📅 2024-12-04 — Session: Rolling Correlation Analysis and Trading Strategy Development
🕒 14:30–17:45
🏷️ Labels: Rolling Correlation, Trading Strategies, Data Visualization, Hedge Funds, Python
📂 Project: Business
⭐ Priority: MEDIUM
Session Goal
The session aimed to develop and refine strategies for rolling correlation analysis and trading, particularly for hedge fund strategies, focusing on AAPL and MSFT.
Key Activities
- Expanded Plan for Rolling Correlation Analysis: Developed a detailed plan for conducting rolling correlation analysis, including data preparation, calculation, and visualization.
- Interview Preparation: Created an action plan for preparing rolling correlation visualizations for an interview.
- Improved Visualization: Enhanced Python scripts for visualizing rolling correlations and asset price trends.
- Recalibrating Investment Metrics: Outlined a strategic approach to adjust metrics for CCM’s investment strategy.
- Pairs Trading Strategy: Provided a historical overview and structured trading strategy based on mean reversion.
- Correlation Matrix Analysis: Analyzed correlation matrices for benchmark tickers to inform portfolio management.
- Presentation Structure: Planned a presentation on correlation dynamics and pairs trading.
Achievements
- Developed actionable plans and enhanced visualization techniques for rolling correlation analysis.
- Improved understanding of high correlation impacts on trading strategies.
- Created a structured approach to trading decisions using mean reversion.
Pending Tasks
- Further analysis and visualization improvements for relative performance ratios.
- Implementation of Bayesian reasoning in correlation-based trading strategies.
Outcome
The session successfully laid the groundwork for advanced trading strategies and improved data visualization techniques.