diff --git "a/04 Strategy Library/01 CAPM Alpha Ranking Strategy on Dow 30 Companies/05 \347\256\227\346\263\225.cn.html" "b/04 Strategy Library/01 CAPM Alpha Ranking Strategy on Dow 30 Companies/05 \347\256\227\346\263\225.cn.html" index 1f296ed..4a79e84 100644 --- "a/04 Strategy Library/01 CAPM Alpha Ranking Strategy on Dow 30 Companies/05 \347\256\227\346\263\225.cn.html" +++ "b/04 Strategy Library/01 CAPM Alpha Ranking Strategy on Dow 30 Companies/05 \347\256\227\346\263\225.cn.html" @@ -4,6 +4,6 @@
- +
diff --git a/04 Strategy Library/02 Combining Mean Reversion and Momentum in Forex Market/06 Algorithm.html b/04 Strategy Library/02 Combining Mean Reversion and Momentum in Forex Market/06 Algorithm.html index 5c357f4..9717146 100755 --- a/04 Strategy Library/02 Combining Mean Reversion and Momentum in Forex Market/06 Algorithm.html +++ b/04 Strategy Library/02 Combining Mean Reversion and Momentum in Forex Market/06 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git "a/04 Strategy Library/03 Pairs Trading-Copula vs Cointegration/06 \347\256\227\346\263\225.cn.html" "b/04 Strategy Library/03 Pairs Trading-Copula vs Cointegration/06 \347\256\227\346\263\225.cn.html" index 932854a..c5d9f52 100644 --- "a/04 Strategy Library/03 Pairs Trading-Copula vs Cointegration/06 \347\256\227\346\263\225.cn.html" +++ "b/04 Strategy Library/03 Pairs Trading-Copula vs Cointegration/06 \347\256\227\346\263\225.cn.html" @@ -4,7 +4,7 @@
- +
@@ -14,6 +14,6 @@
- +
diff --git a/04 Strategy Library/04 The Dynamic Breakout II Strategy/04 Algorithm.html b/04 Strategy Library/04 The Dynamic Breakout II Strategy/04 Algorithm.html index 58173b8..3358861 100755 --- a/04 Strategy Library/04 The Dynamic Breakout II Strategy/04 Algorithm.html +++ b/04 Strategy Library/04 The Dynamic Breakout II Strategy/04 Algorithm.html @@ -4,7 +4,7 @@
- +

