├── .gitignore ├── README.md ├── data ├── 60_40_benchmark.json ├── equal_weight_benchmark.json ├── gmm2_252.json ├── gmm2_60.json ├── historical_252.json ├── historical_60.json ├── tiingo_etf_prices_ending_2017-12-31.parq └── tiingo_etf_returns_ending_2017-12-31.parq ├── notebooks ├── Reference_Notebooks │ ├── Density Estimation with Dirichlet Process Mixtures using PyMC3 - Austin Rochford.ipynb │ └── Section3_1-Expectation-Maximization.ipynb ├── current_public_notebooks │ ├── 01_Motivation_07_2019.ipynb │ ├── 01_Motivation_07_2019.slides.html │ ├── 02_Intro_to_Gaussian_Mixtures_7_2019.ipynb │ ├── 02_Intro_to_Gaussian_Mixtures_7_2019.slides.html │ ├── 03_Are_Gaussian_Mixture_Components_More_Stationary_2019-01-01.ipynb │ ├── 03_Are_Gaussian_Mixture_Components_More_Stationary_2019-01-01.slides.html │ ├── 04_VAR_accuracy_of_Mixture_Models_vs_GARCH_et_al_2019-01-01.ipynb │ ├── 04_VAR_accuracy_of_Mixture_Models_vs_GARCH_et_al_2019-01-01.slides.html │ ├── 05_Inverse_VAR_Weight_Algorithms_Comparison_and_Evaluation_2019-01-01.ipynb │ ├── 05_Inverse_VAR_Weight_Algorithms_Comparison_and_Evaluation_2019-01-01.slides.html │ ├── 06_Using_GMM_to_Create_Synthetic_Data_07_2019.ipynb │ ├── 06_Using_GMM_to_Create_Synthetic_Data_07_2019.slides.html │ ├── reqs.yml │ └── slides command └── older_version_notebooks │ ├── 01. Motivation [2019-01-01] .ipynb │ ├── 01. Motivation.ipynb │ ├── 02. Gaussian Mixtures-updated.ipynb │ ├── 02. Intro to Gaussian Mixtures [2019-01-01].ipynb │ ├── 02_Intro_to_Gaussian_Mixtures_7_2019-Part 1_Expectation Maximization.ipynb │ ├── 03. Strategy Research-updated.ipynb │ ├── 04. Strategy Implementation.ipynb │ └── 05. Algorithm Evaluation (with Quantconnect and pymc3)-updated.ipynb ├── quantconnect_gmm_algorithm_outline.md ├── scripts ├── Mixture_Model_Trading_Algorithm_Example_0.1.0.py ├── Mixture_Model_Trading_Algorithm_Example_0.2.0.py ├── QC_equal_weight_benchmark.py ├── QC_gmm_inverse_var.py ├── QC_historical_inverse_var.py ├── QC_spy_bnd_6040_benchmark.py ├── __init__.py ├── algo_utils.py ├── algo_utils_old.py ├── ch5_utils.py └── utils.py └── visuals ├── 01_Motivation ├── spy return cdf compare with ecdf-kstest.png ├── spy return cdf compare-time series split 5 folds-kstest.png ├── spy return faceted histogram plot-mean std.png ├── spy return faceted quantile plot-kstest.png ├── spy return faceted tsplot acf and pacf.png └── stationarity infographic screenshot-www.seanabu.com-2016-11-01-14-16-35.png ├── 02_Gaussian_Mixtures ├── aic_bic_choosing_optimal_components.png ├── cuml_returns_boxplot_by_state_period-0.png ├── cuml_returns_boxplot_by_state_period-1.png ├── cuml_returns_boxplot_by_state_period-2.png ├── cuml_returns_boxplot_by_state_period-3.png ├── cuml_returns_boxplot_by_state_period-4.png ├── cuml_returns_boxplot_by_state_period-5.png ├── cuml_returns_boxplot_by_state_period-6.png ├── cuml_returns_boxplot_by_state_period-7.png ├── cuml_returns_boxplot_by_state_period-8.png ├── cuml_returns_boxplot_by_state_period-9.png ├── cuml_returns_states_period-0.png ├── cuml_returns_states_period-1.png ├── cuml_returns_states_period-2.png ├── cuml_returns_states_period-3.png ├── cuml_returns_states_period-4.png ├── cuml_returns_states_period-5.png ├── cuml_returns_states_period-6.png ├── cuml_returns_states_period-7.png ├── cuml_returns_states_period-8.png ├── cuml_returns_states_period-9.png ├── faceted_cuml_returns_states_period-0.png ├── faceted_cuml_returns_states_period-1.png ├── faceted_cuml_returns_states_period-2.png ├── faceted_cuml_returns_states_period-3.png ├── faceted_cuml_returns_states_period-4.png ├── faceted_cuml_returns_states_period-5.png ├── faceted_cuml_returns_states_period-6.png ├── faceted_cuml_returns_states_period-7.png ├── faceted_cuml_returns_states_period-8.png ├── faceted_cuml_returns_states_period-9.png ├── gmm_components_grid_multi_periods.png ├── simulated_returns_em_example.png ├── spy_returns_component_densities.png ├── spy_returns_mean_std.png ├── state_describe_period_0.csv ├── state_describe_period_1.csv ├── state_describe_period_2.csv ├── state_describe_period_3.csv ├── state_describe_period_4.csv ├── state_describe_period_5.csv ├── state_describe_period_6.csv ├── state_describe_period_7.csv ├── state_describe_period_8.csv └── state_describe_period_9.csv ├── 03_Strategy_Research ├── SPY_aic_bic_optimal_choice.png ├── SPY_cuml_returns_outliers_ex.png ├── SPY_outliers_per_annual.png ├── SPY_outliers_per_annual_bic_optimal.png ├── SPY_outliers_per_annual_ex.png ├── SPY_outliers_per_month.png ├── SPY_outliers_per_month_bic_optimal.png ├── SPY_outliers_per_month_ex.png ├── SPY_post_outliers_too_high.png ├── SPY_post_outliers_too_high_no_dt.png ├── SPY_post_outliers_too_low.png ├── SPY_post_outliers_too_low_no_dt.png ├── SPY_scatter_returns_outliers.png ├── SPY_scatter_returns_outliers_bic_optimal.png └── SPY_scatter_returns_outliers_ex.png ├── 04_Strategy_Implementation └── Short-Backtest-Results-Example.png └── 05_Algorithm_Evaluation ├── Quantconnect-download-data-gif-Peek 2018-02-19 10-42.gif ├── alt_stacked_model_simulated_cagr_perc.png ├── alt_stacked_model_simulated_cagr_perc_2018-06-10.png ├── alt_stacked_model_simulated_ending_values_dist.png ├── alt_stacked_model_simulated_ending_values_dist_2018-06-10.png ├── bayesian_cones_comparison.png ├── bayesian_cones_comparison_2018-06-10.png ├── best_algo_la_model_simulated_cagr_perc.png ├── best_algo_la_model_simulated_cagr_perc_2018-06-10.png ├── best_algo_la_model_simulated_ending_values_dist.png ├── best_algo_la_model_simulated_ending_values_dist_2018-06-10.png ├── 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