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).
266 stars. No commits in the last 6 months.
Use this if you are a quantitative trader or portfolio manager looking to enhance momentum-based trading strategies and improve performance during volatile market conditions or regime changes.
Not ideal if you are looking for a simple, off-the-shelf trading bot, as this project focuses on the underlying methodology and requires implementation and integration by a technically proficient user.
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266
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106
Language
Python
License
MIT
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Last pushed
Nov 24, 2022
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