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JoshGutierrez56/README.md

Josh Gutierrez

MS Finance / MBA Candidate — Northeastern University D'Amore-McKim School of Business Head of Equity Research, 360 Huntington Fund ($2.1M AUM) | President, Options Club & Commodities Club | Boston, MA

Quantitative Research

Project Description Stack
optlab-research Factor backtesting platform — 9 signals, Russell 3000, FF6 attribution, Brinson decomposition Python, DuckDB, Polars, CVXPY
deep-momentum-network LSTM with attention mechanism, Sharpe-ratio loss, 1.65 walk-forward Sharpe PyTorch
macro-regime-hmm Hidden Markov Model built from scratch, 96.1% NBER recession detection accuracy NumPy, scikit-learn
360hf-bl-optimizer Black-Litterman + Ledoit-Wolf shrinkage optimizer for student fund CVXPY, pandas
risk-parity Risk parity portfolio optimizer with Ledoit-Wolf shrinkage and equal risk contribution CVXPY, numpy

Factor Replication Results

Factor Universe Period Sharpe L/S Source
Quality / Gross Profitability Russell 1000 2019–2023 0.443 Novy-Marx (2013)
Momentum (12-2) Russell 3000 2019–2023 0.262 Jegadeesh-Titman (1993)
Momentum (12-2) Russell 1000 2010–2024 0.139 gross Carhart (1997)
BAB / Low Volatility Russell 1000 2019–2023 -0.371 Frazzini-Pedersen (2014)
Value / Book-to-Market Russell 3000 2010–2024 -0.266 Fama-French (1992)

GP–Value cross-sectional correlation: −0.257 (p < 0.0001, n=556,200) — quality complements value.

Options Club — Fall 2026

Three-session trading game curriculum modeled on the Citi market-making card game. Each session ships with a companion GitHub repo members push to their own profiles.

Session Date Game Repo
1 — Vanilla Market Making Sept 16 Quote bid-ask on card sum mm-simulator
2 — Variance Trading Sept 30 Quote bid-ask on card variance variance-dispersion
3 — Options Payoff Oct 14 Quote bid-ask on max(sum − K, 0) greeks-payoffs

Background

7 years institutional asset management — AEW Capital Management, Loomis Sayles, Wellington Management, Prime Buchholz. Hamilton College BA.

Pinned Loading

  1. ETF-Deep-Momentum-Network ETF-Deep-Momentum-Network Public

    A PyTorch implementation of Deep Momentum Networks for multi-asset trading, based on Lim, Zohren & Roberts (2019).

    Python

  2. Risk-Parity-Model Risk-Parity-Model Public

    Equal Risk Contribution risk parity built on DuckDB + Python. Rolling covariance, NAV, drawdown, and Sharpe computed in pure SQL window functions; ERC solved via scipy SLSQP. 10-asset multi-class u…

    Python

  3. 360HF-BL-Optimizer 360HF-BL-Optimizer Public

    Black-Litterman portfolio optimizer for the 360 Huntington Fund using Fama-French 6 factors as the equilibrium prior and GK analyst signals as views. Includes CVXPY mean-variance optimization repla…

    Python

  4. greeks-payoffs greeks-payoffs Public

    Python

  5. Macro-Regime-HMM Macro-Regime-HMM Public

    Gaussian HMM trained on yield curve, credit spreads, and VIX to identify Expansion/Slowdown/Crisis regimes. Baum-Welch EM + Viterbi from scratch. Shows momentum crashes in Crisis, quality is defen…

    Python

  6. Optlab-Research Optlab-Research Public

    Registry-driven equity research workbench — PIT-correct factor signals, named universes, and backtesting on CRSP/Compustat via DuckDB + Polars.

    Jupyter Notebook