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| <h1 id="decomposition-first-quant-trading-tutorials-with-detime">Decomposition-First Quant Trading Tutorials with DeTime</h1> |
| <p>This tutorial sequence rebuilds the quant-trading examples around one thesis: |
| classic technical strategies are rough, implicit estimates of trend, cycle, |
| residual deviation, and market participation. DeTime makes those structures |
| explicit before the strategy layer.</p> |
| <p>The revised tutorial uses a seven-part path rather than a loose collection of |
| indicator notebooks.</p> |
| <p><a href="notebooks/">Open the executed tutorial notebook index</a> |
| to jump directly between Tutorial 00-07, the strategy lab notebooks, and the |
| strategy expansion notebooks.</p> |
| <table> |
| <thead> |
| <tr> |
| <th>Tutorial</th> |
| <th>Status</th> |
| <th>Topic</th> |
| <th>Main DeTime role</th> |
| </tr> |
| </thead> |
| <tbody> |
| <tr> |
| <td>00</td> |
| <td>implemented</td> |
| <td>roadmap</td> |
| <td>strategy design map</td> |
| </tr> |
| <tr> |
| <td>01</td> |
| <td>implemented</td> |
| <td>market data and feature factory</td> |
| <td>price + volume decomposition</td> |
| </tr> |
| <tr> |
| <td>02</td> |
| <td>implemented</td> |
| <td>moving average, multi-MA and MACD</td> |
| <td>explicit trend filters with cycle/residual/volume gates</td> |
| </tr> |
| <tr> |
| <td>03</td> |
| <td>implemented</td> |
| <td>RSI, Bollinger and residual mean reversion</td> |
| <td>residual deviation, cycle timing and volume filter</td> |
| </tr> |
| <tr> |
| <td>04</td> |
| <td>implemented</td> |
| <td>Turtle/Donchian breakout</td> |
| <td>trend, cycle, residual overextension and volume confirmation</td> |
| </tr> |
| <tr> |
| <td>05</td> |
| <td>implemented</td> |
| <td>pairs trading and stat arb</td> |
| <td>spread trend drift + spread residual + optional volume news filter</td> |
| </tr> |
| <tr> |
| <td>06</td> |
| <td>implemented</td> |
| <td>cross-sectional rotation</td> |
| <td>trend/cycle/residual/volume decomposition factor score</td> |
| </tr> |
| <tr> |
| <td>07</td> |
| <td>implemented</td> |
| <td>native SSA high-return / low-drawdown replay</td> |
| <td>fast/slow SSA trends, next-open fills, drawdown and monthly trade diagnostics</td> |
| </tr> |
| </tbody> |
| </table> |
| <h2 id="strategy-lab-correction-two-concrete-trading-systems">Strategy-lab correction: two concrete trading systems</h2> |
| <p>The clearest entry point is now the strategy lab, not the broad seven-tutorial map. |
| It implements two complete strategy families:</p> |
| <ol> |
| <li><strong>Trend following</strong>: <code>trend_slope</code> and <code>trend_strength</code> create the trading signal; <code>cycle_position</code>, <code>residual_abs_z</code>, and volume decomposition control entry timing and overextension.</li> |
| <li><strong>Oscillation / residual reversion</strong>: when <code>abs(trend_strength)</code> is small, the strategy trades <code>residual_z</code> around <code>trend + cycle</code>; negative residual buys, positive residual sells or shorts.</li> |
| </ol> |
| <p>Run it with:</p> |
| <pre><code class="language-bash">make strategy-lab |
| </code></pre> |
| <p>Main implementation files:</p> |
| <pre><code class="language-text">examples/quant_trading/strategy_lab.py |
| examples/quant_trading/scripts/run_strategy_lab.py |
| examples/notebooks/quant_trading/01_detime_trend_following_strategy_lab.ipynb |
| examples/notebooks/quant_trading/02_detime_oscillation_reversion_strategy_lab.ipynb |
| docs/tutorials/quant-trading/two-strategy-families.md |
| </code></pre> |
| <p>The script writes strategy stats, order records, round-trip trades, feature coverage, run manifest, and buy/sell charts under <code>examples/quant_trading/reports/strategy_lab/</code>.</p> |
| <h2 id="implemented-notebooks">Implemented notebooks</h2> |
| <p>The executable notebooks are in <code>examples/notebooks/quant_trading/</code>: |
| install the optional notebook and market-data dependencies from |
| <code>examples/quant_trading/requirements.txt</code>. The rendered documentation publishes |
| the captured outputs directly at |
| <code>quant-trading/notebooks/01_market_data_and_decomposition_feature_factory.md</code> |
