Developed Rolling Correlation Analysis and Trading Strategies

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Developed Rolling Correlation Analysis and Trading Strategies

  • Day: 2024-12-04
  • Time: 14:30 to 17:45
  • Project: Business
  • Workspace: WP 1: Strategic / Growth & Development
  • Status: Completed
  • Priority: MEDIUM
  • Assignee: Matías Nehuen Iglesias
  • Tags: Rolling Correlation, Trading Strategies, Python, Financial Analysis, Hedge Funds

Description

Session Goal

The session aimed to develop and refine rolling correlation analysis techniques and trading strategies, particularly for hedge fund applications and interview preparation.

Key Activities

  • Rolling Correlation Analysis: Expanded plans and executed action plans for rolling correlation analysis tailored for hedge fund strategies, including data preparation, calculation, and visualization using Python and Streamlit.
  • Interview Preparation: Developed visualizations and coding tasks for interview readiness, focusing on rolling correlations and financial [[data visualization]].
  • Python Code Enhancement: Improved Python scripts for asset price trend visualization, incorporating dynamic insights, color map updates, and better handling of datetime objects.
  • Investment Strategy Planning: Recalibrated metrics for CCM’s investment strategy, focusing on time scales, cross-asset dependencies, and probabilistic scenario analysis.
  • Correlation and Trading Analysis: Analyzed high correlation in asset prices, relative performance ratios, and developed strategies for mean reversion and pairs trading.
  • Financial Data Analysis: Set up yfinance for data analysis, calculated correlation matrices, and expanded benchmark space with uncorrelated tickers.

Achievements

  • Completed detailed plans and execution strategies for rolling correlation analysis.
  • Enhanced Python scripts for financial [[data visualization]].
  • Developed comprehensive trading strategies using mean reversion and pairs trading.
  • Successfully fetched data and calculated correlation matrices for benchmark assets.

Pending Tasks

  • Further analysis and visualization improvements for relative performance ratios and trading strategies.
  • Finalize presentation structure for correlation dynamics and pairs trading.
  • Explore Bayesian reasoning applications in correlation-based trading strategies.

Evidence

  • source_file=2024-12-04.sessions.jsonl, line_number=2, event_count=0, session_id=b35707e15d5f47f2f5364c9522c858597a7013d471ba03fc967c62c646446b68
  • event_ids: []

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