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QuantConnect
170 Stars 88 Forks Apache License 2.0 74 Commits 5 Opened issues

Description

Open sourced research notebooks by the QuantConnect team.

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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

Idea Streams PodCast

Research 2 Production Notebook Series

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.

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