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@replacementAI replacementAI released this 15 Aug 17:59
2.0
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Learn about vigilant mode.

What's new?

Hey everyone! After brain storming, ive decided to backtest a precious metals basket of ETFs, consisting of palladium, platinum, gold, and silver.

After backtesting, I've noticed some differences between the ranking of sector rotation strategies and the ranking of precious metals strategies. For example, low skew kept its spot near the top, but short-term reversal (aka mean-reversion) was dethroned from the top and fell all the way to the bottom, past momentum.

Best strat by sharpe: Cross Sectional Long/Short Low Skew
image

Lastly, I've also reformatted the repo a bit.

What's next?

I have a few ideas to test out next (in no specific order):

  • Metalabelling (applying ML to existing strategies)
  • Crypto
  • Commodities
Assets 2
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