Concluding Momentum; for now
Since the last post - we added more sections, two in particular. One is the use of activation functions as part of signal normalization and risk management. The other is a complete trading script to implement and run your momentum portfolio on exchanges (hyperliquid example code).
Reminder, there is an ongoing discount:
and the QT203 has been repriced upwards as announced:
Quantpylib now features (yet undocumented) quantpylib.hft module that aims to be a high-frequency version of quantpylib.simulator module. The final objective is to build a symbolic ‘gene’ modeller for the hft tools, but for now we will focus on building a good core logic.
We will write separately on this.
Now, the market notes with appended section on momentum (895 pages):