TSMOM:时间序列动量策略_时间序列动量策略资源-CSDN文库

共33个文件

py：22个

png：8个

xlsx：1个

Python

需积分: 50 50 浏览量 2021-04-30 10:22:09 上传评论收藏 333KB ZIP 举报

资源详情

资源评论

资源推荐

收起资源包目录

TSMOM-master.zip （33个子文件）

TSMOM-master

.gitignore 1KB

data

quandl

quandl_Bloom_dict.xlsx 19KB

__init__.py 0B

README.md 1KB

tests

test_trend_rules.py 597B

test_finance_metrics.py 1KB

test_portfolio_strategy.py 5KB

__init__.py 0B

test_stats.py 490B

test_db_manager.py 2KB

main

database_manager.py 21KB

utilities.py 2KB

__init__.py 0B

finance_metrics.py 4KB

volatility_estimator.py 2KB

ts_mom_scratch.py 3KB

portfolio_strategy

tsmom.py 2KB

__init__.py 0B

time_varying.py 8KB

cvol.py 982B

corrTSMOM.py 4KB

plot_helper.py 6KB

asset_manager.py 6KB

stats_helper.py 1KB

trade_rule.py 2KB

img

rolling_volatility.png 43KB

underwater.png 38KB

distribution_monthly_ret.png 38KB

cumulative_returns.png 36KB

return_quantiles.png 69KB

returns.png 33KB

rolling_sharpe.png 31KB

cumulative_return_volatility_matched_to_benchmark.png 26KB

# TSMOM Time-Series Momentum Strategies In this project various time-series momentum strategies are implemented. Performance characteristics (such as return, volatility, turnover, transaction costs,...) of portfolios based on these strategies are then analyzed using historical data from futures contracts. Following plots are produced using pyfolio (https://quantopian.github.io/pyfolio) ![Cumulative Returns](https://github.com/neizvestnyy27/TSMOM/blob/master/img/cumulative_returns.png) ![Cumulative Return Volatility Matched to Benchmark](https://github.com/neizvestnyy27/TSMOM/blob/master/img/cumulative_return_volatility_matched_to_benchmark.png) ![Rolling Volatility](https://github.com/neizvestnyy27/TSMOM/blob/master/img/rolling_volatility.png) ![Underwater Plot](https://github.com/neizvestnyy27/TSMOM/blob/master/img/underwater.png) ![Rolling Sharpe](https://github.com/neizvestnyy27/TSMOM/blob/master/img/rolling_sharpe.png) ![Returns](https://github.com/neizvestnyy27/TSMOM/blob/master/img/returns.png) ![Return Quantiles](https://github.com/neizvestnyy27/TSMOM/blob/master/img/return_quantiles.png) ![monthly_returns](https://github.com/neizvestnyy27/TSMOM/blob/master/img/distribution_monthly_ret.png)