Raul
Quant
Date Joined
5th May, 2013
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Algorithm Sharing
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2023-08-09 00:20:40
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Public Backtests (14)
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Community
View MoreRaul submitted the research Harnessing the Twitter API for Sentiment Strategies
Abstract
This project focuses on harnessing the Twitter API for sentiment strategies. The application is written in C# and uses the Tweetinvi library. It allows users to search for tweets, users, timelines, and post new messages. The program is structured into separate files for Twitter interactions, file management, and application logic. The program starts by logging into Twitter with the necessary credentials. Usernames and next update times are retrieved from a file. The tweet downloading and rate limiting are managed by the Twitter class. Downloaded tweets are serialized to JSON and written to separate files. The program provides flexibility to change application logic, file locations, and the Twitter library without affecting other parts of the code.
Raul submitted the research Rotating Inversely Correlated Assets - NIFTY and USDINR
Abstract
Abstract: This QuantConnect discussion explores the idea of rotating inversely correlated assets, specifically the NIFTY index and the USDINR currency pair. The hypothesis was that as the NIFTY index grew, the strength of the currency would follow, creating an ideal inverse correlation. However, initial tests using the USDINR as a hedge against the NIFTY showed periods of positive correlation. As an alternative approach, the strategy focused on rotating the portfolio holdings to the peak performing asset using a fixed rolling window. Backtesting using the QuantConnect LEAN 2.0 engine showed strong performance, achieving a Sharpe Ratio of 1.3 and 42x returns compared to the NIFTY's 7x returns. The strategy's resilience was tested by varying the rolling window period, with the resulting Sharpe Ratio remaining robust. Future improvements could include using a dynamically determined rolling window and experimenting with different portfolios of inversely correlated assets.
Raul started the discussion Learning C#: Yahoo Finance Data Downloader
I wrote this application in C# that downloads historical data from Yahoo Finance. It’s quite...
Raul left a comment in the discussion QCU Weather Based Rebalancing
I think the strategy also goes short for a few weeks during the peak of winter - anything below -5C...
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Raul submitted the research Harnessing the Twitter API for Sentiment Strategies
Abstract
This project focuses on harnessing the Twitter API for sentiment strategies. The application is written in C# and uses the Tweetinvi library. It allows users to search for tweets, users, timelines, and post new messages. The program is structured into separate files for Twitter interactions, file management, and application logic. The program starts by logging into Twitter with the necessary credentials. Usernames and next update times are retrieved from a file. The tweet downloading and rate limiting are managed by the Twitter class. Downloaded tweets are serialized to JSON and written to separate files. The program provides flexibility to change application logic, file locations, and the Twitter library without affecting other parts of the code.
Raul submitted the research Rotating Inversely Correlated Assets - NIFTY and USDINR
Abstract
Abstract: This QuantConnect discussion explores the idea of rotating inversely correlated assets, specifically the NIFTY index and the USDINR currency pair. The hypothesis was that as the NIFTY index grew, the strength of the currency would follow, creating an ideal inverse correlation. However, initial tests using the USDINR as a hedge against the NIFTY showed periods of positive correlation. As an alternative approach, the strategy focused on rotating the portfolio holdings to the peak performing asset using a fixed rolling window. Backtesting using the QuantConnect LEAN 2.0 engine showed strong performance, achieving a Sharpe Ratio of 1.3 and 42x returns compared to the NIFTY's 7x returns. The strategy's resilience was tested by varying the rolling window period, with the resulting Sharpe Ratio remaining robust. Future improvements could include using a dynamically determined rolling window and experimenting with different portfolios of inversely correlated assets.
Raul started the discussion Learning C#: Yahoo Finance Data Downloader
I wrote this application in C# that downloads historical data from Yahoo Finance. It’s quite...
Raul left a comment in the discussion Testing
@Robin if you clone the strategy you can run it in you own account. Its trading the VIX ETF on a...
Raul left a comment in the discussion QCU Weather Based Rebalancing
I think the strategy also goes short for a few weeks during the peak of winter - anything below -5C...
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Raul left a comment in the discussion Testing
@Robin if you clone the strategy you can run it in you own account. Its trading the VIX ETF on a...
10 years ago