@@ -13,6 +13,6 @@

- +
diff --git a/04 Strategy Library/06 Can Crude Oil Predict Equity Returns/05 Algorithm.html b/04 Strategy Library/06 Can Crude Oil Predict Equity Returns/05 Algorithm.html index 01b99d6..0115518 100755 --- a/04 Strategy Library/06 Can Crude Oil Predict Equity Returns/05 Algorithm.html +++ b/04 Strategy Library/06 Can Crude Oil Predict Equity Returns/05 Algorithm.html @@ -4,6 +4,6 @@
- +
diff --git a/04 Strategy Library/07 Intraday Dynamic Pairs Trading using Correlation and Cointegration Approach/06 Algorithm.html b/04 Strategy Library/07 Intraday Dynamic Pairs Trading using Correlation and Cointegration Approach/06 Algorithm.html index 69b6365..3d55776 100755 --- a/04 Strategy Library/07 Intraday Dynamic Pairs Trading using Correlation and Cointegration Approach/06 Algorithm.html +++ b/04 Strategy Library/07 Intraday Dynamic Pairs Trading using Correlation and Cointegration Approach/06 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git "a/04 Strategy Library/07 Intraday Dynamic Pairs Trading using Correlation and Cointegration Approach/06 \347\256\227\346\263\225.cn.html" "b/04 Strategy Library/07 Intraday Dynamic Pairs Trading using Correlation and Cointegration Approach/06 \347\256\227\346\263\225.cn.html" index 69b6365..3d55776 100644 --- "a/04 Strategy Library/07 Intraday Dynamic Pairs Trading using Correlation and Cointegration Approach/06 \347\256\227\346\263\225.cn.html" +++ "b/04 Strategy Library/07 Intraday Dynamic Pairs Trading using Correlation and Cointegration Approach/06 \347\256\227\346\263\225.cn.html" @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/08 The Momentum Strategy Based on the Low Frequency Component of Forex Market/05 Algorithm.html b/04 Strategy Library/08 The Momentum Strategy Based on the Low Frequency Component of Forex Market/05 Algorithm.html index 03b3ba2..f9505bd 100755 --- a/04 Strategy Library/08 The Momentum Strategy Based on the Low Frequency Component of Forex Market/05 Algorithm.html +++ b/04 Strategy Library/08 The Momentum Strategy Based on the Low Frequency Component of Forex Market/05 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git "a/04 Strategy Library/09 Stock Selection Strategy Based on Fundamental Factors/04 \347\256\227\346\263\225.cn.html" "b/04 Strategy Library/09 Stock Selection Strategy Based on Fundamental Factors/04 \347\256\227\346\263\225.cn.html" index bcf0bc2..d1a72fa 100644 --- "a/04 Strategy Library/09 Stock Selection Strategy Based on Fundamental Factors/04 \347\256\227\346\263\225.cn.html" +++ "b/04 Strategy Library/09 Stock Selection Strategy Based on Fundamental Factors/04 \347\256\227\346\263\225.cn.html" @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/100 Trading with WTI BRENT Spread/03 Algorithm.html b/04 Strategy Library/100 Trading with WTI BRENT Spread/03 Algorithm.html index 15151d8..ccc8b22 100644 --- a/04 Strategy Library/100 Trading with WTI BRENT Spread/03 Algorithm.html +++ b/04 Strategy Library/100 Trading with WTI BRENT Spread/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git "a/04 Strategy Library/100 Trading with WTI BRENT Spread/03 \347\256\227\346\263\225.cn.html" "b/04 Strategy Library/100 Trading with WTI BRENT Spread/03 \347\256\227\346\263\225.cn.html" index 15151d8..ccc8b22 100644 --- "a/04 Strategy Library/100 Trading with WTI BRENT Spread/03 \347\256\227\346\263\225.cn.html" +++ "b/04 Strategy Library/100 Trading with WTI BRENT Spread/03 \347\256\227\346\263\225.cn.html" @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/102 Option Expiration Week Effect/03 Algorithm.html b/04 Strategy Library/102 Option Expiration Week Effect/03 Algorithm.html index 516d50a..7ff9460 100644 --- a/04 Strategy Library/102 Option Expiration Week Effect/03 Algorithm.html +++ b/04 Strategy Library/102 Option Expiration Week Effect/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/11 Fundamental Factor Long Short Strategy/04 Algorithm.html b/04 Strategy Library/11 Fundamental Factor Long Short Strategy/04 Algorithm.html index 53170f5..b8d9c7d 100755 --- a/04 Strategy Library/11 Fundamental Factor Long Short Strategy/04 Algorithm.html +++ b/04 Strategy Library/11 Fundamental Factor Long Short Strategy/04 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/113 January Barometer/03 Algorithm.html b/04 Strategy Library/113 January Barometer/03 Algorithm.html index be69ba3..e85f53d 100644 --- a/04 Strategy Library/113 January Barometer/03 Algorithm.html +++ b/04 Strategy Library/113 January Barometer/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/114 January Effect in Stocks/03 Algorithm.html b/04 Strategy Library/114 January Effect in Stocks/03 Algorithm.html index f94dcba..6dc92eb 100644 --- a/04 Strategy Library/114 January Effect in Stocks/03 Algorithm.html +++ b/04 Strategy Library/114 January Effect in Stocks/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/12 Asset Class Trend Following/03 Algorithm.html b/04 Strategy Library/12 Asset Class Trend Following/03 Algorithm.html index ca04542..77b7892 100644 --- a/04 Strategy Library/12 Asset Class Trend Following/03 Algorithm.html +++ b/04 Strategy Library/12 Asset Class Trend Following/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/125 12 Month Cycle in Cross-Section of Stocks Returns/03 Algorithm.html b/04 Strategy Library/125 12 Month Cycle in Cross-Section of Stocks Returns/03 Algorithm.html index 6189f9c..e7aa2b2 100644 --- a/04 Strategy Library/125 12 Month Cycle in Cross-Section of Stocks