Popular repositories

1. CTA-Strategy_Grid-Trading_Commodity-Arbitrage CTA-Strategy_Grid-Trading_Commodity-Arbitrage Public

   The grid trading method fundamentally relies on regression. It typically confronts systemic risk with single assets, prompting a shift towards correlated asset portfolios to hedge systemic risk thr…

   Python 1

2. CTA-Strategy_Price-Volume-Factors CTA-Strategy_Price-Volume-Factors Public

   This strategy targets China's futures market, analyzing sectors like metals, energy, agriculture, and precious metals. It uses four factors—momentum in time series, cross-sectional momentum, term s…

   Python

3. CTA-Strategy_Machine-learning_commodity-fundamentals CTA-Strategy_Machine-learning_commodity-fundamentals Public

   As the excess returns of public factors gradually narrow, it is worthwhile to explore multi-faceted and multi-angle CTA factors. This strategy, with respect to the underlying fundamental logic as …

   Python

4. CTA-Strategy_Fundamental-data-mining CTA-Strategy_Fundamental-data-mining Public

   We target commodities with robust liquidity, market engagement, and sound structure, possessing strong trading traits. Starting with fundamental data analysis, we adhere to subjective logic. Applyi…

   Python

5. FOF_SmartBeta_Growth-Value FOF_SmartBeta_Growth-Value Public

   Value and growth styles are widely defined and attract significant market attention. This strategy primarily focuses on researching these two sectors. By employing market capitalization weighting a…

   Python

6. FOF_Asset-Allocation_VAR FOF_Asset-Allocation_VAR Public

   This study applies VAR to economic fundamentals and financial environments, including overseas, valuation, market sentiment, inflation, and economic momentum data, to test its efficacy in predictin…

   Python