Open sourced research notebooks by the QuantConnect team.
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.
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.