Project Quant

Quantitative strategy with python

Asset Allocation Strategy

1. Modern Portfolio Theory (Mean Variance optimization)

[code] https://github.com/QuhiQuhihi/assetallocationstrategy/blob/main/00meanvariance.ipynb [blog] https://quhiquhihi.github.io/posts/Mean-Varance/

2. Risk Parity Investment Strategy

[code] https://github.com/QuhiQuhihi/assetallocationstrategy/blob/main/01riskparity.ipynb [blog] https://quhiquhihi.github.io/posts/Risk_Parity/

3. Hierachical Risk Parity Investment Strategy

[code] https://github.com/QuhiQuhihi/assetallocationstrategy/blob/main/02hierachicalrisk_parity.ipynb [blog] https://quhiquhihi.github.io/posts/HierachicalRiskParity/

4. Kelly Criteriom for Investment Strategy

[code] https://github.com/QuhiQuhihi/assetallocationstrategy/blob/main/03kellycriteriom.ipynb [blog] https://quhiquhihi.github.io/posts/Kelly_Rule/

5. Maximum Diversification Investment Strategy

[code] https://github.com/QuhiQuhihi/assetallocationstrategy/blob/main/04maxdiversification.ipynb

6. Sector Rotation with momentum Investment Strategy

[code] https://github.com/QuhiQuhihi/assetallocationstrategy/blob/main/05sectorrotationwithmomentum.ipynb [blog] https://quhiquhihi.github.io/posts/Sector_Momentum/

7. Vigiliant Asset Allocation with momentum Investment Strategy

[code] https://github.com/QuhiQuhihi/assetallocationstrategy/blob/main/06vigilantassetallocationwith_momentum.ipynb [blog] https://quhiquhihi.github.io/posts/VigiliantAssetAllocation/

8. Defensive Asset Allocation with momentum Investment Strategy

[code] https://github.com/QuhiQuhihi/assetallocationstrategy/blob/main/07defensiveassetallocationwithmomentummonthly.ipynb [blog] https://quhiquhihi.github.io/posts/DefensiveAssetAllocation/

9. Sector Rotation with reverse momentum Investment Strategy

[code] https://github.com/QuhiQuhihi/assetallocationstrategy/blob/main/08sectorrotationwithreverse_momentum.ipynb

Environment

Use python 3.8.10 Download from Anaconda.org