trading-momentum-transformer and slow-momentum-fast-reversion
About trading-momentum-transformer
kieranjwood/trading-momentum-transformer
This code accompanies the the paper Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture (https://arxiv.org/pdf/2112.08534.pdf).
This project helps quantitative traders and portfolio managers develop and test systematic trading strategies, specifically for futures markets. It takes historical futures contract data and outputs optimal position sizing recommendations, aiming to improve risk-adjusted returns and adapt to changing market conditions. The primary users are quants, hedge fund managers, and institutional investors focused on systematic trading.
About slow-momentum-fast-reversion
kieranjwood/slow-momentum-fast-reversion
This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (https://arxiv.org/pdf/2105.13727.pdf).
This project helps quantitative traders and portfolio managers build more resilient trading strategies by combining slow momentum with fast mean-reversion. It takes historical futures contract data as input and provides improved trading signals that are better at adapting to sudden market shifts and identifying turning points. This is particularly useful for managing alternative investments like commodity trading advisors (CTAs).
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