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