Returns/03 Algorithm.html +++ b/04 Strategy Library/125 12 Month Cycle in Cross-Section of Stocks Returns/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/13 Asset Class Momentum/03 Algorithm.html b/04 Strategy Library/13 Asset Class Momentum/03 Algorithm.html index 0e5258c..d001aad 100644 --- a/04 Strategy Library/13 Asset Class Momentum/03 Algorithm.html +++ b/04 Strategy Library/13 Asset Class Momentum/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/14 Sector Momentum/03 Algorithm.html b/04 Strategy Library/14 Sector Momentum/03 Algorithm.html index 0cb1b39..80765bc 100644 --- a/04 Strategy Library/14 Sector Momentum/03 Algorithm.html +++ b/04 Strategy Library/14 Sector Momentum/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/15 Short Term Reversal/03 Algorithm.html b/04 Strategy Library/15 Short Term Reversal/03 Algorithm.html index 09e4c6f..1970b93 100644 --- a/04 Strategy Library/15 Short Term Reversal/03 Algorithm.html +++ b/04 Strategy Library/15 Short Term Reversal/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/155 Momentum and Reversal Combined with Volatility Effect in Stocks/03 Algorithm.html b/04 Strategy Library/155 Momentum and Reversal Combined with Volatility Effect in Stocks/03 Algorithm.html index e3a87f0..41faf63 100644 --- a/04 Strategy Library/155 Momentum and Reversal Combined with Volatility Effect in Stocks/03 Algorithm.html +++ b/04 Strategy Library/155 Momentum and Reversal Combined with Volatility Effect in Stocks/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/16 Overnight Anomaly/03 Algorithm.html b/04 Strategy Library/16 Overnight Anomaly/03 Algorithm.html index e4a3020..cb7b3a9 100644 --- a/04 Strategy Library/16 Overnight Anomaly/03 Algorithm.html +++ b/04 Strategy Library/16 Overnight Anomaly/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/162 Momentum Effect in Stocks in Small Portfolios/03 Algorithm.html b/04 Strategy Library/162 Momentum Effect in Stocks in Small Portfolios/03 Algorithm.html index 6bbcd8e..219c782 100644 --- a/04 Strategy Library/162 Momentum Effect in Stocks in Small Portfolios/03 Algorithm.html +++ b/04 Strategy Library/162 Momentum Effect in Stocks in Small Portfolios/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git "a/04 Strategy Library/162 Momentum Effect in Stocks in Small Portfolios/03 \347\256\227\346\263\225.cn.html" "b/04 Strategy Library/162 Momentum Effect in Stocks in Small Portfolios/03 \347\256\227\346\263\225.cn.html" index 6bbcd8e..219c782 100644 --- "a/04 Strategy Library/162 Momentum Effect in Stocks in Small Portfolios/03 \347\256\227\346\263\225.cn.html" +++ "b/04 Strategy Library/162 Momentum Effect in Stocks in Small Portfolios/03 \347\256\227\346\263\225.cn.html" @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/17 Forex Momentum/03 Algorithm.html b/04 Strategy Library/17 Forex Momentum/03 Algorithm.html index b7fd60e..f8b0c4d 100644 --- a/04 Strategy Library/17 Forex Momentum/03 Algorithm.html +++ b/04 Strategy Library/17 Forex Momentum/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/18 Volatility Effect in Stocks/03 Algorithm.html b/04 Strategy Library/18 Volatility Effect in Stocks/03 Algorithm.html index 0a0907d..97890a9 100644 --- a/04 Strategy Library/18 Volatility Effect in Stocks/03 Algorithm.html +++ b/04 Strategy Library/18 Volatility Effect in Stocks/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/19 Pairs Trading with Stocks/03 Algorithm.html b/04 Strategy Library/19 Pairs Trading with Stocks/03 Algorithm.html index 17a97c9..4b088a3 100644 --- a/04 Strategy Library/19 Pairs Trading with Stocks/03 Algorithm.html +++ b/04 Strategy Library/19 Pairs Trading with Stocks/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/199 ROA Effect within Stocks/03 Algorithm.html b/04 Strategy Library/199 ROA Effect within Stocks/03 Algorithm.html index c75531f..66e4458 100644 --- a/04 Strategy Library/199 ROA Effect within Stocks/03 Algorithm.html +++ b/04 Strategy Library/199 ROA Effect within Stocks/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/20 Forex Carry Trade/03 Algorithm.html b/04 Strategy Library/20 Forex Carry Trade/03 Algorithm.html index 1bb774b..d433b13 100644 --- a/04 Strategy Library/20 Forex Carry Trade/03 Algorithm.html +++ b/04 Strategy Library/20 Forex Carry Trade/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git "a/04 Strategy Library/20 Forex Carry Trade/03 \347\256\227\346\263\225.cn.html" "b/04 Strategy Library/20 Forex Carry Trade/03 \347\256\227\346\263\225.cn.html" index 1bb774b..d433b13 100644 --- "a/04 Strategy Library/20 Forex Carry Trade/03 \347\256\227\346\263\225.cn.html" +++ "b/04 Strategy Library/20 Forex Carry Trade/03 \347\256\227\346\263\225.cn.html" @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/207 Value Effect within Countries/03 Algorithm.html b/04 Strategy Library/207 Value Effect within Countries/03 Algorithm.html index b581b49..f2180a0 100644 --- a/04 Strategy Library/207 Value Effect within Countries/03 Algorithm.html +++ b/04 Strategy Library/207 Value Effect within Countries/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/22 Momentum Effect in Country Equity Indexes/04 Algorithm.html b/04 Strategy Library/22 Momentum Effect in Country Equity Indexes/04 Algorithm.html index 37631d8..1f5050c 100644 --- a/04 Strategy Library/22 Momentum Effect in Country Equity Indexes/04 Algorithm.html +++ b/04 Strategy Library/22 Momentum Effect in Country Equity Indexes/04 Algorithm.html @@ -2,13 +2,13 @@

