market-neutral

Factsheets, Historical Returns CSVs, Historical Raw Factor Data CSVs and Replication Notebooks for Cross-Sectional Portfolios and Factors

Delta-neutral perpetual basis engine for cross-venue contango capture and funding-aware hedging.

A multi-user, parallel, multi-strategy, crypto derivative trading engine written in python.

This code implements algorithmic trading in a paper trading account.

Autonomous crypto quant-research platform: XGBoost/LightGBM signal ensembles, regime-aware allocation, a funding-carry engine, a self-evolving research loop, and a fail-closed safety/MLOps stack. 95 modules, 148 tests, Python 3.10+.

McGill-FIAM 2026 finalist. A $1B market-neutral fund where E-LASSO and LightGBM pick stocks and 8 local LLM agents check every step. Beta 0.01, 4% volatility, 3% max drawdown, Sortino 4.21.

Pre-registered audit of a crypto cross-sectional momentum strategy. Backtest Sharpe 0.9 → 0.22 once the universe is built point-in-time with delisted coins; lost money on a sealed holdout. Includes survivorship-free Binance perp data pipeline, corrected engine, Deflated Sharpe, PBO and walk-forward tests.

Leakage-safe cross-sectional ML alpha research platform: point-in-time store, future-truncation leakage detection enforced in CI, purged walk-forward validation, block bootstrap, and an append-only trial registry for multiplicity control.

Non-custodial delta-neutral funding farmer for Hyperliquid — long spot / short perp, your keys never leave your machine. Terminal dashboard, 166 tests.

Market-neutral relative-reversal study on five Indian banks. Pre-registered split; the effect does not survive out-of-sample.

Telegram assistant for semi-automated funding-rate arbitrage between perpetual futures exchanges

Point-in-time intraday equity stat-arb with market-neutral construction, next-minute execution, cost/latency stress and reproducible backtests.

PCA-based market-neutral statistical arbitrage framework on the S&P 500.

prediction-market research

Walk-forward cross-sectional equity alpha over the S&P 1500. Beta-residual targets, label-aware training embargo, sector- and beta-neutral construction. OOS Sharpe 1.22 gross / 1.00 net of 5 bps, IC t = 12.9.

U.S. large-cap absolute-return research: market-neutral stock selection, directional risk, and P&L attribution.

Systematic cross-asset book (US equities + crypto) built to be traded: four decorrelated alpha families at equal risk, mean correlation 0.06, 1.15x leverage. Net Sharpe 4.00 out-of-sample and 3.61 across 2011-2026, 88.5% profitable months, -5.0% max drawdown, positive in 15 of 15 calendar years. Leakage-audited, PBO 13%, reproducible offline.

Market-neutral pairs trading backtester: Engle-Granger cointegration, rolling formation/trading windows, costs on every leg, and a tested no-lookahead guard.

Statistical Arbitrage strategy in Vietnamese Market

Market-neutral automation platform for KRW premium and cross-exchange basis strategies.