Projects & Models
Live dashboards and analysis tools for quantitative finance. Click any card to view the model description, methodology, and the embedded dashboard.
MA Distance %ile
Mean-reversion gauge that ranks the price's distance from its moving average as a rolling percentile. Flags tail events and reports the forward-return distribution at t+1 / t+5 / t+20 following each event.
Portfolio Risk & Return Comparison
Two-portfolio side-by-side comparison with custom weights against an SPY benchmark — cumulative returns, drawdowns, Sharpe, Sortino, Calmar, VaR, CVaR, beta, alpha, information ratio, correlation, R-squared, rolling beta/Sharpe, correlation matrix, and relative performance.
Beta & Correlation Analysis
Beta, correlation, and Sharpe analytics across a multi-asset universe with ranked tables and visual diagnostics against a chosen benchmark.
MACD-V Breadth Indicator (Volatility-Normalized Momentum)
Market breadth dashboard analyzing S&P 500 constituents using volatility-normalized MACD-V with Wilder ATR smoothing. Visualizes momentum regimes, bull/bear ratios, and histogram breadth. Reference: Spiroglou, "MACD-V: Volatility Normalised Momentum" (SSRN 4099617).
Return Analysis
Return-distribution analysis covering rolling and EWMA volatility, z-scores with reference bands, and drawdown-free streak counts for one or more selected tickers at daily, weekly, or monthly frequency.
Seasonality Terminal
Calendar-effect analysis with monthly return distributions, stability metrics, and rolling regime overlays for any ticker. Surfaces persistent month-of-year anomalies across equities and ETFs.
Macroeconomic Modeling
Dashboard analyzing CPI, PCE, GDP from FRED with inflation momentum, scenario projections, and Growth vs Inflation quadrant analysis.
TRY Carry Trade Analysis
Monte Carlo simulation and regime-conditioned modeling of the Turkish Lira carry trade. Generates 10,000 forward paths under GBM with state-dependent volatility, and decomposes realised returns into carry, spot, and regime components.