rkohli3 / TSMOMLinks
Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.
☆71Updated 7 months ago
Alternatives and similar repositories for TSMOM
Users that are interested in TSMOM are comparing it to the libraries listed below
Sorting:
- Portfolio optimization with cvxopt☆40Updated last month
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- Fama French model on a subset of Canadian Equity data with Python☆50Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆72Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 10 months ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆51Updated 4 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆49Updated last year
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 7 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆83Updated 7 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆38Updated 2 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- a unified environment for supervised learning and reinforcement learning in the context of quantitative trading☆46Updated 4 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- AI based alpha research for trading☆50Updated 3 years ago
- Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic pr…☆68Updated 6 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆41Updated 8 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- Developing a trend following model using futures☆38Updated 2 years ago
- ☆50Updated 2 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- ☆41Updated 4 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆25Updated 7 years ago