Reproduced trading strategies from Ken French’s market baselines to the cryptocurrency market including HML, UMD, and STREV, the S&P500 of Value, Momentum, and Reversal strategies respectively, reported with Sharpes and market correlations
Colab Link: https://colab.research.google.com/drive/1gS7NS0PKCM_X2oW6aVu682mpxjyFLGpD?usp=sharing
Ken French's Benchmark Webiste: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html#Benchmarks
For inquiries email Willie McClinton (wbm3(at)mit.edu).