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trading_evolved_2 #24

Open utterances-bot opened 2 years ago

utterances-bot commented 2 years ago

Trading Evolved: Futures Trend Following

Andreas F. Clenow describes a futures trend following algorithm. Here I show my corresponding own backtest results.

https://weisser-zwerg.dev/posts/trading_evolved_2/

SayHowItIs commented 2 years ago

Hi Weisser Zwerg, thanks for your post, including how to set up and ingest CSI data into zipline in another blog. I follow your path and ingest CSI data successfully. But when I run the source code provided by Andreas Clenow, the backtesting result is far from matching the results in Clenow's book. I see your result in this post is quite same with that book. So could you please share your code, thanks very much.

cs224 commented 1 year ago

Hello @SayHowItIs. Sorry for the late reply. I've put the central parts of the code into the following gist: https://gist.github.com/cs224/4f8624cc78ddd94f5aa0061600559803 Have a look and let me know if you can make use of it. If you need more help contact me at cs224@weisser-zwerg.dev Good luck!