Popular repositories Loading

1. momentum-spxl momentum-spxl Public

   Trend following on a leveraged ETF: 16 years of backtest with costs, sensitivity grids, and a look-ahead bias test. It does not beat buy and hold, and the README explains why

   Python 1

2. option-pricer option-pricer Public

   Black-Scholes greeks, Cox-Ross-Rubinstein and Leisen-Reimer trees, and an implied volatility solver that holds up across the wings of a live option chain

   Python 1

3. structured-products-pricer structured-products-pricer Public

   Monte Carlo pricing of autocalls, reverse convertibles, shark notes and credit-linked notes, with autocall probabilities, coupon distributions and greeks

   Python

4. relative-value-strategies relative-value-strategies Public

   Crack spread and 2s5s10s butterfly research: conditional fair value, factor exposure, regime conditioning. A spread is not a hedge, and a hedge ratio is only as good as its own standard deviation

   Python