Tutorial 00 - Decomposition-first quant trading roadmap

Executed tutorial notebook. This page is generated from examples/notebooks/quant_trading/00_decomposition_first_quant_trading_roadmap.ipynb and includes markdown cells, code cells, stdout, tables, and captured figures from the committed notebook.

Tutorial Navigation

Track Tutorial notebook
Roadmap Tutorial 00 - Roadmap
Strategy Lab 01 Trend-Following Lab
Tutorial Sequence 01 Real Market Data and Feature Factory
Tutorial Sequence 02 Decomposition-aware MA and MACD
Strategy Lab 02 Oscillation-Reversion Lab
Strategy Expansion 03 Method-Specific Variants
Tutorial Sequence 03 Residual Mean Reversion
Strategy Expansion 04 Component Pair Trading
Tutorial Sequence 04 Donchian Breakout
Tutorial Sequence 05 Pair-Spread Stat-Arb
Tutorial Sequence 06 Cross-Sectional Rotation
Native SSA Replay 07 Native SSA High-Return / Low-Drawdown

Executed Notebook

The revised tutorial is built around one idea: classic technical strategies are mostly rough filters for trend, cycle, residual deviation, and participation. DeTime makes those pieces explicit before the strategy layer.

Implemented in this update:

  1. Market data and decomposition feature factory.
  2. Decomposition-aware moving average and MACD strategies.
  3. Residual mean reversion, RSI, Bollinger and APO rewrites.
  4. Turtle/Donchian breakout with trend, cycle, residual and volume gates.
  5. Pair spread decomposition and stat-arb.
  6. Cross-sectional rotation and portfolio construction.
  7. Native SSA high-return / low-drawdown strategy replay for selected FX and crypto examples.

Additional strategy labs:

  • two concrete strategy families: trend following and oscillation / residual reversion;
  • method-specific strategy variants across STL, SSA and STD;
  • component-level pair trading with decomposition and cointegration diagnostics;
  • native SSA dual-trend mean-reversion replay with buy/sell analysis, equity-vs-buy-hold comparison, drawdown curves, and monthly tables.
In [1]
from pathlib import Path

[p.name for p in sorted(Path("examples/notebooks/quant_trading").glob("*.ipynb"))]
text/plain
['00_decomposition_first_quant_trading_roadmap.ipynb',
 '01_detime_trend_following_strategy_lab.ipynb',
 '01_market_data_and_decomposition_feature_factory.ipynb',
 '02_decomposition_aware_moving_average_macd.ipynb',
 '02_detime_oscillation_reversion_strategy_lab.ipynb',
 '03_detime_method_specific_strategy_variants.ipynb',
 '03_residual_mean_reversion_rsi_bollinger.ipynb',
 '04_detime_component_pair_trading_cointegration.ipynb',
 '04_turtle_donchian_breakout_volume_confirmation.ipynb',
 '05_pairs_spread_decomposition_stat_arb.ipynb',
 '06_cross_sectional_rotation_portfolio.ipynb',
 '07_native_ssa_high_return_low_drawdown_tutorial.ipynb']