📈 The 10-line CTA

🚀 About

Challenged by a young CEO, I wrote a terse CTA (Commodity Trading Advisor) investment strategy in just 10 lines of code. This project discusses the somewhat quirky background of this code fragment and explores how Convex Programming opens the door to deeper insights into the strategy.

✨ Features

• 💰 Implement a hedge fund strategy in just 10 lines of code
• 📊 Boost the Sharpe Ratio through optimization techniques
• 📉 Control both Kurtosis and trading costs

🛠️ Getting Started

📋 Prerequisites

• Python 3.12+
• A POSIX shell. macOS and Linux have one by default.

🪟 Windows users: The make targets are written for a POSIX shell and rely on tools like mkdir -p, printf, curl, and [ … ]. They will not run under cmd.exe or PowerShell — you'll see errors such as process_begin: CreateProcess(NULL, # Ensure the … folder exists, …) failed. Run the commands below from WSL (recommended) or Git Bash, both of which provide a POSIX shell.

🔧 Installation

# Clone the repository
git clone https://github.com/tschm/cs.git
cd cs

# Install dependencies
make install

📖 Documentation

# Build the Jupyter Book
make book

🧪 Interactive Development

# Start Marimo
make marimo

⚠️ DISCLAIMER

We do not guarantee or take responsibility for the accuracy, completeness, reliability and usefulness of any information.

Dr. Thomas Schmelzer created all material in his personal capacity. The views stated are his own and do not necessarily represent the views of neither ADIA nor Stanford University. The opinion expressed is based on the prevailing market trends and is subject to change.

🔗 Infrastructure

This project relies on the Rhiza system for its underlying infrastructure and tooling.

📄 License

This project is licensed under the MIT License - see the LICENSE file for details.