| and the companion pages in the same notebook directory.</p> |
| <table> |
| <thead> |
| <tr> |
| <th>Notebook</th> |
| <th>What it teaches</th> |
| </tr> |
| </thead> |
| <tbody> |
| <tr> |
| <td><code>00_decomposition_first_quant_trading_roadmap.ipynb</code></td> |
| <td>Why the tutorial is organized around decomposition rather than isolated indicators.</td> |
| </tr> |
| <tr> |
| <td><code>01_market_data_and_decomposition_feature_factory.ipynb</code></td> |
| <td>OHLCV audit, period estimation, and walk-forward price/volume feature construction.</td> |
| </tr> |
| <tr> |
| <td><code>02_decomposition_aware_moving_average_macd.ipynb</code></td> |
| <td>Classical buy-and-hold, dual MA, MACD, multi-MA and momentum compared with DeTime rewrites.</td> |
| </tr> |
| <tr> |
| <td><code>03_residual_mean_reversion_rsi_bollinger.ipynb</code></td> |
| <td>Price z-score, RSI, Bollinger and APO baselines rewritten as residual mean-reversion with cycle timing.</td> |
| </tr> |
| <tr> |
| <td><code>04_turtle_donchian_breakout_volume_confirmation.ipynb</code></td> |
| <td>Donchian/Turtle breakout rewritten with trend, cycle, residual and volume confirmation.</td> |
| </tr> |
| <tr> |
| <td><code>05_pairs_spread_decomposition_stat_arb.ipynb</code></td> |
| <td>Pair z-score and rolling-beta spread baselines rewritten as residual spread trading with spread-trend drift control.</td> |
| </tr> |
| <tr> |
| <td><code>06_cross_sectional_rotation_portfolio.ipynb</code></td> |
| <td>Momentum, multi-MA and inverse-volatility rotation compared with DeTime cross-sectional scoring.</td> |
| </tr> |
| <tr> |
| <td><code>07_native_ssa_high_return_low_drawdown_tutorial.ipynb</code></td> |
| <td>Native SSA dual-trend mean-reversion replay for selected high-return FX and crypto strategies under a 20% drawdown constraint.</td> |
| </tr> |
| </tbody> |
| </table> |
| <h2 id="core-design">Core design</h2> |
| <p>For price and volume we use:</p> |
| <p>[ |
| \log P_t = T^P_t + C^P_t + R^P_t, |
| \qquad |
| \log(1 + V_t) = T^V_t + C^V_t + R^V_t. |
| ]</p> |
| <p>The strategy layer then reads:</p> |
| <table> |
| <thead> |
| <tr> |
| <th>Component</th> |
| <th>Trading interpretation</th> |
| <th>Example use</th> |
| </tr> |
| </thead> |
| <tbody> |
| <tr> |
| <td>price trend</td> |
| <td>direction and persistence</td> |
| <td>trend-following state, decomposed MA/MACD</td> |
| </tr> |
| <tr> |
| <td>price cycle</td> |
| <td>timing and local oscillation</td> |
| <td>avoid buying into overextended cycle peaks</td> |
| </tr> |
| <tr> |
| <td>price residual</td> |
| <td>deviation from current structure</td> |
| <td>pullback and mean-reversion logic</td> |
| </tr> |
| <tr> |
| <td>volume trend</td> |
| <td>participation</td> |
| <td>confirm trend or breakout</td> |
| </tr> |
| <tr> |
| <td>volume residual</td> |
| <td>abnormal activity</td> |
| <td>detect volume shock or weak participation</td> |
| </tr> |
| <tr> |
| <td>reconstruction error / stability</td> |
| <td>feature reliability</td> |
| <td>reduce exposure when component quality weakens</td> |
| </tr> |
| </tbody> |
| </table> |
| <h2 id="data-layer">Data layer</h2> |
| <p>The code supports live downloads through <code>yfinance</code>. The rendered documentation |
| uses archived historical GOOG and FX OHLCV samples from the user-provided Learn |
| Algorithmic Trading material so the pages can be rebuilt without network access.</p> |
| <p>For formal trading research, replace the educational data source with a licensed |
| point-in-time vendor and document symbol membership, corporate actions, |
| delistings, borrow, funding, FX, and execution assumptions.</p> |
| <h2 id="code-modules">Code modules</h2> |
| <table> |
| <thead> |
| <tr> |
| <th>Module</th> |
| <th>Purpose</th> |
| </tr> |
| </thead> |
| <tbody> |
| <tr> |
| <td><code>data.py</code></td> |
| <td>OHLCV download, panel extraction, archived market-data loader</td> |
| </tr> |
| <tr> |
| <td><code>classic_indicators.py</code></td> |
| <td>SMA, EMA, MACD, RSI, Bollinger, momentum, APO</td> |
| </tr> |
| <tr> |
| <td><code>decomposition_features.py</code></td> |
| <td>walk-forward price and volume DeTime features</td> |
| </tr> |
| <tr> |
| <td><code>strategy_baselines.py</code></td> |
| <td>classical baseline weight recipes</td> |
