Project 15: Trend following, momentum crashes and high correlations

1. Kai BANTO ECKERT - kai.bantoeckert@unil.ch
2. Refik TURKELI - refik.turkeli@unil.ch
3. Karel VAN DER BEN - karel.vanderben@unil.ch

How to run this project

After installing python, required package has to be installed with the command:

# pip install requirements.txt 

Results can be explored using Jupyer notebooks on the file Interactive Results.ipynb. The easiest way to explore the results in through the web application.

The web application can be run locally using:

# python app.py 

Description of files

• dataset.py Functions for clean access to all the data used in the project.
• calculate.py Calculations for portfolio statistics.
• strategy.py Weight and price transformation calculations for all employed strategies.
• viz.py Plots of portfolio statistics.
• report.py LaTeX table generating function for the report.
• app.py The code for the web application.
• Interactive Results.ipynb Jupyter notebook for local interactive testing of strategies.
• data/ Data files of the project.
• requirements.txt Packages that are required to be installed for this project.