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.
603 stars. No commits in the last 6 months.
Use this if you are a quantitative trader looking to implement advanced deep learning models, like Transformer-based architectures, for momentum and mean-reversion strategies in futures trading.
Not ideal if you are looking for a simple, off-the-shelf trading bot or if you primarily trade individual stocks rather than futures contracts.
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MIT
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Dec 10, 2023
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