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Python code for the two trading rules in "Systematic Trading"

This is a brief post aimed at those who have already bought a copy of "Systematic Trading" (by the way thanks!)

As you've probably noticed I've included excel sheets here explaining the two trading rules I describe in the book - exponentially weighted moving average crossover ("EWMAC") and Carry ("Carry").

Since I also have the python code for these rules, I thought I might as well share it. You can find it here:


I've added these links to the 'info' page on the book's website.

If there is any other code you'd like to see let me know. I've already been asked about bootstrapping, so don't worry, that is coming.

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