We're collecting (an admittedly opinionated) list of resources papers, datasets, blogs, libraries, books and methodologies for finding, developing, and running Systematic Trading (Quantitative Trading) on Futures.
What will you find here?
- 89 scientific papers describing systematic trading strategies
- 82 futures datasets
- 56 books for quantitative traders
- A unique quantitative modeling methodology
- A more
How do we pick the resources?
- Fit in systematic futures trading domain
- Focus on mid/low frequency strategies for tradability
- Rational giving reasonable probability to bring above market performances
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List of 89 scientific papers describing original systematic futures trading strategies. Each strategy is categorized by its asset class (Bonds, Commodities, Cryptos, Currencies, Equities), ordered by descending Sharpe ratio, and described by its Sharpe ratio, volatility and period of rebalancing.
Relative Strength Strategies for Investing
Sharpe Ratio | Volatility | Period of Rebalancing | Code |
---|---|---|---|
0.409 | 11.7% | Monthly | here |
Market Closure and Short-Term Reversal
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.89 | 7.69% | Weekly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.68 | 8.63% | Monthly |
Profiting from Mean-Reverting Yield Curve Trading Strategies
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.65 | 15% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.62 | 10% | Monthly |
Short-Term Momentum (Almost) Everywhere
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.62 | 9.69% | Monthly |
Cross-Sectional Seasonalities in International Government Bond Returns
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.56 | 13.85% | Monthly |
Beyond Carry and Momentum in Government Bonds
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.13 | 10.1% | Monthly |
Carry investing on the yield curve
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.41 | 4.9% | Monthly |
Time Series Reversal in Trend Following Strategies
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.17 | 20.9% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.97 | 12.3% | Monthly |
Carry and time‐series momentum: a match made in Heaven
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.92 | 10% | Monthly |
Predicting Out-of-Sample Returns: Using Basis to Beat the Historical Average
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.49 | 7.67% | Monthly |
Trend-Following and Spillover Effects
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.67 | 4.8% | Weekly |
Cross-Sectional and Time-Series Tests of Return Predictability: What is the Difference?
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.5 | 12.91% | 6 Months |
Worth It’s Weight in Gold Offense and Defense in Active Portfolio Management
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.84 | 11.8% | Weekly |
Return Predictability and Market-Timing: A One-Month Model
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.72 | 11.05% | Monthly |
Cross-Asset Signals and Time Series Momentum
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.65 | 10% | Monthly |
Opposing Seasonalities in Treasury versus Equity Returns
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | 6 Months |
Pairs Trading the Commodity Futures Curve
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
3.09 | 2.01% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
2.41 | 11.09% | Monthly |
Short-Term Momentum (Almost) Everywhere
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.01 | 20.86% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.92 | 19.98% | Monthly |
Is Gold a Zero-Beta Asset? Analysis of the Investment Potential of Precious Metals
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.91 | 29.63% | Monthly |
Fear of Hazards in Commodity Futures Markets
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.89 | 9.26% | Weekly |
Long-Run Reversal in Commodity Returns: Insights from Seven Centuries of Evidence
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.83 | 19.37% | Yearly |
Tactical allocation in commodity futures markets: Combining momentum and term structure signals
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.79 | 27.6% | Monthly |
Modeling, Forecasting and Trading the Crude Oil Term Structure
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.76 | 7.1% | Weekly |
Trend Following, Risk Parity and Momentum in Commodity Futures
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.76 | 19.33% | Monthly |
Commodity Option Implied Volatilities and the Expected Futures Returns
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.69 | 18.48% | Monthly |
Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.68 | 10.79% | Monthly |
Idiosyncratic momentum in commodity futures
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.59 | 29.42% | Monthly |
Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.43 | 19.3% | Weekly |
Dynamic Commodity Timing Strategies
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.43 | 18% | Monthly |
Long-Short Commodity Investing: Implications for Portfolio Risk and Market Regulation
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.41 | 18.09% | Weekly |
Multi-Asset Seasonality and Trend-Following Strategies
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.38 | 9.32% | Monthly |
The Case for Long-Short Commodity Investing
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.25 | 17.17% | Weekly |
Investor Sentiment And Return Predictability in Agricultural Futures Market
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Weekly |
Political Uncertainty and Commodity Prices
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Quarterly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Monthly |
What does futures market interest tell us about the macroeconomy and asset prices?