| </tr> |
| <tr> |
| <td><code>strategy_detime.py</code></td> |
| <td>decomposition-aware strategy recipes</td> |
| </tr> |
| <tr> |
| <td><code>strategy_pairs.py</code></td> |
| <td>pair spread decomposition and stat-arb recipes</td> |
| </tr> |
| <tr> |
| <td><code>strategy_rotation.py</code></td> |
| <td>cross-sectional rotation and portfolio recipes</td> |
| </tr> |
| <tr> |
| <td><code>validation.py</code></td> |
| <td>common backtest comparison, turnover, manifest helpers</td> |
| </tr> |
| <tr> |
| <td><code>backtest.py</code></td> |
| <td>transparent close-to-close research backtester</td> |
| </tr> |
| </tbody> |
| </table> |
| <h2 id="smoke-test">Smoke test</h2> |
| <pre><code class="language-bash">export PYTHONPATH="$PWD/src:$PWD/examples:$PYTHONPATH" |
| make smoke-05-06 |
| </code></pre> |
| <p>The smoke tests run on CPU and write hardware/audit outputs under |
| <code>examples/quant_trading/reports/</code>.</p> |
| <h2 id="latest-implemented-tutorials">Latest Implemented Tutorials</h2> |
| <p>Tutorials 03-04 cover single-asset reversion and breakout strategies:</p> |
| <ul> |
| <li>Tutorial 03 keeps familiar entry points, including RSI, Bollinger Bands, APO and price z-score, but changes the traded object from raw price deviation to residual deviation after trend/cycle removal.</li> |
| <li>Tutorial 04 keeps the Donchian/Turtle breakout scaffold but adds trend, cycle, residual-overextension and volume-participation gates.</li> |
| </ul> |
| <p>Tutorials 05-07 complete the current arc:</p> |
| <ul> |
| <li>Tutorial 05 rewrites pairs trading by decomposing the rolling hedge spread and trading residual deviation only when spread trend drift is controlled.</li> |
| <li>Tutorial 06 turns decomposition outputs into a cross-sectional factor score for top-N, long-short and volatility-targeted rotation portfolios.</li> |
| <li>Tutorial 07 replays selected native SSA dual-trend strategies, including buy/sell markers, strategy-vs-buy-hold equity, drawdown curves, and monthly return / win-rate tables.</li> |
| </ul> |
| <p>Run the latest batch on bundled real FX samples:</p> |
| <pre><code class="language-bash">make quant-columns-05-06 |
| </code></pre> |
| <p>Run the bundled-sample Tutorial 01-06 batch:</p> |
| <pre><code class="language-bash">make quant-columns-01-06 |
| </code></pre> |
| <p>Tutorial 07 is a notebook replay for local 3-minute intraday files. Open it from |
| the rendered documentation or run |
| <code>examples/notebooks/quant_trading/07_native_ssa_high_return_low_drawdown_tutorial.ipynb</code> |
| after placing the referenced FX and crypto CSVs under |
| <code>examples/quant_trading/data/intraday_crypto_fx/</code>.</p> |
| <p>Live-data versions are available through <code>make quant-columns-03-04-live</code> and <code>make quant-columns-05-06-live</code>.</p> |
| <h2 id="strategy-expansion-method-specific-variants-and-component-pair-trading">Strategy expansion: method-specific variants and component pair trading</h2> |
| <p>The strategy lab now includes an additional expansion layer that treats a decomposition method and horizon as part of the strategy definition.</p> |
| <pre><code class="language-bash">make strategy-expansion |
| </code></pre> |
| <p>This command runs:</p> |
| <ol> |
| <li>method-specific strategy variants: STL/SSA/STD configurations produce different trend, cycle, and residual inputs for the same trend-following, oscillation-reversion, residual-Bollinger, trend-MACD, and trend-crossover rules;</li> |
| <li>component-level pair trading: both assets in a pair are decomposed, trend/cycle similarity is measured, cointegration and stationarity diagnostics are reported, and the residual gap or trend+cycle spread deviation is traded.</li> |
| </ol> |
| <p>Tutorial document:</p> |
| <pre><code class="language-text">docs/tutorials/quant-trading/method-specific-strategy-expansion.md |
| </code></pre> |
| <p>New notebooks:</p> |
| <pre><code class="language-text">examples/notebooks/quant_trading/03_detime_method_specific_strategy_variants.ipynb |
| examples/notebooks/quant_trading/04_detime_component_pair_trading_cointegration.ipynb |
| </code></pre></div> |
| </div> |
| </div> |
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