Check the full interactive backtesting report at https://backtest-pca.herokuapp.com/ Source Code for Backtesting: https://github.com/WenkaiCUi/PCA-and-Factor-Model Source Code for report: https://github.com/WenkaiCUi/backtest-report
Source Code : https://github.com/WenkaiCui/PCA-and-Factor-Model Introduction Principle Component Analysis is often used as a tool of dimension reduction and helps visualize high dimension data set. It generates a set of factors that linearly explain a large portion of total variation of data. In quantitative finance, PCA has interesting applications. For example, when using PCA to decompose … More Principle Component Analysis of Stock Market and Factor Model with R
I. Introduction: As a movie lover, I enjoy watching movie both in China and US. The 2 largest movie markets in the world have in common but still differ a lot. In this project, I investigated the movie rating on IMDb and Douban, 2 professional movie review websites from the US and China. I’m interested … More Favorite Movies between Chinese and American? Scrapping IMDb & douban
In this project, I’ll incorporate macroeconomics analysis, special event analysis and technical analysis to provide a thoroughly weekly analysis for the oil price. I’ll post weekly-updated chart along with my analysis, so you can check if my analysis is proved by checking next week’s chart 🙂 Looking back, I can see my first report is a little … More NYMEX WTI Light Crude Future Market Analysis
