notebooks
Unverified Trend strategy on Indices by rolling-panda-san. BotFinder score 18 out of 100.
Analysis on systematic trading strategies (e.g., trend-following, carry and mean-reversion). The result is regularly updated.
Source: github
BotFinder analysis pending.
notebooks
Analysis on systematic trading strategies What is this repo? This repository documents researches on - Systematic trading strategies (mainly using futures at the moment) that are published in the academic space - Some other miscellaneous results The purpose is to reproduce what are presented in the papers, update the results on a regular basis and potentially add further experiments. Notebooks are automatically pushed to github. Throughout the notebooks, an internal library called vivace is used to facilitate the data management and quantitative analysis. This library will remain private as it's proprietary. What are the contents? Currently, it maintains the following trading strategies | Strategy name | Main reference | Asset class | Notebook | |---------------------------------------------|------------------------------|-------------------------------------|---------------------------------------------------| | Time-series momentum | Moskowitz 2012 | Equity, Fixed-income, FX, Commodity | trendfollowingmoskowitz2012.ipynb | | Time-series momentum | Baltas 2020 | Equity, Fixed-income
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