other models cannot easily be applied. This is largely because the BOPM is based…

Options

2 min read

Options

2 min read


Dec 20, 2020

Is Quant’s Life Hard or Easy?

Last month, efinancialcarreeers published a post, stating that quant’s life is getting harder these days. Back in the day, a quant in finance could devise a strategy, sit back and let the money roll in while lounging about in a silk robe with a fat cigar. Such are the halcyon…

Software

2 min read

Is Quant’s Life Hard or Easy?
Is Quant’s Life Hard or Easy?
Software

2 min read


Dec 14, 2020

Convertible Bond Arbitrage Using the Volatility Surface

Convertible bonds are complex, hybrid securities. In finance, a convertible bond or convertible note or convertible debt (or a convertible debenture if it has a maturity of greater than 10 years) is a type of bond that the holder can convert into a specified number of shares of common stock…

Arbitrage

2 min read

Arbitrage

2 min read

Harbourfront Technologies

Harbourfront Technologies

302 Followers

We are a boutique financial service firm specializing in quantitative analysis and risk management. Visit us at http://tech.harbourfronts.com

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