rkohli3 / TSMOMView external linksLinks
Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.
☆73May 26, 2025Updated 8 months ago
Alternatives and similar repositories for TSMOM
Users that are interested in TSMOM are comparing it to the libraries listed below
Sorting:
- Time-Series Momentum Strategies☆12Jul 20, 2018Updated 7 years ago
- ☆20Dec 28, 2016Updated 9 years ago
- [Recurrent Weighted Average](https://arxiv.org/abs/1703.01253) [Jared Ostmeyer et.al, 2017] heavily based on https://gist.github.com/sham…☆10May 18, 2017Updated 8 years ago
- Code for paper "Inductive Representation Learning on Dynamic Stock Co-Movement Graphs for Stock Predictions"☆17Jan 13, 2022Updated 4 years ago
- ☆18Dec 12, 2019Updated 6 years ago
- A study on volume-price factor stock selection model based on wavelet transform and multitask self-attention network☆99May 16, 2025Updated 8 months ago
- Deep direct reinforcement learning for financial signal representation and trading☆31Oct 7, 2020Updated 5 years ago
- 强化学习进行量化金融☆41Jul 20, 2022Updated 3 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- ☆22Jan 20, 2024Updated 2 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Jul 17, 2022Updated 3 years ago
- Implement a momentum trading strategy in Python and test to see if it has the potential to be profitable☆59Jan 8, 2019Updated 7 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆128Nov 3, 2020Updated 5 years ago
- Deep learning for price movement prediction using high frequency limit order data☆39Oct 8, 2018Updated 7 years ago
- ☆11Oct 6, 2020Updated 5 years ago
- ☆10Mar 23, 2018Updated 7 years ago
- Apply different deep learning models to limit order book.☆11Mar 6, 2018Updated 7 years ago
- Anomaly detection in time series of graph data☆10Dec 3, 2013Updated 12 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆27Aug 29, 2020Updated 5 years ago
- ☆58Feb 7, 2025Updated last year
- ☆10Nov 16, 2021Updated 4 years ago
- Pytorch implementation of BIN-TABL from Data Normalization for Bilinear Structures in HF Financial Time-series☆13Aug 12, 2024Updated last year
- Rebalancing a portfolio with optimal buy/sell decisions using Metaheuristics☆13Mar 11, 2021Updated 4 years ago
- A paper replication project for Time-driven feature-aware jointly deep reinforcement learning☆11Mar 12, 2021Updated 4 years ago
- Official implementation of PRUDEX-Compass☆53Jun 21, 2023Updated 2 years ago
- Stock trading based on MACD indicator, using NEAT and naive algorithm☆32Feb 8, 2022Updated 4 years ago
- Fuzzy Moving Average System with Genetic Algorithm Optimisation for Trading Crude Palm Oil Futures☆27Oct 22, 2018Updated 7 years ago
- This repository contains the agent-based stock market model☆25Feb 19, 2018Updated 7 years ago
- A simple application designed to automate a covered calls trading strategy https://arkm97.github.io/covered-calls/)☆11Feb 9, 2022Updated 4 years ago
- Quantitative Finance & Algorithmic Trading in Python course of Udemy☆13Nov 14, 2017Updated 8 years ago
- Vpin caculation and backtesting☆14Aug 16, 2019Updated 6 years ago
- Volatility Decomposition of Asset Price Time Series☆11May 5, 2019Updated 6 years ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆14Feb 4, 2023Updated 3 years ago
- ☆20Sep 6, 2025Updated 5 months ago
- System for Testing Statistical Arbitrage Strategy☆15Apr 28, 2024Updated last year
- Official Implementation of SimStock : Representation Model for Stock Similarities