Replication of Models, Regimes, and Trend Following Whitepaper Series

Parts 1&2

Part 3

Part 4

This repository contains Jupyter notebooks that step through an educational replication of JungleRock’s white paper series “Models, Regimes, and Trend Following" (all parts).

Results closely match the originals, discrepancies are noted and commented.

---

▶️ Running the Notebooks

🔄 Option 1: Google Colab (Recommended)

You can run the notebooks directly in Colab, no installation needed:

1. Go to the repo Parts 1 & 2 Colab, Part 3 Colab or Part 4 Colab.
2. Login if needed.
3. Run cells.

---

💻 Option 2: Local Setup

To run locally, make sure you have Python 3.8+ and the following libraries installed:

• pandas
• numpy
• matplotlib
• numba
• requests
• statsmodels
• cycler
• scikit-learn

Clone the repository and then launch the desired notebook with Jupyter.

---

🧭 Notebooks Overview

Notebooks run through systematic steps:

1. Setup & Imports
   Load libraries and helper modules.

2. Data Ingestion
   Download daily & monthly Market – RF returns directly from professor Kenneth French's data library via FFScraper or directly load via included csv files.

3. Strategy Implementations
   Replicate transformations done in the orginal work

4. Backtests & Metrics
   Compare cumulative returns, Sharpe ratios, drawdowns, turnover.

5. Visualizations
   Reproduce charts.

6. Results Comparison
   Highlight differences vs. published numbers and discuss possible causes.

---

📑 Acknowledgements

Special thanks to the JungleRock team for providing the white papers this work attempts to replicate.

---

📖 References

• JungleRock, “Models, Regimes, and Trend Following – Part 1”
• JungleRock, “Models, Regimes, and Trend Following – Part 2”
• JungleRock, “Models, Regimes, and Trend Following – Part 3”
• JungleRock, “Models, Regimes, and Trend Following – Part 4”
• Fama, E. F. & French, K. R. (1993). “Common risk factors in the returns on stocks and bonds.”

📖 Technical References

• StataCorp. (2015). MSWITCH: Markov-switching regression models. Stata Manual
• Hamilton, J. D. (1994). Time Series Analysis, Chapter 22. Princeton: Princeton University Press.

---