Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.
☆77Apr 14, 2026Updated 6 months ago
Alternatives and similar repositories for TSMOM
Users that are interested in TSMOM are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Time-Series Momentum Strategies☆13Jul 20, 2018Updated 8 years ago
- Rebalancing a portfolio with optimal buy/sell decisions using Metaheuristics☆12Mar 11, 2021Updated 5 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 9 years ago
- A paper replication project for Time-driven feature-aware jointly deep reinforcement learning☆12Mar 12, 2021Updated 5 years ago
- ☆10Mar 23, 2018Updated 8 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Implement a momentum trading strategy in Python and test to see if it has the potential to be profitable☆60Jan 8, 2019Updated 7 years ago
- Implementing a comprehensive Quantitative Momentum Strategy to optimize portfolio allocation. The strategy integrates two key financial i…☆16Jul 29, 2023Updated 3 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆24Jul 17, 2022Updated 4 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆97Feb 9, 2021Updated 5 years ago
- Testing trading signals of commodity futures☆19Apr 4, 2020Updated 6 years ago
- ☆18Dec 12, 2019Updated 6 years ago
- A project to implement a time series momentum strategy and backtest it.☆33Dec 8, 2022Updated 3 years ago
- Factor Investing Library☆29Nov 12, 2022Updated 3 years ago
- This repository will be used to organize all the codes and notes written on the Empirical asset pricing course given at the school of eco…☆13Apr 11, 2023Updated 3 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Quantitative Finance & Algorithmic Trading in Python course of Udemy☆13Nov 14, 2017Updated 8 years ago
- ☆57Aug 12, 2025Updated last year
- Python modules for time-series analysis and empirical asset pricing.☆18May 16, 2020Updated 6 years ago
- A Hidden Markov Chain Model to train Bank Nifty Futures Market Data and predict Long/Short Signals☆16Jun 8, 2017Updated 9 years ago
- This file includes the code I've written for the course Numerical Method in finance, Stochastic Calculus in Spring 2020.☆12May 13, 2020Updated 6 years ago
- A simple application designed to automate a covered calls trading strategy https://arkm97.github.io/covered-calls/)☆12Feb 9, 2022Updated 4 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Oct 19, 2020Updated 5 years ago
- Python implementation of random-forest-based nonlinear dependence and correlation measures.☆15May 3, 2022Updated 4 years ago
- StockFormer: A Swing Trading Strategy Based on STL Decomposition and Self-Attention Networks☆127May 17, 2024Updated 2 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- ☆16Apr 27, 2021Updated 5 years ago
- System for Testing Statistical Arbitrage Strategy☆14Apr 28, 2024Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆137Apr 26, 2020Updated 6 years ago
- Official implementation of PRUDEX-Compass☆51Jun 21, 2023Updated 3 years ago
- A repository for free to use Accern sample data☆17May 12, 2020Updated 6 years ago
- ☆25Mar 29, 2022Updated 4 years ago
- ☆20Jul 7, 2018Updated 8 years ago
- 强化学习进行量化金融☆45Jul 20, 2022Updated 4 years ago
- Deep learning for price movement prediction using high frequency limit order data☆38Oct 8, 2018Updated 8 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- ☆14Aug 5, 2020Updated 6 years ago
- experiments with pair trading☆346Dec 10, 2024Updated last year
- Earnings Call Sentiment Analysis. This repository includes my work on extracting the focus area of companies from their earnings calls tr…☆17Mar 21, 2021Updated 5 years ago
- This repository contains the agent-based stock market model☆25Feb 19, 2018Updated 8 years ago
- ☆19Nov 25, 2022Updated 3 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆130Nov 3, 2020Updated 5 years ago
- Quantitative finance research tools in Python☆13Mar 8, 2019Updated 7 years ago