Creating an Open Source Hedge Fund Strategy

The Open Source Hedge Fund Project is a community driven project which aims to create the best quant trading systems and operational structures to run a fully functional hedge fund. With the twist that all the IP is open to the public. Contributors will receive full access to this collective and ever evolving “Hedge Fund in a Box”

The Hedge Fund in a Box is all the marketing, legal, business templates, daily operations, fund strategies, and due diligence documents needed to start a hedge fund. In essence it is a hedge fund template where contributors can fill in their names, company details, and then launch a hedge fund.

This is the framework I have started with. I would like to reach out to the community for further Ideas.  If there is a specific component you would like to add to the project then please email me:


I have updated this post, Please click here for the updated article

5 replies
  1. Emlyn Flint
    Emlyn Flint says:

    Hi Jacques,

    Interesting idea on the OS hedge fund and glad to see you’re getting students involved.

    Some ideas for you to use/not use as you like:

    A nice framework for momentum strategy creation is given in Figure 1 of Gestalt’s blog series on GTAA. They discuss all the concepts you’ve listed and more, with each part of the series tackling a different issue.

    That said, everyone and their uncle can run a backtest and find that a variant of momentum works. Something that doesn’t get enough press is the theoretical side of testing. Lo & Mackinlay (1990) and Moskowitz, Ooi & Perdersen (2012) are probably the best known of this much smaller branch of research. One should test different market environments (via simulation of different stochastic processes) to see exactly (i) when momentum does/doesn’t work and (ii) what type of momentum strategy is robust to changes in the underlying stochastic environment.

    In terms of optimisation and diversification, take a look at Richard & Roncalli’s (2015) new paper on managing diversification. They’ve created a very robust and general framework that would couple well with an initial universe screening on momentum.

    In terms of market timing, take a look at HMM models and turbulence index. Also, Nystrup & Lyngby (2014), Regime-based Asset Allocation.

    Finally, a good model of TC’s and market impact will go a long way to actually making the findings realistic.


  2. Emlyn Flint
    Emlyn Flint says:

    Two more suggestions that may/may not have been found already by your team:
    I would also look up Momentum Crashes by Daniel & Moskowitz (2014) and then a great text book called Evidence Based Technical Analysis by David Aronson (2011) – chapters 5 & 6 in particular may help with robust strategy testing.

    All the best,


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