Statistics and performance metrics in trading, CAGR, Sharpe, MAE, MFE, and others. Cointegration, Kalman, and option pricing.
Building a cointegration pairs-trading strategy, then systematically dismantling every bias until only the honest result remains.
A complete statistical arbitrage pipeline for the stocks of Shanghai Stock Exchange (SSE): data engineering, correlation analysis, clustering, and pairs trading backtest.
Cross-sectional statistical arbitrage on S&P 500 equities and crypto perpetuals. Walk-forward, point-in-time universes, and a null control reported next to every result.
Pairs trading backtest comparing static OLS, Kalman-filtered, and rolling OLS hedge ratios with GARCH volatility on ETF pairs (2017–2025)
Python quant toolkit for MetaTrader 5: Optimal trading session scheduling, tick-level microstructure analysis, feed health monitoring, TPO profiles, and statistical arbitrage.
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