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genperms's Projects

algotrading-example icon algotrading-example

algorithmic trading backtest and optimization examples using order book imbalances. (bitcoin, cryptocurrency, bitmex, binance futures, market making)

alphaengine icon alphaengine

Golub, Glattfelder and Olsen, ''The Alpha Engine: Designing an Automated Trading Algorithm''

data-tardis icon data-tardis

Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.

hmm_trading icon hmm_trading

Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden state patterns.

ipca icon ipca

Instrumented Principal Components Analysis

statarb icon statarb

Statistical arbitrage trading strategy development and optimization

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