How to build a trading strategy [Momentum] with Python? скачать в хорошем качестве

How to build a trading strategy [Momentum] with Python?

In this video I am building a trading strategy in Python from scratch. The strategy used is the Momentum strategy. You should have at least basic knowledge of Pandas and maybe have gone through some videos on my Python for Finance playlist to better follow along. The momentum strategy is based on the findings of Jegadeesh/Titman and the conventional momentum strategy taking the past 12 month skipping the most recent month is just an application of Ken Frenchs approach. Further reading: http://mba.tuck.dartmouth.edu/pages/f... https://www.jstor.org/stable/2328882?... Momentum is a hot topic in academics as there is empirical evidence that this strategy is working but there is a discussion about WHY this strategy is working. There is way more potential to extend this strategy and backtest it. If you are giving me some feedback on this video I can upload additional stuff like long term backtests and stock recommendation systems based on past performance. The most recent month is skipped due to the 1-month reversal effect. If you have any questions please don't hesitate to drop me a comment. 0:00 - 01:50 Strategy explanation 01:50 - 04:24 Getting ticker Symbols for the Dow Jones 04:34 - 06:51 Getting prices for the components 06:51 - 08:24 Getting monthly returns 08:24 - 10:06 Calculate past 11 month returns 10:06 - 11:32 Portfolio formation 11:32 - 12:18 Get 12 month past performance skipping most recent month 12:18 - 15:22 Applying quintiles (5-quantile) to returns 15:22 - 16:22 Defining winners and losers 16:22 - 19:14 Calculting the strategy return 19:14 - 20:54 Benchmark comparison (DJI) 20:54 - 22:24 Summary of all steps in Spyder 22:24 - 22:53 Discussion the strategy/remarks #Python #Trading #Momentum