rolling-panda-san/notebooks — repo reproduces and updates systematic trading strategi

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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	`trend_following_moskowitz2012.ipynb`
Time-series momentum	Baltas 2020	Equity, Fixed-income, FX, Commodity	`trend_following_baltas2020.ipynb`
Time-series momentum with breakout signal	Chevallier and Ielpo 2014 etc	Equity, Fixed-income, FX, Commodity	`trend_following_breakout.ipynb`
FX carry	Deutsche Bank 2009	FX	`fx_carry.ipynb`
Commodity term structure	Koijen 2018 etc	Commodity	`commodity_term_structure.ipynb`
Commodity momentum	Asness 2013 etc	Commodity	`commodity_momentum.ipynb`
Commodity skewness	Fernandez-Perez 2018 etc	Commodity	`commodity_skewness.ipynb`
Commodity intra-curve	La Française Group 2015	Commodity	`commodity_intra_curve.ipynb`
Commodity crush spread mean-reversion	Simon 1999	Commodity	`commodity_crush_spread_stat_arb.ipynb`

notebooks

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Analysis on systematic trading strategies

What is this repo?

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