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.

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