TrendFollowingSystems
Closed-form Sharpe ratios and complete implementations of trend-following systems - companion to Sepp & Lucic (SSRN 3167787)
backtestingctafuturesmomentumpythonquantitative-finance
More Everything else
Closed-form Sharpe ratios and complete implementations of trend-following systems - companion to Sepp & Lucic (SSRN 3167787)