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agraolmez/README.md

Ağra Emir Ölmez

I build quantitative equity strategies and the systems needed to test them honestly.

Currently studying Financial Economics at Columbia Business School, after a BSc in Economics, Management and Computer Science at Bocconi University.

Selected work

Machine Learning in Portfolio Construction

My main research project: point-in-time stock selection, factor-aware alpha gates, constrained long/short optimization, transaction costs, borrow costs, and reproducible portfolio accounting.

  • Thesis-period portfolio: 14.67% annualized net excess return, 6.32% volatility, 2.32 Sharpe
  • Frozen V6.8 diagnostic replay, Jan 2024–Jul 2026: 111.63% cumulative net return, turning a hypothetical $100,000 into $211,634
  • Status: the replay is historical/retrospective evidence, not a live track record; prospective paper evaluation is the next test

The repository contains the frozen public research package, methodology, tests, and a clearly separated post-thesis replay addendum.

ML SPY Trading

A walk-forward LightGBM study of SPY direction, allocation, and benchmark performance.

Sector Momentum Strategy

A monthly sector-ETF momentum study with benchmark, drawdown, alpha, and beta analysis.

What I care about

Machine learning for asset selection · portfolio construction · market-neutral and long/short equity · reproducible research · turning models into testable trading systems

Portfolio · Main research repository

Popular repositories Loading

  1. momentum-strategy momentum-strategy Public

    Monthly sector-ETF momentum research with benchmark, drawdown, alpha, and beta analysis

    Jupyter Notebook

  2. ml-spy-trading ml-spy-trading Public

    Walk-forward LightGBM study of SPY direction, allocation, and benchmark performance

    Python

  3. equity-selection-thesis equity-selection-thesis Public

    Machine-learning long/short equity research with point-in-time data, constrained optimization, and audited V6 evidence

    Python

  4. agraolmez.github.io agraolmez.github.io Public

    Personal portfolio for quantitative research, machine learning, and investing

    HTML

  5. agraolmez agraolmez Public

    GitHub profile and selected quantitative research