{"repo":"cockles98/itau-quant-challenge-2025","free":true,"listed":false,"github":"https://github.com/cockles98/itau-quant-challenge-2025","clone":"git clone https://github.com/cockles98/itau-quant-challenge-2025.git","description":"Quantitative strategy for the Ibovespa that combines Topological Data Analysis (with Persistent Homology & Mapper), classical factors and meta-models, regime-sensitive HRP. Achieved top 4%.","language":"Jupyter Notebook","stars":22,"topics":["backtesting","hrp","machine-learning","persistent-homology","portfolio-optimization","quantitative-finance","tda"],"license":"MIT","category":"trading","readme_excerpt":"🗺️ Atlas: A Regime-Aware Quantitative Strategy Hierarchical Risk Parity with regime detection using Topological Data Analysis (TDA) Submission for the Itaú Quant Challenge 2025 — Top 4% (40/953) Atlas is a long-only quantitative allocation framework that uses Topological Data Analysis and Machine Learning to navigate different market regimes. Unlike traditional models based solely on linear correlations — which tend to break down exactly when you need them most, during crises — Atlas uses Persistent Homology to detect structural market turbulence and TDA/Mapper to cluster assets by topological behavior. From there, a Meta-Blend (ML ensemble) dynamically determines the optimal factor weights (Momentum, Quality, Carry) for the current regime, and Hierarchical Risk Parity (HRP) builds the final portfolio. --- 🚀 Performance & Results Period: 09/14/2017 to 10/06/2025 (Ibovespa Universe) Validation: Walk-Forward Analysis (504d Train / 126d Test) Atlas consistently outperformed both the benchmark (Ibovespa) and the CDI risk-free rate, delivering strong risk-adjusted returns with downside protection via an automated kill-switch. Equity Curves (Walk-Forward vs. Ibovespa): Key Performance Indicators (KPIs): Metric Atlas (Walk-Forward) Ibovespa :--- :--- :--- CAGR 0.316 0.209 Sharpe 1.181 0.549 Sortino 1.903 0.813 Vol 0.166 0.234 MaxDD -0.199 -0.254 AvgTimeUnderWater 20.400 30.800 MaxTimeUnderWater 270.000 500.000 Calmar 1.590 0.821 HitRate 0.542 0.515 Turnover 0.017 NaN KPIs per out-","default_branch":null,"files":null,"tree":[],"storefront":"/r/cockles98","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/cockles98/itau-quant-challenge-2025/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}