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Monthly |
How to Time the Commodity Market
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.24 | 10.3% | Weekly |
When to Own Stocks and When to Own Gold
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.43 | 14% | Yearly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.13 | 7.1% | Weekly |
Do Fundamentals Drive Cryptocurrency Prices
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.06 | 9.3% | Weekly |
Combining Mean Reversion and Momentum Trading Strategies in Foreign Exchange Markets
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
2.43 | 10% | Monthly |
Beyond the Carry Trade: Optimal Currency Portfolios
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.4 | 23.89% | Monthly |
A Low-Risk Strategy based on Higher Moments in Currency Markets
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.38 | 8% | Monthly |
Economic Momentum and Currency Returns
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.1 | 5.6% | Monthly |
Are Value Strategies Profitable in the Foreign Exchange Market?
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.01 | 9.51% | Monthly |
Cross-Asset Return Predictability: Carry Trades, Stocks and Commodities
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.01 | 9.07% | Monthly |
Optimal and Naive Diversification in Currency Markets
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.99 | 6.97% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.91 | 9.23% | Monthly |
Market Closure and Short-Term Reversal
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.9 | 10.23% | Weekly |
Is There Momentum or Reversal in Weekly Currency Returns?
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.88 | 8.1% | Weekly |
The Revenge of Purchasing Power Parity on Carry Trades during Crises
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.87 | 4.97% | Monthly |
Predictability of Currency Carry Trades and Asset Pricing Implications
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.86 | 10% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.82 | 2.47% | Monthly |
The Term Structure of Sovereign CDS and the Cross-Section Exchange Rate Predictability
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.82 | 5.92% | Monthly |
Forward-Looking Policy Rules and Currency Premia
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.81 | 7.61% | Monthly |
U.S. Equity Tail Risk and Currency Risk Premia
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.75 | 8.12% | Monthly |
Perceived corruption, carry trades, and the cross section of currency returns
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.74 | 8.14% | Yearly |
The Equity Differential Factor in Currency Markets
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.61 | 3.1% | Monthly |
Investor sentiment, attention and profitability of currency momentum strategies
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.56 | 10.36% | Monthly |
The Rise and Fall of the Carry Trade: Links to Exchange Rate Predictability
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.55 | 19.65% | Monthly |
Yield Curve Predictors of Foreign Exchange Returns
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.52 | 3.67% | Monthly |
A Multi Strategy Approach to Trading Foreign Exchange Futures
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.5 | 13.16% | Monthly |
Carry Trades and Global Foreign Exchange Volatility
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.48 | 8.68% | 6 Months |
From Carry Trades to Curvy Trades
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.39 | 6.7% | Monthly |
International Diversification Benefits with Foreign Exchange Investment Styles
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.33 | 9.56% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Weekly |
The Presidential Term: Is the Third Year the Charm?
