Oxford Algorithmic Trading Programme

Study notes and practical work completed as part of the Oxford Algorithmic Trading Programme.

Contents

• oxford-time-series-momentum.ipynb - Time series momentum strategies (Module 4, Unit 3)

What's covered

This notebook explores time series momentum trading strategies including:

• Long-only benchmark strategy on S&P 500 data
• Performance metrics (Sharpe, Sortino, Calmar ratios)
• Volatility scaling for risk-adjusted returns
• MACD-based momentum strategies
• Portfolio diversification with momentum strategies

Attribution

This work was completed as part of the Oxford Algorithmic Trading Programme. The notebook structure and guided exercises follow the course materials, with my own implementation and analysis.

References

Papers referenced in the coursework:

• Harvey et al., 2018 - Volatility scaling
• Moskowitz et al., 2012 - Time series momentum
• Baz et al., 2015 - MACD indicators
• Lim et al., 2019 - Deep learning trading strategies