Baz, Jamil and Granger, Nicolas M. and Harvey, Campbell R. and Le Roux, Nicolas and Rattray, Sandy, Dissecting Investment Strategies in the Cross Section and Time Series (December 4, 2015). Available at SSRN: https://ssrn.com/abstract=2695101 or http://dx.doi.org/10.2139/ssrn.2695101
To construct a suitable Python environment (with Pandas and Matplotlib) run build.sh