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 basis reversal | Rossi 2025 | Commodity | commodity_basis_reversal.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.
• Rossi, A.G., Zhang, Y. and Zhu, Y., 2025. Short-Term Basis Reversal. Available at SSRN 5250499.