Regime-Aware CTA Strategy Analysis
Regime-Aware CTA Strategy Analysis: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). You are given daily price series for a 5-asset universe and strategy parameters. Build a complete pipeline that fits per-asset GARCH(1,1) models to derive a composite volatility…
The task
You are given daily price series for a 5-asset universe and strategy parameters. Build a complete pipeline that fits per-asset GARCH(1,1) models to derive a composite volatility measure, classifies volatility regimes, and compares CTA strategy performance under static vs. regime-adjusted volatility targets to measure…
Part of codeslord/skilltrainbench-public.