The Momentum Effect

- +

Equal Weighted Benchmark

- +
diff --git "a/04 Strategy Library/22 Momentum Effect in Country Equity Indexes/04 \347\256\227\346\263\225.cn.html" "b/04 Strategy Library/22 Momentum Effect in Country Equity Indexes/04 \347\256\227\346\263\225.cn.html" index cd34f0c..7078bbf 100644 --- "a/04 Strategy Library/22 Momentum Effect in Country Equity Indexes/04 \347\256\227\346\263\225.cn.html" +++ "b/04 Strategy Library/22 Momentum Effect in Country Equity Indexes/04 \347\256\227\346\263\225.cn.html" @@ -2,13 +2,13 @@

动量效应

- +

平均加权基准

- +
diff --git a/04 Strategy Library/229 Earnings Quality Factor/03 Algorithm.html b/04 Strategy Library/229 Earnings Quality Factor/03 Algorithm.html index 3bc488d..bdafd79 100644 --- a/04 Strategy Library/229 Earnings Quality Factor/03 Algorithm.html +++ b/04 Strategy Library/229 Earnings Quality Factor/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/23 Mean Reversion Effect in Country Equity Indexes/03 Algorithm.html b/04 Strategy Library/23 Mean Reversion Effect in Country Equity Indexes/03 Algorithm.html index 547579a..2b216a7 100644 --- a/04 Strategy Library/23 Mean Reversion Effect in Country Equity Indexes/03 Algorithm.html +++ b/04 Strategy Library/23 Mean Reversion Effect in Country Equity Indexes/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/24 Liquidity Effect in Stocks/03 Algorithm.html b/04 Strategy Library/24 Liquidity Effect in Stocks/03 Algorithm.html index 5041f10..15edb83 100644 --- a/04 Strategy Library/24 Liquidity Effect in Stocks/03 Algorithm.html +++ b/04 Strategy Library/24 Liquidity Effect in Stocks/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/25 Volatility Risk Premium Effect/03 Algorithm.html b/04 Strategy Library/25 Volatility Risk Premium Effect/03 Algorithm.html index a0bce57..0733d81 100644 --- a/04 Strategy Library/25 Volatility Risk Premium Effect/03 Algorithm.html +++ b/04 Strategy Library/25 Volatility Risk Premium Effect/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/29 Term Structure Effect in Commodities/03 Algorithm.html b/04 Strategy Library/29 Term Structure Effect in Commodities/03 Algorithm.html index ada8627..f820ca9 100644 --- a/04 Strategy Library/29 Term Structure Effect in Commodities/03 Algorithm.html +++ b/04 Strategy Library/29 Term Structure Effect in Commodities/03 Algorithm.html @@ -3,7 +3,7 @@
- +
@@ -11,7 +11,7 @@
- +
diff --git a/04 Strategy Library/30 Momentum Effect Combined with Term Structure in Commodities/03 Algorithm.html b/04 Strategy Library/30 Momentum Effect Combined with Term Structure in Commodities/03 Algorithm.html index 91052ac..b781228 100644 --- a/04 Strategy Library/30 Momentum Effect Combined with Term Structure in Commodities/03 Algorithm.html +++ b/04 Strategy Library/30 Momentum Effect Combined with Term Structure in Commodities/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/31 Book-to-Market Value Anomaly/03 Algorithm.html b/04 Strategy Library/31 Book-to-Market Value Anomaly/03 Algorithm.html index e0ed93e..9029e2c 100644 --- a/04 Strategy Library/31 Book-to-Market Value Anomaly/03 Algorithm.html +++ b/04 Strategy Library/31 Book-to-Market Value Anomaly/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/32 Gold Market Timing/03 Algorithm.html b/04 Strategy Library/32 Gold Market Timing/03 Algorithm.html index 414a43d..c74f50c 100644 --- a/04 Strategy Library/32 Gold Market Timing/03 Algorithm.html +++ b/04 Strategy Library/32 Gold Market Timing/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/34 Momentum-Short Term Reversal Strategy/03 Algorithm.html b/04 Strategy Library/34 Momentum-Short Term Reversal Strategy/03 Algorithm.html index a38d444..b3b0694 100644 --- a/04 Strategy Library/34 Momentum-Short Term Reversal Strategy/03 Algorithm.html +++ b/04 Strategy Library/34 Momentum-Short Term Reversal Strategy/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/36 Sentiment and Style Rotation Effect in Stocks/03 Algorithm.html b/04 Strategy Library/36 Sentiment and Style Rotation Effect in Stocks/03 Algorithm.html index 9af8464..cff2414 100644 --- a/04 Strategy Library/36 Sentiment and Style Rotation Effect in Stocks/03 Algorithm.html +++ b/04 Strategy Library/36 Sentiment and Style Rotation Effect in Stocks/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git "a/04 Strategy Library/36 Sentiment and Style Rotation Effect in Stocks/03 \347\256\227\346\263\225.cn.html" "b/04 Strategy Library/36 Sentiment and Style Rotation Effect in Stocks/03 \347\256\227\346\263\225.cn.html" index 9af8464..cff2414 100644 --- "a/04 Strategy Library/36 Sentiment and Style Rotation Effect in Stocks/03 \347\256\227\346\263\225.cn.html" +++ "b/04 Strategy Library/36 Sentiment and Style Rotation Effect in Stocks/03 \347\256\227\346\263\225.cn.html" @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/37 Momentum and State of Market Filters/03 Algorithm.html b/04 Strategy Library/37 Momentum and State of Market Filters/03 Algorithm.html index c07b1c7..926770b 100644 --- a/04 Strategy Library/37 Momentum and State of Market Filters/03 Algorithm.html +++ b/04 Strategy Library/37 Momentum and State of Market Filters/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/40 Pairs Trading with Country ETFs/03 Algorithm.html b/04 Strategy Library/40 Pairs Trading with Country ETFs/03 Algorithm.html index 7cf2e86..36343ed 100644 --- a/04 Strategy Library/40 Pairs Trading with Country ETFs/03 Algorithm.html +++ b/04 Strategy Library/40 Pairs Trading with Country ETFs/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/58 VIX Predicts Stock Index Returns/03 Algorithm.html b/04 Strategy Library/58 VIX Predicts Stock Index Returns/03 Algorithm.html index f8ca3b6..529a2d1 100644 --- a/04 Strategy Library/58 VIX Predicts Stock Index Returns/03 Algorithm.html +++ b/04 Strategy Library/58 VIX Predicts Stock Index Returns/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/61 Lunar Cycle in Equity Market/03 Algorithm.html b/04 Strategy Library/61 Lunar Cycle in Equity Market/03 Algorithm.html index 55f69ca..8caed63 100644 --- a/04 Strategy Library/61 Lunar Cycle in Equity Market/03 Algorithm.html +++ b/04 Strategy Library/61 Lunar Cycle in Equity Market/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/66 Combining Momentum Effect with Volume/03 Algorithm.html b/04 Strategy Library/66 Combining Momentum Effect with Volume/03 Algorithm.html index 3956745..57f98de 100644 --- a/04 Strategy Library/66 Combining Momentum Effect with Volume/03 Algorithm.html +++ b/04 Strategy Library/66 Combining Momentum Effect with Volume/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/71 Short Term Reversal with Futures/03 Algorithm.html b/04 Strategy Library/71 Short Term Reversal with Futures/03 Algorithm.html index 430008f..d3f5c48 100644 --- a/04 Strategy Library/71 Short Term Reversal with Futures/03 Algorithm.html +++ b/04 Strategy Library/71 Short Term Reversal with Futures/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/77 Beta Factors in Stocks/03 Algorithm.html b/04 Strategy Library/77 Beta Factors in Stocks/03 Algorithm.html index c9839cd..91f1e5a 100644 --- a/04 Strategy Library/77 Beta Factors in Stocks/03 Algorithm.html +++ b/04 Strategy Library/77 Beta Factors in Stocks/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/78 Beta Factor in Country Equity Indexes/03 Algorithm.html b/04 Strategy Library/78 Beta Factor in Country Equity Indexes/03 Algorithm.html index 36e3092..0447f1a 100644 --- a/04 Strategy Library/78 Beta Factor in Country Equity Indexes/03 Algorithm.html +++ b/04 Strategy Library/78 Beta Factor in Country Equity Indexes/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/04 Strategy Library/83 Pre-Holiday Effect/03 Algorithm.html b/04 Strategy Library/83 Pre-Holiday Effect/03 Algorithm.html index b59109e..64580ab 100644 --- a/04 Strategy Library/83 Pre-Holiday Effect/03 Algorithm.html +++ b/04 Strategy Library/83 Pre-Holiday Effect/03 Algorithm.html @@ -1,6 +1,6 @@
- +
diff --git a/05 Introduction to Financial Python[]/05 Pandas-Resampling and DataFrame/02 Fetching Data.html b/05 Introduction to Financial Python[]/05 Pandas-Resampling and DataFrame/02 Fetching Data.html index 325ecd6..181f0fc 100755 --- a/05 Introduction to Financial Python[]/05 Pandas-Resampling and DataFrame/02 Fetching Data.html +++ b/05 Introduction to Financial Python[]/05 Pandas-Resampling and DataFrame/02 Fetching Data.html @@ -1,98 +1,98 @@ -

- Here we use the Quandl API to retrieve data. -

-
- -
import quandl
-quandl.ApiConfig.api_key = 'dRQxJ15_2nrLznxr1Nn4'
-
-
-

- We will create a Series named "aapl" whose values are Apple's daily closing prices, which are of course indexed by dates: -

-
- -
aapl_table = quandl.get('WIKI/AAPL')
-aapl = aapl_table['Adj. Close']['2017']
-print aapl
-
-
- -

- Recall that we can fetch a specific data point using series['yyyy-mm-dd']. We can also fetch the data in a specific month using series['yyyy-mm']. -

-
- -
print aapl['2017-3']
-Date
-2017-03-01    138.657681
-2017-03-02    137.834404
-2017-03-03    138.647762
-2017-03-06    138.211326
-2017-03-07    138.389868
-2017-03-08    137.874080
-2017-03-09    137.556672
-2017-03-10    138.012946
-2017-03-13    138.072460
-2017-03-14    137.864161
-2017-03-15    139.322254
-2017-03-16    139.550391
-2017-03-17    138.856061
-2017-03-20    140.314154
-2017-03-21    138.707276
-2017-03-22    140.274478
-2017-03-23    139.778528
-2017-03-24    139.500796
-2017-03-27    139.738852
-2017-03-28    142.635200
-2017-03-29    142.952608
-2017-03-30    142.764147
-2017-03-31    142.496334
-
-
- -

- Or in several consecutive months: -

-
- -
aapl['2017-2':'2017-4']
-
-
- -

- .head(N) and .tail(N) are methods for quickly accessing the first or last N elements. -

-
- -
print aapl.head()
-print aapl.tail(10)
-
-
-

- The output: -

-
- -
-Date
-2017-01-03    114.715378
-2017-01-04    114.586983
-2017-01-05    115.169696
-2017-01-06    116.453639
-2017-01-09    117.520300
-Name: Adj. Close, dtype: float64
-Date
-2017-08-08    159.433108
-2017-08-09    160.409148
-2017-08-10    155.270000
-2017-08-11    157.480000
-2017-08-14    159.850000
-2017-08-15    161.600000
-2017-08-16    160.950000
-2017-08-17    157.870000
-2017-08-18    157.500000
-2017-08-21    157.210000
-Name: Adj. Close, dtype: float64
-
-
+

