tschm/cs

The 10-line CTA: a trend-following strategy in ten lines of code, and four refinements measured in Sharpe ratio, kurtosis and trading costs

语言：Python · GitHub 星标：49 · Fork：23

话题：convex-optimization · cta · futures · marimo · portfolio-optimization · quantitative-finance · sharpe-ratio · trading-costs

在 GitHub 上查看原仓库