Blueprint For A Momentum Strategy

1. Models
   • “Stock On the Move” by Clenow.
   • Analysis On Default Strategy And Variants.
     • Application To HS300.
     • Variation On HS300 With Timing Enhancement.
     • Variation On HS300 With 3 Entries.
     • Application To Sector Rotation Strategies.
     • Investment Diary:
       • Logs For Year 2022
       • Logs For Year 2023
       • Logs For Year 2024
   • Triple Screen System” By Alex Elder.
     • Introduction To Triple Screen System.
     • Application To Chinese Market.
   • “Mechanical Trading Systems” By Richard Weissman
     • MACD: The original model
     • MACD: MACD With Triple Screen
     • MACD: MACD Multitimeframe (dea_xprc_odea_xhisto1_1s)
     • BOLL: The original model
   • “Way Of The Turtle” By Curtis Faith
     • Backtest On Donchian Breakout
   • “Quantitative Trading” by Ernest Chan
   • Trend And Timing
     • EMA
     • SMA
     • SMA – MACD: Tweaking Trend Filter Parameters
     • SMA – BOLL (BREAK)
     • SMA – BOLL (REV)
     • WRSI: Tweaking Stock Filters For Rotation Strategy
     • MACD: Variation With SMA.
     • SMA-MACD: Trend With SMA And Timing With MACD
     • MACD: Timing With Slow Stochastic
     • MACDHISTO: Timing With MACD Histogram
   • CTA – Feiliu M1V4
     • BOLLTHRUST: HD Strong XD Thrust
   • CTA – Countertrend Entry with MACD
2. Framework
   • Statics
   • Historical Data (OHLCV)
   • Live Prices
   • Indicators
   • Charts
3. An Implementation In Java
   • Index Components
   • Chinese Stocks
     • CSI: official publisher on Chinese indexes
     • Netease: Daily OHLC for Chinese Stocks
     • MDES: Upload OHLC CSV Via Curl
   • HK Stocks.
   • US Stocks
     • YahooFinance 401 Issue.
   • JP Stocks
   • Stock In Shells (SIS): Building Shell Commands for HS300.
   • IEngine: IEngine For Backtest And Simulation
     • Backtest Engine: Building Backtest Engine
   • Account Management
     • Design: Position Management
   • Event Management
     • Heartbeat
     • Generate Market Events
     • MarketEvent and Practical Considerations
     • Report Tracking Strategy in Simulation
4. Data Analytic Tools
   • TALIB For Java
   • tablesaw: A lib for data science and visualization.
   • spark
   • Excel/VBA
5. Market Access Tools
   • Chinese Futures Markets: CTP Java Wrapper Via Swig
   • Chinese Futures Markets: PythonGo
   • US Futures Markets (CTA): IBKR TWS API in Java
   • ArrayManager: A Model From VNPY and PythonGo
6. Tools For Backtests
   • GTJA (Python), JoinQuant (Python)
   • GoldMiner (MyQuant)
   • Building Backtest Engine From Scratch
   • Backtrader: Backtrader Redbook
   • PythonGo: PythonGo For Futures Markets
   • Pobo Quant: Backtest CTA via POBO Quant(真格量化)
   • VNPY:
     • Load CSV to VNPY Bars
7. Reports
   • Email Report: Sending via hotmail account from digitalocean
   • Avoid Putting Plaintext Password in Properties: Encrypt Password in Properties
   • Curl Post Json in Windows: Curl Post JSON in Windows
   • Parsing Excel And SQL: Parse Excel Table To DataFrame