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.29 | 15.34% | Yearly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
1.16 | 19% | Monthly |
Stock Returns over the FOMC Cycle
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.83 | 13.92% | Weekly |
Combining equity country selection strategies
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.82 | 24.53% | Monthly |
Market Timing with Aggregate Accruals
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.8 | 37.7% | Yearly |
Short-Term Momentum (Almost) Everywhere
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.8 | 20.38% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.78 | 6.74% | Monthly |
Return Predictability and Market-Timing: A One-Month Model
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.76 | 16.6% | Monthly |
Time-Varying Sharpe Ratios and Market Timing
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.66 | 15.38% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.52 | 11% | Weekly |
Stock Return Predictability and Seasonality
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.46 | 17.78% | 6 Months |
Equity premiums in the Presidential cycle: The midterm election resolution of uncertainty
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.47 | 24.47% | 6 Months |
Market Timing with Aggregate and Idiosyncratic Stock Volatilities
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.43 | 37.8% | Quarterly |
Forecasting the size premium over different time horizons
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.38 | 14.62% | Monthly |
Alpha Momentum and Alpha Reversal in Country and Industry Equity
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.31 | 20.02% | Monthly |
A Performance Evaluation Model for Global Macro Funds
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
0.3 | 9.21% | Monthly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Weekly |
Sharpe Ratio | Volatility | Period of Rebalancing |
---|---|---|
N/A | N/A | Monthly |
A comprehensive list of 56 books for quantitative traders.
Algorithmic Trading and DMA: An introduction to direct access trading strategies - Barry Johnson
How I Became a Quant: Insights from 25 of Wall Street’s Elite: - Barry Schachter
My Life as a Quant: Reflections on Physics and Finance - Emanuel Derman
Algorithmic Trading with Python: Quantitative Methods and Strategy Development - Chris Conlan
Python for Algorithmic Trading: From Idea to Cloud Deployment - Yves Hilpisch
Python for Finance: Mastering Data-Driven Finance - Yves Hilpisch
Trading Evolved: Anyone can Build Killer Trading Strategies in Python - Andreas F. Clenow
Bitcoin Billionaires: A True Story of Genius, Betrayal, and Redemption - Ben Mezrich
Mastering Bitcoin: Programming the Open Blockchain - Andreas M. Antonopoulos
The Bitcoin Standard: The Decentralized Alternative to Central Banking - Saifedean Ammous
Why Buy Bitcoin: Investing Today in the Money of Tomorrow - Andy Edstrom
Algorithmic Trading: Winning Strategies and Their Rationale - Ernest P. Chan
Machine Trading: Deploying Computer Algorithms to Conquer the Markets - Ernest P. Chan
Naked Forex: High-Probability Techniques for Trading Without Indicators - Alex Nekritin
Professional Automated Trading: Theory and Practice - Eugene A. Durenard
|
Quantitative Trading: How to Build Your Own Algorithmic Trading Business - Ernest P. Chan
Systematic Trading: A unique new method for designing trading and investing systems - Robert Carver
The Four Pillars of Investing: Lessons for Building a Winning Portfolio - William J. Bernstein
The Intelligent Investor: The Definitive Book on Value Investing - Benjamin Graham, Jason Zweig
Trading and Exchanges: Market Microstructure for Practitioners - Larry Harris
High-Frequency Trading - Maureen O’Hara, David Easley, Marcos M López de Prado
Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading - Rishi K. Narang
Market Microstructure in Practice - Charles-Albert Lehalle, Sophie Laruelle
The Financial Mathematics of Market Liquidity - Olivier Gueant
Advances in Financial Machine Learning - Marcos Lopez de Prado
Artificial Intelligence in Finance: A Python-Based Guide - Yves Hilpisch
Machine Learning for Asset Managers (Elements in Quantitative Finance) - Marcos M López de Prado
Machine Learning in Finance: From Theory to Practice - Matthew F. Dixon, Igor Halperin, Paul Bilokon
Machine learning:
- MlFinLab (Hudson & Thames) - MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable, and easy to use tools.
- QLib (Microsoft) - Qlib is an AI-oriented quantitative investment platform, which aims to realize the potential, empower the research, and create the value of AI technologies in quantitative investment. With Qlib, you can easily try your ideas to create better Quant investment strategies. An increasing number of SOTA Quant research works/papers are released in Qlib.
Metrics computation:
- quantstats - Portfolio analytics for quants, written in Python
Visualization:
- D-Tale (Man Group) - D-Tale is the combination of a Flask back-end and a React front-end to bring you an easy way to view & analyze Pandas data structures.