• $50

Algorithmic Trading: Building a Momentum Strategy in Python

  • Closed
  • Course
  • 36 Lessons

Go beyond theory: build a complete, data-driven momentum strategy. First, validate the idea with data visualization. Next, build the strategy: gather/clean ETF data & generate signals. Finally, code a realistic backtest with rebalancing & build a professional 'tear sheet' to analyze risk, drawdowns, & Sharpe ratios. Walk away with a working strategy & reusable analysis library.

Please Note

Note: This course is available in the bundle Digital Hub Trading Course Pack.

Watch this Video to Learn More

Contents

Course Overview and Introduction

In this section, we introduce the concept of momentum and help prepare you for the coding parts of this course. We recommend watching the primers on downloading data using FMP and how to use Google Colab. These can be found in the Tutorials section located in your Products list.

Course Overview - Slides
01 - Course Overview
Introduction to Momentum - Slides
02 - Introduction to Momentum
A Brief Note on Data Sources
Disclaimers

Understanding Momentum and Why it Works

In this section, we do a deep-dive into momentum and sure you understand how the concept of momentum was developed and tested. We will show you how to conduct exploratory data analysis of your asset universe to help determine the optimal parameters for a momentum strategy.

Notebook 1: Research and EDA
03 - EDA: Imports and Setup
04 - EDA: Downloading Prices
05 - EDA: Universe EDA
06 - EDA: Filtering the Universe
07 - EDA: Ranking ETFs
08 - EDA: Creating Deciles
09 - EDA: Visualization I
10 - EDA: Visualization II
11 - EDA: Visualization III

Building the Momentum Strategy and Algorithm

Now that you understand the fundamental concepts and key parameters, it is time to build our strategy. We will conclude with a simple backtest to help evaluate our methodology.

Notebook 2: Coding the Strategy
12 - Strategy Coding 1
13 - Strategy Coding 2
14 - Strategy Coding 3
15 - Strategy Coding 4
16 - Strategy Coding 5
17 - Strategy Coding 6

The Final Project: Building a Pro-Grade Backtest & Tear Sheet

In this section, we show you how to create a full and professional backtest. This is 100% essential to ensure your backtest is what would approximate live trading.

We provide you with the pricing files and rankings used in the course to ensure you can get the same results as us.

df_prices_daily.pkl
etf_monthly_rankings_12-1.pkl
Notebook 3: Coding the Backtest
18 - Backtest 1
19 - Backtest 2
20 - Backtest 3
21 - Backtest 4
22 - Backtest 5
23 - Backtest 6
24 - Backtest 7
25 - Backtest 8

What Comes Next

26 - Conclusion
Conclusion Slides