+ Here we use the Quandl API to retrieve data... +

+
+ +
import quandl
+quandl.ApiConfig.api_key = 'dRQxJ15_2nrLznxr1Nn4'
+
+
+

+ We will create a Series named "aapl" whose values are Apple's daily closing prices, which are of course indexed by dates: +

+
+ +
aapl_table = quandl.get('WIKI/AAPL')
+aapl = aapl_table['Adj. Close']['2017']
+print aapl
+
+
+ +

+ Recall that we can fetch a specific data point using series['yyyy-mm-dd']. We can also fetch the data in a specific month using series['yyyy-mm']. +

+
+ +
print aapl['2017-3']
+Date
+2017-03-01    138.657681
+2017-03-02    137.834404
+2017-03-03    138.647762
+2017-03-06    138.211326
+2017-03-07    138.389868
+2017-03-08    137.874080
+2017-03-09    137.556672
+2017-03-10    138.012946
+2017-03-13    138.072460
+2017-03-14    137.864161
+2017-03-15    139.322254
+2017-03-16    139.550391
+2017-03-17    138.856061
+2017-03-20    140.314154
+2017-03-21    138.707276
+2017-03-22    140.274478
+2017-03-23    139.778528
+2017-03-24    139.500796
+2017-03-27    139.738852
+2017-03-28    142.635200
+2017-03-29    142.952608
+2017-03-30    142.764147
+2017-03-31    142.496334
+
+
+ +

+ Or in several consecutive months: +

+
+ +
aapl['2017-2':'2017-4']
+
+
+ +

+ .head(N) and .tail(N) are methods for quickly accessing the first or last N elements. +

+
+ +
print aapl.head()
+print aapl.tail(10)
+
+
+

+ The output: +

+
+ +
+Date
+2017-01-03    114.715378
+2017-01-04    114.586983
+2017-01-05    115.169696
+2017-01-06    116.453639
+2017-01-09    117.520300
+Name: Adj. Close, dtype: float64
+Date
+2017-08-08    159.433108
+2017-08-09    160.409148
+2017-08-10    155.270000
+2017-08-11    157.480000
+2017-08-14    159.850000
+2017-08-15    161.600000
+2017-08-16    160.950000
+2017-08-17    157.870000
+2017-08-18    157.500000
+2017-08-21    157.210000
+Name: Adj. Close, dtype: float64
+
+
diff --git a/05 Introduction to Financial Python[]/12 Modern Portfolio Theory/06 Algorithm.html b/05 Introduction to Financial Python[]/12 Modern Portfolio Theory/06 Algorithm.html index 8d6082c..309e3c2 100755 --- a/05 Introduction to Financial Python[]/12 Modern Portfolio Theory/06 Algorithm.html +++ b/05 Introduction to Financial Python[]/12 Modern Portfolio Theory/06 Algorithm.html @@ -1,9 +1,9 @@ -

- Mean-variance analysis is used to optimize portfolios with several strategies. Here we treat Dow 30 stocks as strategy and designed an algorithm to test mean-variance analysis: -

-
-
-
- -
-
+

+ Mean-variance analysis is used to optimize portfolios with several strategies. Here we treat Dow 30 stocks as strategy and designed an algorithm to test mean-variance analysis: +

+
+
+
+ +
+
diff --git a/05 Introduction to Financial Python[]/13 Market Risk/06 Algorithm.html b/05 Introduction to Financial Python[]/13 Market Risk/06 Algorithm.html index 3069322..64474c1 100755 --- a/05 Introduction to Financial Python[]/13 Market Risk/06 Algorithm.html +++ b/05 Introduction to Financial Python[]/13 Market Risk/06 Algorithm.html @@ -1,13 +1,13 @@ -
-
-
- -
-
- -
-
-
- -
-
+
+
+
+ +
+
+ +
+
+
+ +
+
diff --git a/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/02 Fama-French Three-Factor Model.html b/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/02 Fama-French Three-Factor Model.html index 21d0568..1f83f6d 100755 --- a/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/02 Fama-French Three-Factor Model.html +++ b/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/02 Fama-French Three-Factor Model.html @@ -1,8 +1,5 @@ 

- This model was proposed in 1993 by Eugene Fama and Kenneth French to describe stock returns.[ref] Fama, E F; French, K R (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. 33: 3. CiteSeerX 10.1.1.139.5892 Freely accessible. doi:10.1016/0304-405X(93)90023-5[/ref] -

-

- The 3-factor model is + This model was proposed in 1993 by Eugene Fama and Kenneth French to describe stock returns. The 3-factor model is

\[ R = \alpha + \beta_m MKT + \beta_s SMB + \beta_h HML \] @@ -12,7 +9,7 @@

diff --git a/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/05 Other Factors.html b/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/05 Other Factors.html deleted file mode 100755 index 510c436..0000000 --- a/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/05 Other Factors.html +++ /dev/null @@ -1,12 +0,0 @@ -

- The Fama-French 5-Factor model comprises two more factors: -

- - -

- RMW was proposed by Novy-Marx (2013) who wrote that: - "Controlling for gross profitability explains most earnings related anomalies, and a wide range of seemingly unrelated profitable trading strategies." CMA was proposed by Fama and French (2014) who pointed out that: A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns is rejected on the GRS test, but for applied purposes it provides an acceptable description of average returns. Finally, momentum is another commonly used factor. It captures excess returns of stocks with highest returns over those with lowest returns -

diff --git a/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/06 Summary.html b/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/05 Summary.html old mode 100755 new mode 100644 similarity index 98% rename from 05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/06 Summary.html rename to 05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/05 Summary.html index 549200f..d2b7e7a --- a/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/06 Summary.html +++ b/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/05 Summary.html @@ -1,3 +1,3 @@ -

- In this chapter we expand Capital Asset Pricing Model (CAPM) into multi-factor models: the Fama-French factor models in particular. They are the most empirically successful multi-factor models by far, and are commonly used in practice. -

