- ๐ Hi, Iโm @oscarm417
- ๐ Looking to build large, impactfull applications.
- ๐ซ How to reach me at [email protected]
oscarm417 / long-short-historical-return-backtest Goto Github PK
View Code? Open in Web Editor NEWTests a long short portfolio, which tries to capitalize on the January effect, and the mean reversion properties of stocks. Shorting the best performing the past 5 years, and going long the worst performing in the last 5 years. Returns seems to be higher during January.