Research & Projects
QFC acts as a platform for member-built research and simulations. Projects may be developed independently or collaboratively. Strong contributions are reviewed and showcased to the collective.
Projects listed here are independently developed and maintained by their authors. Clear attribution and long-term ownership are emphasized.
The following are research projects developed by QFC members. Each includes a full research report.
Options Greeks Dashboard
ActiveAn interactive Black-Scholes options pricing tool with live Greeks visualization across strikes and expiries. Computes Delta, Gamma, Theta, Vega, and Rho with payoff diagrams and volatility smile visualization.
External site: independently developed and maintained by QFC
HALO
CompletedA market-making system built on the Avellaneda-Stoikov model with a dynamic regime classifier using lag-1 autocorrelation and EWMA volatility, deployed on Kraken targeting SOL/USD. Achieved a Sharpe ratio of 2.4 at the optimal poll cadence.
External site: independently developed and maintained by Colin Whetstone
BTC/ETH Statistical Arbitrage
CompletedA pairs trading system using Engle-Granger cointegration to exploit the mean-reverting spread between BTC and ETH. Spread modeled as an Ornstein-Uhlenbeck process with a 28-minute half-life. Backtested Sharpe ratio of 1.48 with a max drawdown of 8.3%.
External site: independently developed and maintained by Colin Whetstone
Reddit Sentiment Analysis
CompletedA sentiment signal system scraping r/algorand and r/CryptoCurrency to predict short-term ALGO returns. Found statistically significant correlations at lag-2 post volume and lag-3 sentiment ratio. Timing strategy achieved a Sharpe ratio of 1.48 and +22% return vs -16.7% buy-and-hold.
External site: independently developed and maintained by Colin Whetstone
Risk Expedition
Under DevelopmentA quantitative research platform focused on risk modeling, simulation design, and portfolio analysis.
External site: independently developed and maintained by Dax Uhrie