+

+ In this chapter we expand Capital Asset Pricing Model (CAPM) into multi-factor models: the Fama-French factor models in particular. They are the most empirically successful multi-factor models by far, and are commonly used in practice. +

diff --git a/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/07 Algorithm.html b/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/06 Algorithm.html old mode 100755 new mode 100644 similarity index 74% rename from 05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/07 Algorithm.html rename to 05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/06 Algorithm.html index e3c69c8..3eb4334 --- a/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/07 Algorithm.html +++ b/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/06 Algorithm.html @@ -1,15 +1,15 @@ -

- Multi-factor strategies are stock picking strategies. Here we try to implement a 2013 paper published by AQR Capital Management. - The paper recommends picking stocks by their value, quality (profitability) and momentum. - The empirically successful measure of value is book-to-price ratio (B/P), but other measures can be used simultaneously to form a more robust and reliable view of a stock's value. The paper uses 5 measures: book-to-price, earnings-to-price ratio (EPS), forecasted EPS, cash flow-to-enterprise value and sales-to-enterprise value. - The paper suggested a few quality measures: total profit over assets, gross margin and free cash flow over assets. There are also various measures of momentum. 1-year momentum, fundamental momentum and returns around earnings announcement are good choices. -

-

- In our backtested strategy, we used operating profit margin to measure quality, P/B value to measure value, and 1-month momentum. The portfolio was rebalanced every 2 months and our backtest period runs from Jan 2012 to Jan 2015. You can build your own version by changing the factor, the weight of each factor, and the rebalance period based on the backtested strategy. -

-
-
-
- -
-
+

+ Multi-factor strategies are stock picking strategies. Here we try to implement a 2013 paper published by AQR Capital Management. + The paper recommends picking stocks by their value, quality (profitability) and momentum. + The empirically successful measure of value is book-to-price ratio (B/P), but other measures can be used simultaneously to form a more robust and reliable view of a stock's value. The paper uses 5 measures: book-to-price, earnings-to-price ratio (EPS), forecasted EPS, cash flow-to-enterprise value and sales-to-enterprise value. + The paper suggested a few quality measures: total profit over assets, gross margin and free cash flow over assets. There are also various measures of momentum. 1-year momentum, fundamental momentum and returns around earnings announcement are good choices. +

+

+ In our backtested strategy, we used operating profit margin to measure quality, book value per share to measure value, and 1-month momentum. The portfolio was rebalanced every month. You can build your own version by changing the factor, the weight of each factor, and the rebalance period based on the backtested strategy. +

+
+
+
+ +
+
diff --git a/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/08 References.html b/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/07 References.html similarity index 81% rename from 05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/08 References.html rename to 05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/07 References.html index 79b3bcb..eb7216e 100644 --- a/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/08 References.html +++ b/05 Introduction to Financial Python[]/14 Fama-French Multi-Factor Models/07 References.html @@ -14,4 +14,7 @@
  • Robert Novy-Marx (2013). The Other Side of Value: The Gross Profitability Premium Journal of Financial Economics 108 (1), 1-28. Retrieved from rnm.simon.rochester.edu/research/OSoV.pdf
    • +
  • + Fama, E. F. & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56. doi: 10.1016/0304-405X(93)90023-5. Retrieved from rady.ucsd.edu. +
    • diff --git a/06 Introduction to Options[]/01 General Features of Options/04 The Value of Options.html b/06 Introduction to Options[]/01 General Features of Options/04 The Value of Options.html index f0877cc..b392bbd 100755 --- a/06 Introduction to Options[]/01 General Features of Options/04 The Value of Options.html +++ b/06 Introduction to Options[]/01 General Features of Options/04 The Value of Options.html @@ -12,5 +12,5 @@ \[Time Value= Premium-Intrinsic Value\]

    -For example, an AAPL call option contract which expires after 10 days has strike $143 and premium $10. now the market price of AAPL is $160. The intrinsic value of this contract is 160-143=$17, the time value is 17-10=$7. Although the intrinsic value of OTM and ATM options is zero, they have time values if they still have a certain amount of time until the option expires so for OTM and ATM options, their premiums equal their time values. +For example, an AAPL call option contract which expires after 10 days has strike $143 and premium $10. now the market price of AAPL is $150. The intrinsic value of this contract is 150-143=$7, the time value is 10-7=$3. Although the intrinsic value of OTM and ATM options is zero, they have time values if they still have a certain amount of time until the option expires so for OTM and ATM options, their premiums equal their time values.

    diff --git a/06 Introduction to Options[]/02 QuantConnect Options API/02 Add Options.html b/06 Introduction to Options[]/02 QuantConnect Options API/02 Add Options.html index a1d5a37..44c5959 100755 --- a/06 Introduction to Options[]/02 QuantConnect Options API/02 Add Options.html +++ b/06 Introduction to Options[]/02 QuantConnect Options API/02 Add Options.html @@ -22,8 +22,8 @@ 
    def Initialize(self):
-    self.SetStartDate(2017, 01, 01)  #Set Start Date
-    self.SetEndDate(2017, 06, 30)  #Set End Date
+    self.SetStartDate(2017, 1, 1)  #Set Start Date
+    self.SetEndDate(2017, 6, 30)  #Set End Date
     self.SetCash(50000)  #Set Strategy Cash
     equity = self.AddEquity("GOOG", Resolution.Minute) # Add the underlying stock: Google
     option = self.AddOption("GOOG", Resolution.Minute) # Add the option corresponding to underlying stock
diff --git a/06 Introduction to Options[]/02 QuantConnect Options API/04 Select Contracts.html b/06 Introduction to Options[]/02 QuantConnect Options API/04 Select Contracts.html
index 54084fb..07ea589 100755
--- a/06 Introduction to Options[]/02 QuantConnect Options API/04 Select Contracts.html	
+++ b/06 Introduction to Options[]/02 QuantConnect Options API/04 Select Contracts.html	
@@ -65,11 +65,11 @@
 
