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Tag: quantitative-finance

Momentum portfolio(trend following) quant simulation on pandas

I am trying to construct trend following momentum portfolio strategy based on S&P500 index (momthly data) I used Kaufmann’s fractal efficiency ratio to filter out whipsaw signal (http://etfhq.com/blog/2011/02/07/kaufmans-efficiency-ratio/) I succeeded in coding, but it’s very clumsy, so I need advice for better code. Strategy Get data of S&P 500 index from yahoo finance Calculate Kaufmann’s efficiency ratio on lookback period

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