├── .gitignore ├── BackTesting.py ├── BackTestingScript.ipynb ├── Drift Performance.png ├── InputData.csv ├── Others ├── Apr16.zip ├── Apr17.zip ├── Apr20.zip ├── InputData.xlsx ├── InputData2016Mar.csv ├── InputData2016Mar.xlsx ├── InputData2016Mar_bak.xlsx ├── Paul_2017_all_quarters_drift.xlsm └── TradesResult 2017Drift_new position_with spot unfrozen duration_Raphael_2.xlsm ├── README.md ├── README.pdf ├── __pycache__ ├── BackTesting.cpython-36.pyc └── utils.cpython-36.pyc ├── metrics.jpeg ├── output.csv ├── test_script.py └── utils.py /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/.gitignore -------------------------------------------------------------------------------- /BackTesting.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/BackTesting.py -------------------------------------------------------------------------------- /BackTestingScript.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/BackTestingScript.ipynb -------------------------------------------------------------------------------- /Drift Performance.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/Drift Performance.png -------------------------------------------------------------------------------- /InputData.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/InputData.csv -------------------------------------------------------------------------------- /Others/Apr16.zip: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/Others/Apr16.zip -------------------------------------------------------------------------------- /Others/Apr17.zip: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/Others/Apr17.zip -------------------------------------------------------------------------------- /Others/Apr20.zip: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/Others/Apr20.zip -------------------------------------------------------------------------------- /Others/InputData.xlsx: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/Others/InputData.xlsx -------------------------------------------------------------------------------- /Others/InputData2016Mar.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/Others/InputData2016Mar.csv -------------------------------------------------------------------------------- /Others/InputData2016Mar.xlsx: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/Others/InputData2016Mar.xlsx -------------------------------------------------------------------------------- /Others/InputData2016Mar_bak.xlsx: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/Others/InputData2016Mar_bak.xlsx -------------------------------------------------------------------------------- /Others/Paul_2017_all_quarters_drift.xlsm: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/Others/Paul_2017_all_quarters_drift.xlsm -------------------------------------------------------------------------------- /Others/TradesResult 2017Drift_new position_with spot unfrozen duration_Raphael_2.xlsm: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/Others/TradesResult 2017Drift_new position_with spot unfrozen duration_Raphael_2.xlsm -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/README.md -------------------------------------------------------------------------------- /README.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/README.pdf -------------------------------------------------------------------------------- /__pycache__/BackTesting.cpython-36.pyc: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/__pycache__/BackTesting.cpython-36.pyc -------------------------------------------------------------------------------- /__pycache__/utils.cpython-36.pyc: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/__pycache__/utils.cpython-36.pyc -------------------------------------------------------------------------------- /metrics.jpeg: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/metrics.jpeg -------------------------------------------------------------------------------- /output.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/output.csv -------------------------------------------------------------------------------- /test_script.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/test_script.py -------------------------------------------------------------------------------- /utils.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jerryxyx/TreasuryFutureTrading/HEAD/utils.py --------------------------------------------------------------------------------