Analyze. Model. Alpha.
MelQuantLab is my growing portfolio of quantitative research, financial-data analysis and systematic-investing projects. The repository is deliberately organised as a learning and research journey: foundational programming first, then market-data analysis, followed by deeper investment research.
Observe → Question → Test → Measure → Reflect → Improve
Every project must answer the same six questions:
- The Why: Why are we doing this?
- What problem am I trying to solve?
- Why does this matter in financial markets?
- How did I test it?
- What did I learn?
- What would I improve next?
- What is the bigger picture?
This structure keeps the work understandable to humans while preserving the technical evidence needed for reproducibility.
quant-lab/
├── README.md
├── 01-trader-toolkit/
│ ├── 01-trade-calculator/
│ ├── 02-options-analytics/
│ ├── 03-relative-value-screener/
│ ├── 04-market-maker-simulator/
│ ├── 05-bond-analytics/
│ └── 06-securities-financing-lab/
├── 01-python-foundations/
├── 02-financial-data/
│ └── moving-average-backtester/
├── 03-event-driven/
│ └── corporate-actions-borrow-rv-monitor/
├── market_basket_monitor/
├── 04-quant-research/
├── white-papers/
└── datasets/
Folders will be added as completed work becomes ready to publish. Empty categories are shown here as the intended roadmap rather than being populated with placeholder projects.
- Project 1: Trade & Risk Analytics Calculator — a tested risk workstation for execution attribution, position sizing, strategy expectancy, Kelly analysis and portfolio risk-limit checks.
- Project 2: Black-Scholes Options Analytics — an interactive Streamlit scenario lab for European call/put fair value, mark-to-model P&L, spot/volatility heatmaps and auditable SQLite run history, backed by first-principles pricing, Greeks and implied-volatility analytics.
- Project 3: Credit Relative Value Screener — a PM-style credit workflow combining peer and issuer-curve dislocations, rolling z-scores, walk-forward evidence, liquidity/cost filters, risk sizing and implementable same-issuer switch ideas.
- Project 4: Market Maker Simulator — an interactive bid/offer game with client flow, inventory skew, adverse selection and marked-to-market P&L.
- Project 5: Bond Pricing, Yield & Duration — fixed-rate bond valuation, YTM solving, duration, convexity, DV01 and exact interest-rate shock scenarios.
- Project 6: Equity Borrow & Financing Scenario Lab — an interactive securities-financing workstation connecting short-sale P&L with borrow fees, collateral rebate, locate coverage, utilization, recall risk and joint price/fee scenario analysis.
The Trader Toolkit is being developed as a defined collection:
- Trade & Risk Analytics Calculator — complete
- Black-Scholes Options Analytics — complete
- Credit Relative Value Screener — complete
- Market Maker Simulator — complete
- Bond Pricing, Yield & Duration — complete
- Equity Borrow & Financing Scenario Lab — complete
- Value-at-Risk & Stress Testing — planned
- Pairs Trading & Cointegration — planned
- Order Book & Liquidity Analyzer — planned
- Portfolio Optimizer — planned
- Yield Curve & Forward Rate Analyzer — planned
- Project 1: SPY 50/200 Moving-Average Backtester — a bias-aware, cost-aware comparison of a simple trend-following rule with continuously holding SPY. 2005–2025: Sharpe 0.68 versus 0.63; annualised return 8.69% versus 10.66%; maximum drawdown −33.72% versus −55.19%. Strategy includes 5 bp costs per position change; Sharpe uses 0% risk-free.
- Market Basket Monitor — a configurable macOS workflow for market-price alerts, news monitoring, weekly reporting and an automatically maintained Excel dashboard.
- Corporate Actions, Borrow & Relative-Value Monitor — a risk-first Streamlit workflow connecting earnings and corporate events with inventory pressure, borrow-aware economics, seven-day and one-month horizons, scenario heatmaps and a review-ready daily briefing.
- Systematic Credit Momentum & Portfolio Construction — completed ETF research implementation with monthly signals, inverse-volatility sizing, credit caps, Treasury allocation, drift-aware transaction costs and auditable holdings. May 2008–December 2025: Sharpe versus SHY 0.70 versus 0.39 for HYG buy-and-hold; annualised return 4.23% versus 5.14%; month-end maximum drawdown −7.31% versus −29.92%. The 2016–2025 subperiod favours HYG on Sharpe; full-sample risk reduction does not establish persistent alpha.
- Research questions and assumptions are stated before conclusions.
- Signals are implemented without look-ahead bias.
- Transaction costs and limitations are made visible.
- Automated tests protect important calculations.
- Negative results are retained when they are informative.
- Plain-English explanations accompany technical outputs.
The material in this repository is historical research and education, not investment advice or a claim of future performance.