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energy-trade

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Systematic quantitative trading strategy exploiting structural mean-reversion in the 3:2:1 crude oil crack spread. Featuring walk-forward optimization, and statistical testing | Includes ADF/KPSS stationarity tests, Hurst exponent estimation, Ornstein-Uhlenbeck half-life modeling, and event-driven backtesting | Streamlit Dashboard

  • Updated Sep 6, 2026
  • Python

Live day-ahead forecast of French power prices. Models how temperature drives French demand (R² 0.96), then forecasts hourly prices using only data available before the 12:00 auction gate. Runs automatically every weekday and is scored against actual prices. Beats the previous-day benchmark by about 20% out of sample.

  • Updated Oct 22, 2026
  • Python

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