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PyTrendFollow - PyTrendFollow - systematic futures trading using trend following

  •    Python

This program trades futures using a systematic trend following strategy, similar to most managed futures hedge funds. It produces returns of around ~20% per year, based on a volatility of 25%. You can read more about trend following in the /docs folder. Start with introduction to trend following. If you just want to play with futures data, see working with prices. It is recommended (though not required) to have data subscriptions for both Quandl and IB. Quandl has more historical contracts and works well for backtesting, while IB data is usually updated more frequently and is better for live trading.