Project Quant

Quantitative strategy with python

Asset Allocation Strategy

1. Modern Portfolio Theory (Mean Variance optimization)

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

2. Risk Parity Investment Strategy

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

3. Hierachical Risk Parity Investment Strategy

[code] https://github.com/QuhiQuhihi/asset_allocation_strategy/blob/main/02_hierachical_risk_parity.ipynb
[blog] https://quhiquhihi.github.io/posts/Hierachical_Risk_Parity/

4. Kelly Criteriom for Investment Strategy

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

5. Maximum Diversification Investment Strategy

[code] https://github.com/QuhiQuhihi/asset_allocation_strategy/blob/main/04_max_diversification.ipynb

6. Sector Rotation with momentum Investment Strategy

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

7. Vigiliant Asset Allocation with momentum Investment Strategy

[code] https://github.com/QuhiQuhihi/asset_allocation_strategy/blob/main/06_vigilant_asset_allocation_with_momentum.ipynb [blog] https://quhiquhihi.github.io/posts/Vigiliant_Asset_Allocation/

8. Defensive Asset Allocation with momentum Investment Strategy

[code] https://github.com/QuhiQuhihi/asset_allocation_strategy/blob/main/07_defensive_asset_allocation_with_momentum_monthly.ipynb
[blog] https://quhiquhihi.github.io/posts/Defensive_Asset_Allocation/

9. Sector Rotation with reverse momentum Investment Strategy

[code] https://github.com/QuhiQuhihi/asset_allocation_strategy/blob/main/08_sector_rotation_with_reverse_momentum.ipynb

Environment

Use python 3.8.10 Download from Anaconda.org