TSMOM
Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.
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Download Latest Version (.zip)- profiles_settings.xml
- .name
- misc.xml
- modules.xml
- TSMOM.iml
- vcs.xml
- workspace.xml
- data-checkpoint.py
- GARCH_code-checkpoint.ipynb
- MomentumIndia-checkpoint 100.ipynb
- MomentumIndia-checkpoint 101.ipynb
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- MomentumIndia-checkpoint 178.ipynb
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- MomentumIndia-checkpoint 52.ipynb
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- MomentumIndia-checkpoint 78.ipynb
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- MomentumIndia-checkpoint 80.ipynb
- MomentumIndia-checkpoint 81.ipynb
- MomentumIndia-checkpoint 82.ipynb
- MomentumIndia-checkpoint 99.ipynb
- MomentumTrade-checkpoint.ipynb
- tsmom-checkpoint.py
- tsmom2-checkpoint.py
- TSMOMCheck-checkpoint.ipynb
- TSMOMUpdate-checkpoint.ipynb
- YahooFinance-checkpoint.py
- ETFLists.xlsx
- futures.csv
- futures_list.csv
- spy_1985.csv
- GARCH.ipynb
- GARCH_code.ipynb
- Momentum.ipynb
- MomentumIndia.ipynb
- TSMOM_replicateETF.ipynb
- TSMOMCheck.ipynb
- custom.css
- .DS_Store
- core.py
- data.py
- plots.py
- README.md
- tsmom.py
// repository documentation
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