Read Latest Review About Momentum Trading Bot, 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/faculty/ken.french/Data_Library/det_mom_factor.html
https://www.jstor.org/stable/2328882?seq=1
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
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Momentum Trading Bot, How to build a trading strategy [Momentum] with Python?.
Momentum Indicators
The Momentum sign is a common device utilized for identifying the Momentum of a particular asset. They are graphic devices, typically in the form of oscillators that can demonstrate how rapidly the rate of a provided asset is moving in a particular instructions, in addition to whether the rate activity is likely to advance its trajectory.
The idea behind the device is that as a possession is traded, the rate of the rate activity reaches an optimum when the entrance of new capitalists or money right into a particular trade nears its height. When there is less potential new financial investment offered, the propensity after the height is for the rate pattern to squash or reverse instructions.
Just how do you understand if a stock is short term?
The total concept is to reveal whether a stock is trending up or downward. Normally, an excellent candidate will certainly have a relocating average that is sloping up. If you are searching for an excellent supply to brief, you normally wish to discover one with a relocating average that is squashing out or decreasing.
The instructions of Momentum, in a simple way, can be established by subtracting a previous rate from an existing rate. A positive result is a signal of positive Momentum, while an adverse result is a signal of an adverse Momentum.
Momentum tools usually appear as rate-of-change (ROC) indicators, which divide the Momentum result by an earlier rate. Increasing this overall by 100, traders can discover a portion ROC to plot highs and lows in patterns on a chart. As the ROC approaches among these extremes, there is a raising opportunity the rate pattern will certainly compromise and reverse directions.
Is there an adverse Momentum Trading?
Description: the Momentum is a vector quantity, offered by the item of an object’s mass and rate. If the rate of the things is adverse, i.e. the things is traveling in what has been chosen as the adverse instructions, the the Momentum will certainly additionally be adverse.
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