mixture_model_trading_public
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Download Latest Version (.zip)- 60_40_benchmark.json
- equal_weight_benchmark.json
- gmm2_252.json
- gmm2_60.json
- historical_252.json
- historical_60.json
- tiingo_etf_prices_ending_2017-12-31.parq
- tiingo_etf_returns_ending_2017-12-31.parq
- 01_Motivation_07_2019.ipynb
- 01_Motivation_07_2019.slides.html
- 02_Intro_to_Gaussian_Mixtures_7_2019.ipynb
- 02_Intro_to_Gaussian_Mixtures_7_2019.slides.html
- 03_Are_Gaussian_Mixture_Components_More_Stationary_2019-01-01.ipynb
- 03_Are_Gaussian_Mixture_Components_More_Stationary_2019-01-01.slides.html
- 04_VAR_accuracy_of_Mixture_Models_vs_GARCH_et_al_2019-01-01.ipynb
- 04_VAR_accuracy_of_Mixture_Models_vs_GARCH_et_al_2019-01-01.slides.html
- 05_Inverse_VAR_Weight_Algorithms_Comparison_and_Evaluation_2019-01-01.ipynb
- 05_Inverse_VAR_Weight_Algorithms_Comparison_and_Evaluation_2019-01-01.slides.html
- 06_Using_GMM_to_Create_Synthetic_Data_07_2019.ipynb
- 06_Using_GMM_to_Create_Synthetic_Data_07_2019.slides.html
- reqs.yml
- slides command
- 01. Motivation [2019-01-01] .ipynb
- 01. Motivation.ipynb
- 02. Gaussian Mixtures-updated.ipynb
- 02. Intro to Gaussian Mixtures [2019-01-01].ipynb
- 02_Intro_to_Gaussian_Mixtures_7_2019-Part 1_Expectation Maximization.ipynb
- 03. Strategy Research-updated.ipynb
- 04. Strategy Implementation.ipynb
- 05. Algorithm Evaluation (with Quantconnect and pymc3)-updated.ipynb
- Density Estimation with Dirichlet Process Mixtures using PyMC3 - Austin Rochford.ipynb
- Section3_1-Expectation-Maximization.ipynb
- __init__.py
- algo_utils.py
- algo_utils_old.py
- ch5_utils.py
- Mixture_Model_Trading_Algorithm_Example_0.1.0.py
- Mixture_Model_Trading_Algorithm_Example_0.2.0.py
- QC_equal_weight_benchmark.py
- QC_gmm_inverse_var.py
- QC_historical_inverse_var.py
- QC_spy_bnd_6040_benchmark.py
- utils.py
- spy return cdf compare with ecdf-kstest.png
- spy return cdf compare-time series split 5 folds-kstest.png
- spy return faceted histogram plot-mean std.png
- spy return faceted quantile plot-kstest.png
- spy return faceted tsplot acf and pacf.png
- stationarity infographic screenshot-www.seanabu.com-2016-11-01-14-16-35.png
- aic_bic_choosing_optimal_components.png
- cuml_returns_boxplot_by_state_period-0.png
- cuml_returns_boxplot_by_state_period-1.png
- cuml_returns_boxplot_by_state_period-2.png
- cuml_returns_boxplot_by_state_period-3.png
- cuml_returns_boxplot_by_state_period-4.png
- cuml_returns_boxplot_by_state_period-5.png
- cuml_returns_boxplot_by_state_period-6.png
- cuml_returns_boxplot_by_state_period-7.png
- cuml_returns_boxplot_by_state_period-8.png
- cuml_returns_boxplot_by_state_period-9.png
- cuml_returns_states_period-0.png
- cuml_returns_states_period-1.png
- cuml_returns_states_period-2.png
- cuml_returns_states_period-3.png
- cuml_returns_states_period-4.png
- cuml_returns_states_period-5.png
- cuml_returns_states_period-6.png
- cuml_returns_states_period-7.png
- cuml_returns_states_period-8.png
- cuml_returns_states_period-9.png
- faceted_cuml_returns_states_period-0.png
- faceted_cuml_returns_states_period-1.png
- faceted_cuml_returns_states_period-2.png
- faceted_cuml_returns_states_period-3.png
- faceted_cuml_returns_states_period-4.png
- faceted_cuml_returns_states_period-5.png
- faceted_cuml_returns_states_period-6.png
- faceted_cuml_returns_states_period-7.png
- faceted_cuml_returns_states_period-8.png
- faceted_cuml_returns_states_period-9.png
- gmm_components_grid_multi_periods.png
- simulated_returns_em_example.png
- spy_returns_component_densities.png
- spy_returns_mean_std.png
- state_describe_period_0.csv
- state_describe_period_1.csv
- state_describe_period_2.csv
- state_describe_period_3.csv
- state_describe_period_4.csv
- state_describe_period_5.csv
- state_describe_period_6.csv
- state_describe_period_7.csv
- state_describe_period_8.csv
- state_describe_period_9.csv
- SPY_aic_bic_optimal_choice.png
- SPY_cuml_returns_outliers_ex.png
- SPY_outliers_per_annual.png
- SPY_outliers_per_annual_bic_optimal.png
- SPY_outliers_per_annual_ex.png
- SPY_outliers_per_month.png
- SPY_outliers_per_month_bic_optimal.png
- SPY_outliers_per_month_ex.png
- SPY_post_outliers_too_high.png
- SPY_post_outliers_too_high_no_dt.png
- SPY_post_outliers_too_low.png
- SPY_post_outliers_too_low_no_dt.png
- SPY_scatter_returns_outliers.png
- SPY_scatter_returns_outliers_bic_optimal.png
- SPY_scatter_returns_outliers_ex.png
- Short-Backtest-Results-Example.png
- alt_stacked_model_simulated_cagr_perc.png
- alt_stacked_model_simulated_cagr_perc_2018-06-10.png
- alt_stacked_model_simulated_ending_values_dist.png
- alt_stacked_model_simulated_ending_values_dist_2018-06-10.png
- bayesian_cones_comparison.png
- bayesian_cones_comparison_2018-06-10.png
- best_algo_la_model_simulated_cagr_perc.png
- best_algo_la_model_simulated_cagr_perc_2018-06-10.png
- best_algo_la_model_simulated_ending_values_dist.png
- best_algo_la_model_simulated_ending_values_dist_2018-06-10.png
- best_algo_norm_model_simulated_cagr_perc.png
- best_algo_norm_model_simulated_ending_values_dist.png
- best_algo_normal_model_simulated_cagr_perc_2018-06-10.png
- best_algo_normal_model_simulated_ending_values_dist_2018-06-10.png
- best_algo_t_model_simulated_cagr_perc.png
- best_algo_t_model_simulated_cagr_perc_2018-06-10.png
- best_algo_t_model_simulated_ending_values_dist.png
- best_algo_t_model_simulated_ending_values_dist_2018-06-10.png
- best_algo_t_model_simulated_paths_sample.png
- best_algo_t_model_simulated_paths_sample_2018-06-10.png
- Quantconnect-download-data-gif-Peek 2018-02-19 10-42.gif
- stacked_model_simulated_cagr_perc.png
- stacked_model_simulated_cagr_perc_2018-06-10.png
- stacked_model_simulated_ending_values_dist.png
- stacked_model_simulated_ending_values_dist_2018-06-10.png
- .gitignore
- quantconnect_gmm_algorithm_outline.md
- README.md
// repository documentation
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