    def OnData(self,slice):
     for i in slice.OptionChains:
         if i.Key != self.symbol: continue
-	optionchain = i.Value
-	self.Log("underlying price:" + str(optionchain.Underlying.Price))
-	df = pd.DataFrame([[x.Right,float(x.Strike),x.Expiry,float(x.BidPrice),float(x.AskPrice)] for x in optionchain],
-			   index=[x.Symbol.Value for x in optionchain],
-			   columns=['type(call 0, put 1)', 'strike', 'expiry', 'ask price', 'bid price'])
+        optionchain = i.Value
+        self.Log("underlying price:" + str(optionchain.Underlying.Price))
+        df = pd.DataFrame([[x.Right,float(x.Strike),x.Expiry,float(x.BidPrice),float(x.AskPrice)] for x in optionchain],
+                           index=[x.Symbol.Value for x in optionchain],
+                           columns=['type(call 0, put 1)', 'strike', 'expiry', 'ask price', 'bid price'])
         self.Log(str(df))
    @@ -160,18 +160,18 @@ 
    for i in slice.OptionChains:
     if i.Key != self.symbol: continue
-    chain = i.Value
-# differentiate the call and put options
-call = [x for x in optionchain if chain.Right == 0]
-put = [x for x in optionchain if chain.Right == 1]
-# choose ITM contracts
-contracts = [x for x in call if call.UnderlyingLastPrice - x.Strike > 0]
-# or choose ATM contracts
-contracts = sorted(optionchain, key = lambda x: abs(optionchain.Underlying.Price - x.Strike))[0]
-# or choose OTM contracts
-contracts = [x for x in call if call.UnderlyingLastPrice - x.Strike < 0]
-# sort the contracts by their expiration dates
-contracts = sorted(contracts, key = lambda x:x.Expiry, reverse = True)
+    optionchain = i.Value
+    # differentiate the call and put options
+    call = [x for x in optionchain if x.Right == 0]
+    put = [x for x in optionchain if x.Right == 1]
+    # choose ITM call contracts
+    contracts = [x for x in call if x.UnderlyingLastPrice - x.Strike > 0]
+    # or choose ATM contracts
+    contracts = sorted(optionchain, key = lambda x: abs(x.UnderlyingLastPrice - x.Strike))[0]
+    # or choose OTM call contracts
+    contracts = [x for x in call if x.UnderlyingLastPrice - x.Strike < 0]
+    # sort the contracts by their expiration dates
+    contracts = sorted(contracts, key = lambda x: x.Expiry, reverse = True)

    diff --git a/06 Introduction to Options[]/02 QuantConnect Options API/05 Algorithm.html b/06 Introduction to Options[]/02 QuantConnect Options API/05 Algorithm.html index 64b1d35..e485feb 100755 --- a/06 Introduction to Options[]/02 QuantConnect Options API/05 Algorithm.html +++ b/06 Introduction to Options[]/02 QuantConnect Options API/05 Algorithm.html @@ -4,6 +4,6 @@

    - +
    diff --git a/06 Introduction to Options[]/03 Put-Call Parity and Arbitrage Strategies/05 Algorithm.html b/06 Introduction to Options[]/03 Put-Call Parity and Arbitrage Strategies/05 Algorithm.html index 12d6ce9..b196a80 100755 --- a/06 Introduction to Options[]/03 Put-Call Parity and Arbitrage Strategies/05 Algorithm.html +++ b/06 Introduction to Options[]/03 Put-Call Parity and Arbitrage Strategies/05 Algorithm.html @@ -1,6 +1,6 @@
    - +
    diff --git a/07 Applied Options[]/01 Covered Call/04 Algorithm.html b/07 Applied Options[]/01 Covered Call/04 Algorithm.html index 9fa4e5e..6858e6e 100755 --- a/07 Applied Options[]/01 Covered Call/04 Algorithm.html +++ b/07 Applied Options[]/01 Covered Call/04 Algorithm.html @@ -4,7 +4,7 @@
    - +

    @@ -13,6 +13,6 @@

    - +
    diff --git a/07 Applied Options[]/02 Bull Call Spread/01 Definition.html b/07 Applied Options[]/02 Bull Call Spread/01 Definition.html index 0418abb..c361521 100755 --- a/07 Applied Options[]/02 Bull Call Spread/01 Definition.html +++ b/07 Applied Options[]/02 Bull Call Spread/01 Definition.html @@ -5,7 +5,7 @@ This strategy creates a ceiling and floor for the profit. By purchasing a call and selling a call with higher strike simultaneously, traders can reduce the cost of just one long call option with the premium of a short call option. But the premium of ITM call is more expensive than the OTM call. The strategy limits the loss resulting from a drop in the price of the underlying stock but still creates a ceiling to the profit while the underlying price is increasing.

    - Take GOOG as an example. If the share price of GOOG is $950 at time 0, the premium of ITM call option is 20 with strike 900 and the premium of OTM call option is 2 with strike 1000. If we ignore the commission, dividends and other transaction fees, the payoff of Bull Call Spread strategy is as follows: + Take GOOG as an example. If the share price of GOOG is $950 at time 0, the premium of ITM call option is 50 with strike 900 and the premium of OTM call option is 2 with strike 1000. If we ignore the commission, dividends and other transaction fees, the payoff of Bull Call Spread strategy is as follows:

    diff --git a/07 Applied Options[]/02 Bull Call Spread/04 Algorithm.html b/07 Applied Options[]/02 Bull Call Spread/04 Algorithm.html index 0e1c81b..ef1b62b 100755 --- a/07 Applied Options[]/02 Bull Call Spread/04 Algorithm.html +++ b/07 Applied Options[]/02 Bull Call Spread/04 Algorithm.html @@ -4,7 +4,7 @@
    - +

    @@ -13,6 +13,6 @@

    - +
    diff --git a/07 Applied Options[]/03 Long Straddle/04 Algorithm.html b/07 Applied Options[]/03 Long Straddle/04 Algorithm.html index 3e98c40..89e3d28 100755 --- a/07 Applied Options[]/03 Long Straddle/04 Algorithm.html +++ b/07 Applied Options[]/03 Long Straddle/04 Algorithm.html @@ -4,7 +4,7 @@
    - +

    @@ -13,6 +13,6 @@

    - +
    diff --git a/07 Applied Options[]/04 Long Strangle/04 Algorithm.html b/07 Applied Options[]/04 Long Strangle/04 Algorithm.html index 78ab066..09a8a85 100755 --- a/07 Applied Options[]/04 Long Strangle/04 Algorithm.html +++ b/07 Applied Options[]/04 Long Strangle/04 Algorithm.html @@ -4,7 +4,7 @@
    - +
    @@ -14,6 +14,6 @@
    - +
    diff --git a/07 Applied Options[]/05 Butterfly Spread/04 Algorithm.html b/07 Applied Options[]/05 Butterfly Spread/04 Algorithm.html index 134f5b1..beb7ac0 100755 --- a/07 Applied Options[]/05 Butterfly Spread/04 Algorithm.html +++ b/07 Applied Options[]/05 Butterfly Spread/04 Algorithm.html @@ -4,7 +4,7 @@
    - +
    @@ -14,6 +14,6 @@
    - +
    diff --git a/07 Applied Options[]/06 Iron Condor/04 Algorithm.html b/07 Applied Options[]/06 Iron Condor/04 Algorithm.html index cf2d154..7a08824 100755 --- a/07 Applied Options[]/06 Iron Condor/04 Algorithm.html +++ b/07 Applied Options[]/06 Iron Condor/04 Algorithm.html @@ -4,7 +4,7 @@
    - +

