Harbourfront Technologies Harbourfront Technologies

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.
http://tech.harbourfronts.com/trend-following-trading-system-quantitative-trading-in-python/

We develop a simple trading system exploiting the mean-reverting behaviour of the SP500 market index. To generate buy and sell signals, we will use simple moving averages as noise filters. Since we know that the SP500 is mean-reverting in a short term, we will use short-term moving averages.

http://tech.harbourfronts.com/mean-reverting-trading-system-quantitative-trading-in-python/

We are going to examine the mean-reverting and trending properties of SP500 directly using the autocorrelation functions. We do so with the goal of designing quantitative trading systems on stock indices.

http://tech.harbourfronts.com/autocorrelation-properties-of-sp500-quantitative-trading-in-python/

We discuss ways to determine the dividend yield accurately. We use traded options to determine the implied dividend yield. Specifically, if the options are of European-style exercise, then we can use the put-call parity to create a synthetic single stock future.

http://tech.harbourfronts.com/how-to-determine-implied-dividend-yield-derivative-valuation-in-excel/

We use the Exponential Weighted (EW) historical volatility that assigns bigger weights to the recent returns, and smaller weights to the past ones. The EWHV is more responsive than the equally weighted historical volatility. Also, the decline of the EWHV from its peak is smoother than that of the equally weighted HV.

http://tech.harbourfronts.com/exponentially-weighted-historical-volatility-in-excel-volatility-analysis-in-excel/

We are going to perform some numerical experiments. Specifically, we are going to use the portfolio optimization program developed in the previous post in order to study the effect of diversification.

http://tech.harbourfronts.com/modern-portfolio-theory-effect-of-diversification-on-the-optimal-portfolio-portfolio-management-in-python/