v1

Overview

Hey everyone!
This release concludes v1 where I've explored simple strategies such as short-term reversal, skew, kurtosis, momentum, and low volatility, with different weighing schemes such as long-only or long/short and equal or ranked weight. We see that cross-sectional short-term reversal consistently outperformed all other strategies, regardless of weighing scheme. Its time-series alternative always close behind in 2nd place, regardless of weighing schemes.
Best performing strat by sharpe: Ranked Weight Long/Short Short-term Reversal
https://github.com/replacementAI/A-Backtest-A-Day/blob/main/Sector/RW%20XS%20L%5CS%20Short-term%20Reversal.ipynb

Whats next?

For the next type of strategies I will test, it will use the same sector ETFs, except this time they'll be adjusted for the market factor, while still being easy for anyone to implement if they want to trade it themselves.
But the repo doesn't look good right now, and needs reformatting to accommodate more strategies, so I am debating if I should kick the can down the road, or just bite the bullet and get it done with now.
Lastly, I'm going to add more cv folds from 3 to 5 for evaluating sharpe, as 3 isn't enough for the small amount of data I am working with.
Thanks for reading!