    @@ -14,6 +14,6 @@

    - +
    diff --git a/07 Applied Options[]/07 Iron Butterfly/04 Algorithm.html b/07 Applied Options[]/07 Iron Butterfly/04 Algorithm.html index cd42f7d..05d0e03 100755 --- a/07 Applied Options[]/07 Iron Butterfly/04 Algorithm.html +++ b/07 Applied Options[]/07 Iron Butterfly/04 Algorithm.html @@ -4,7 +4,7 @@
    - +
    @@ -14,6 +14,6 @@
    - +
    diff --git a/07 Applied Options[]/08 Protective Collar/04 Algorithm.html b/07 Applied Options[]/08 Protective Collar/04 Algorithm.html index 245885d..77dc3ce 100755 --- a/07 Applied Options[]/08 Protective Collar/04 Algorithm.html +++ b/07 Applied Options[]/08 Protective Collar/04 Algorithm.html @@ -4,7 +4,7 @@
    - +
    @@ -14,6 +14,6 @@
    - +
    diff --git a/README.md b/README.md index 5e2fd23..c9846d7 100644 --- a/README.md +++ b/README.md @@ -8,40 +8,22 @@ This repository is a collection of WordPress and Jupyter notebook tutorials for Lean Engine is an open-source fully managed C# algorithmic trading engine built for desktop and cloud usage. It was designed in Mono and operates in Windows, Linux and Mac platforms. For more information about the LEAN Algorithmic Trading engine see the [Lean][4] Engine repository. - -## New Tutorial Requests and Edits ## - -Please submit new tutorial requests as an issue to the [Tutorials][5] repository. Before submitting an issue please read others to ensure it is not a duplicate. Edits and fixes for clarity are warmly welcomed! - -## Mailing List ## - -The mailing list for the project can be found on [Google Groups][6] - ## Contributors and Pull Requests ## Contributions are warmly very welcomed but we ask you read the existing code to see how it is formatted, commented and ensure contributions match the existing style. All code submissions must include accompanying tests. Please see the [contributor guide lines][7]. ## Strategy Library Development Workflow ## -To publish a strategy to our [Strategy Library](https://www.quantconnect.com/tutorials/strategy-library/strategy-library), follow these steps: -1. Review filtered sources like SSRN, arxiv, and other academic journals/papers for a strategy to implement. Try to adhere to the [Quant League competition](https://www.quantconnect.com/competitions/quant-league-1) criteria and the Alpha Streams [minimum criteria](https://www.quantconnect.com/docs/alpha-streams/submitting-an-alpha#Submitting-an-Alpha-Minimum-Criteria) and [review process](https://www.quantconnect.com/docs/alpha-streams/submitting-an-alpha#Submitting-an-Alpha-Subsequent-Review-Process). -2. Post a 3-point development plan to [our Slack channel](https://www.quantconnect.com/slack) and wait for approval by @jaredbroad or @alexcatarino. See an example [here](https://cdn.quantconnect.com/i/tu/development-plan-example.png). -3. Develop the strategy (add [license and imports](https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/BasicTemplateAlgorithm.py#L1) to main.py). -4. Add an Issue to the [Tutorials repo](https://github.com/QuantConnect/Tutorials/issues) ([example](https://github.com/QuantConnect/Tutorials/issues/277)). -5. Add @alexcatarino as a [collaborator](https://www.quantconnect.com/blog/collaborating-in-quantconnect/) to the project. -6. Publish a strategy write-up in the Slack channel and wait for approval (see [Strategy Library](https://www.quantconnect.com/tutorials/strategy-library/strategy-library) for examples). -7. Convert the strategy write-up to HTML form ([examples](https://github.com/QuantConnect/Tutorials/tree/master/04%20Strategy%20Library)). -8. Make PR (following the [Contributor's Guidelines](https://github.com/QuantConnect/Lean/blob/master/CONTRIBUTING.md)): - - If the write-up includes images, upload them [here](https://www.quantconnect.com/admin/cdnUpload). - - Add summary HTML files to [Strategy Library directory](https://github.com/QuantConnect/Tutorials/tree/master/04%20Strategy%20Library). If it's a non-Quantpedia strategy, set the ID number (in the directory name) to the next available after 1023. - - If the strategy is from Quantpedia, add strategy ID and backtest ID to [quantpedia.json](https://github.com/QuantConnect/Tutorials/blob/master/quantpedia.json). - - Add strategy metadata to [this file](https://github.com/QuantConnect/Tutorials/blob/master/04%20Strategy%20Library/00%20Strategy%20Library/01%20Strategy%20Library.php) (Currently semi-sorted by Quantpedia strategy ID). -9. After the PR is merged, send @jaredbroad the URL and a 1-sentence summary of what the paper/strategy is about and post the strategy to the forum with the backtest of the algorithm and a short summary of the project ([example](https://www.quantconnect.com/forum/discussion/8608/strategy-library-addition-residual-momentum/p1)). + +To publish a strategy to our [Strategy Library](https://www.quantconnect.com/tutorials/strategy-library/strategy-library), follow the steps on the [documentation page](https://www.quantconnect.com/docs/v2/writing-algorithms/strategy-library#03-Contribute-Tutorials) + +## New Tutorial Requests and Edits ## + +Please submit new tutorial requests as an issue to the [Tutorials][5] repository. Before submitting an issue please read others to ensure it is not a duplicate. Edits and fixes for clarity are warmly welcomed! [1]: https://www.quantconnect.com/tutorials "Tutorials Viewer" [2]: https://www.quantconnect.com/lean/docs "Lean Documentation" [3]: https://github.com/QuantConnect/Lean/archive/master.zip [4]: https://github.com/QuantConnect/Lean [5]: https://github.com/QuantConnect/Tutorials/issues -[6]: https://groups.google.com/forum/#!forum/lean-engine [7]: https://github.com/QuantConnect/Lean/blob/master/CONTRIBUTING.md [8]: https://www.quantconnect.com/slack