Developing a successful trading algorithm is about finding the right balance between capturing market gains and managing risks. In this capstone project for the Flatiron School Data Science Bootcamp, I created and refined a QuantConnect trading algorithm that combines a dynamic strategy for SPY with a risk-managed approach for TQQQ. The goal was to optimize…
Category: Finance
Efficient Portfolio Construction
This is a Python implementation of Robert C. Merton’s efficient or minimum-variance portfolio algorithm from the paper An Analytic Derivation of the Efficient Portfolio Frontier (1972). Building on the work of Harry Markowitz, Merton describes a way to assign weights to a list of securities to make a portfolio that has the lowest variance in…
Option Pricing
This is a set of MATLAB functions for calculating option prices, along with several examples of how the functions can be used. Developed from theory presented in Option Trading by Euan Sinclair. https://github.com/brayvid/option-pricing