Quantitative Developer June 2020-January 2021 Quanrend Technology @ Taipei
- Developed deep learning models (Transformer, LSTM and CNN) for price prediction which yield 5+ Sharpe ratio
- Built a virtual broker system (backtester) with minimal latency in Rust for inhouse strategy validation
- Researched trading ideas and implemented alphas as input to machine learning models
- Built a feature selection pipeline to automate alpha-testing procedure which produces alpha effectiveness report