Harbourfront Technologies

Harbourfront Technologies
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We are a boutique financial service firm specializing in quantitative analysis, derivatives valuation and risk management.

  1. Trend-Following Trading System, Quantitative Trading In Python

    05/05/2021

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

    2 min
  2. Mean - Reverting Trading System - Quantitative Trading In Python

    26/04/2021

    Mean - Reverting 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/

    2 min
  3. Autocorrelation Properties of SP500-Quantitative Trading in Python

    31/03/2021

    Autocorrelation Properties of SP500-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/

    2 min
  4. How to Determine Implied Dividend Yield-Derivative Valuation in Excel

    06/03/2021

    How to Determine Implied Dividend Yield-Derivative Valuation in Excel

    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/

    3 min
  5. Exponentially Weighted Historical Volatility In Excel

    04/03/2021

    Exponentially Weighted Historical Volatility 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/

    2 min
  6. Modern Portfolio Theory - Effect Of Diversification On The Optimal Portfolio

    14/02/2021

    Modern Portfolio Theory - Effect Of Diversification On The Optimal Portfolio

    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/

    3 min
  7. Modern Portfolio Theory-Searching For the Optimal Portfolio-Portfolio Management in Python

    26/01/2021

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

    We are going to search for the optimal portfolio, i.e. one that has the highest risk-adjusted return. To do so, we will maximize the portfolio’s Sharpe ratio. The Sharpe Ratio is a financial metric that helps investors determine the return of an investment compared to its risk. The higher the Sharpe Ratio of a portfolio, the better it is in terms of risk-adjusted return. http://tech.harbourfronts.com/modern-portfolio-theory-searching-for-the-optimal-portfolio-portfolio-management-in-python/

    2 min
  8. Modern Portfolio Theory-Portfolio Management in Python

    05/12/2020

    Modern Portfolio Theory-Portfolio Management in Python

    Harry M. Markowitz is the founder of Modern Portfolio Theory (MPT) which originated from his 1952 essay on portfolio selection. In this post, we are going to provide a concrete example of implementing MPT in Python. Our portfolio consists of 3 Exchange Traded Funds (ETF): SPY, TLT, and GLD which track the S&P500, long-term Treasury bond, and gold respectively. http://tech.harbourfronts.com/trading/modern-portfolio-theory-portfolio-management-python/

    3 min
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We are a boutique financial service firm specializing in quantitative analysis, derivatives valuation and risk management.

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  • Creator
    Harbourfront Technologies
  • Years Active
    2019 - 2021
  • Episodes
    55
  • Rating
    Clean
  • Copyright
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    Harbourfront Technologies