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/
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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/
Modern Portfolio Theory-Portfolio Management in Python
Harbourfront Technologies
2 minutes 39 seconds
4 years ago
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/
Harbourfront Technologies
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/
