jshellen / CTA-strategies
Backtest result archive for Momentum Trading Strategies
☆50Updated 5 years ago
Alternatives and similar repositories for CTA-strategies:
Users that are interested in CTA-strategies are comparing it to the libraries listed below
- A financial trading method using machine learning.☆60Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆43Updated 2 years ago
- ☆21Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- ☆24Updated 6 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆52Updated 2 years ago
- ☆39Updated 3 years ago
- ☆49Updated 3 years ago
- Pair Trading Strategy using Machine Learning written in Python☆114Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆27Updated 6 years ago
- Notes on Advances in Financial Machine Learning☆76Updated 6 years ago
- Baruch MFE 2019 Spring☆38Updated 4 years ago
- Package to build risk model for factor pricing model☆24Updated 7 months ago
- ☆111Updated 7 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆129Updated 6 years ago
- ☆50Updated 7 years ago
- AI based alpha research for trading☆46Updated 2 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆101Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 10 months ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- Notebooks based on financial machine learning.☆48Updated 4 years ago
- Time Series Prediction of Volume in LOB☆56Updated 10 months ago
- ☆30Updated 3 years ago
- Delta hedging under SABR model☆25Updated 9 months ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆45Updated 4 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆50Updated 3 years ago