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Analysis on systematic trading strategies (e.g., trend-following, carry and mean-reversion). The result is regularly updated.

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Analysis on systematic trading strategies

What is this repo?

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. **

What are the contents?

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
Commodity basis momentum Boons 2019 Commodity commodity_basis_momentum.ipynb
Commodity trend following in Chinese futures Zhang and Zhou 2017 Commodity commodity_trend_following_chinese_futures.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
The virtue of complexity everywhere Kelly 2022 - the_virtue_of_complexity_everywhere.ipynb

Reference

  • 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
  • Boons, M. and Prado, M.P., 2019. Basis momentum. The Journal of Finance, 74(1), pp.239-279.
  • 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
  • Kelly, B.T., Malamud, S. and Zhou, K., 2022. The virtue of complexity everywhere. Available at SSRN 4166368.
  • 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
  • Li, B., Zhang, D. and Zhou, Y., 2017. Do trend following strategies work in Chinese futures markets?. Journal of Futures Markets, 37(12), pp.1226-1254.
  • 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.