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. **
Currently, it maintains the following trading strategies
| Strategy name | Main reference | Asset class | Notebook |
|---|---|---|---|
| Time-series momentum | Moskowitz 2012 | Equity, Fixed-income, FX, Commodity | trend_following_moskowitz2012.ipynb |
| Time-series momentum | Baltas 2020 | Equity, Fixed-income, FX, Commodity | trend_following_baltas2020.ipynb |
| Time-series momentum with breakout signal | Chevallier and Ielpo 2014 etc | Equity, Fixed-income, FX, Commodity | trend_following_breakout.ipynb |
| FX carry | Deutsche Bank 2009 | FX | fx_carry.ipynb |
| Commodity term structure | Koijen 2018 etc | Commodity | commodity_term_structure.ipynb |
| Commodity momentum | Asness 2013 etc | Commodity | commodity_momentum.ipynb |
| Commodity skewness | Fernandez-Perez 2018 etc | Commodity | commodity_skewness.ipynb |
| Commodity intra-curve | La Française Group 2015 | Commodity | commodity_intra_curve.ipynb |
| Commodity crush spread mean-reversion | Simon 1999 | Commodity | commodity_crush_spread_stat_arb.ipynb |
| Commodity crack spread mean-reversion | Girma and Paulson 1999 | Commodity | commodity_crack_spread_stat_arb.ipynb |
| Cross-asset skewness | Baltas 2019 etc | Equity, Fixed-income, FX, Commodity | cross_asset_skewness.ipynb |
| Equity overnight returns | Knuteson 2020 etc | Equity | overnight_returns.ipynb |
| Equity short-term trading | Connors 2009 | Equity | equity_short_term_trading_connors.ipynb |
| ETF intraday momentum | Gao 2018 | Equity | equity_etf_intraday_momentum.ipynb |
Additionally, there are notebooks on the following topics:
| Analysis | Main reference | Asset Class | Notebook |
|---|---|---|---|
| Long-only performance on futures contracts | - | Equity, Fixed-income, FX, Commodity | futures_long_only.ipynb |
| Actively traded contract months | - | Equity, Fixed-income, FX, Commodity | futures_active_contracts.ipynb |
| Greeks under Normal Black-Scholes model | - | - | Greeks_under_normal_model.ipynb |
| Realised volatility measures | Santander 2012 | Equity, Fixed-income, FX, Commodity | realised_volatility.ipynb |
| Inverse options | Alexander 2021 | Crypto | inverse_option.ipynb |
| Uniswap V2 liquidity pool yield | - | Crypto | crypto_uniswap_graph.ipynb |
- Alexander, C. and Imeraj, A., 2021. Inverse Options in a Black-Scholes World. arXiv preprint arXiv:2107.12041.
- Asness, C.S., Moskowitz, T.J. and Pedersen, L.H., 2013. Value and momentum everywhere. The Journal of Finance, 68(3), pp.929-985.
- Bakshi, G., Gao, X. and Rossi, A.G., 2019. Understanding the sources of risk underlying the cross section of commodity returns. Management Science, 65(2), pp.619-641.
- Baltas, N. and Kosowski, R., 2020. Demystifying time-series momentum strategies: Volatility estimators, trading rules and pairwise correlations. Market Momentum: Theory and Practice", Wiley.
- Baltas, N. and Salinas, G., 2019. Cross-Asset Skew. Available at SSRN.
- BCOM Methodology - Bloomberg Professional Services https://assets.bbhub.io/professional/sites/10/BCOM-Methodology-MAR-2022_FINAL.pdf
- Chevallier, J. and Ielpo, F., 2014. “Time series momentum” in commodity markets. Managerial Finance.
- Connors, L.A. and Alvarez, C., 2009. Short Term Trading Strategies that Work: A Quantified Guide to Trading Stocks and ETFs. TradingMarkets Publishing Group.
- Deutsche Bank, 2009, db Currency Return.
- Fernandez-Perez, A., Frijns, B., Fuertes, A.M. and Miffre, J., 2018. The skewness of commodity futures returns. Journal of Banking & Finance, 86, pp.143-158.
- Gao, L., Han, Y., Li, S.Z. and Zhou, G., 2018. Market intraday momentum. Journal of Financial Economics, 129(2), pp.394-414.
- Girma, P.B. and Paulson, A.S., 1999. Risk arbitrage opportunities in petroleum futures spreads. Journal of Futures Markets, 19(8), pp.931-955.
- Hollstein, F., Prokopczuk, M. and Tharann, B., 2020. Anomalies in commodity futures markets: Risk or mispricing?. Available at SSRN
- Knuteson, B., 2020. Strikingly Suspicious Overnight and Intraday Returns. arXiv preprint arXiv:2010.01727.
- Koijen, R.S., Moskowitz, T.J., Pedersen, L.H. and Vrugt, E.B., 2018. Carry. Journal of Financial Economics, 127(2), pp.197-225.
- La Française Group, 2015, Commodity premia: It’s all about risk control
- Moskowitz, T.J., Ooi, Y.H. and Pedersen, L.H., 2012. Time series momentum. Journal of financial economics, 104(2), pp.228-250.
- Santander, 2012, Measuring Historical Volatility.
- Simon, D.P., 1999. The soybean crush spread: Empirical evidence and trading strategies. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 19(3), pp.271-289.
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