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This is a backtest adaptation in Python of Ibbotson et al. (2014) liquidity strategy present on Ernest P. Chan´s Machine Trading book.

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README.md		README.md
backtest_final_version.ipynb		backtest_final_version.ipynb
lucky.png		lucky.png
slippage.png		slippage.png
unlucky.png		unlucky.png

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Liquidity Long and Short Strategy backtest

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This is a backtest adaptation in Python of Ibbotson et al. (2014) liquidity strategy present on Ernest P. Chan´s Machine Trading book.

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