Video is for educational
Video is for educational and entertainment purposes only. This is not an investment advice!
Prior video on Momentum on the Dow Jones:
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.
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.
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.
Want more trading strategies? Please let me know but liking this video and subscribing to the channel.
0:00 - 01:42 Introduction
01:42 - 03:45 Getting stock tickers from the S&P 500
03:45 - 04:27 Requesting the data
04:27 - 05:17 New year wishes while data download (skippable)
05:17 - 06:39 Necessary data manipulations
06:39 - 07:47 Calculating monthly returns
07:57 - 09:06 Calculating past 11 months returns
09:06 - 16:22 Step by step calculation of a 1-month Momentumprofit
16:22 - 19:22 Wrapping all code into a function to prepare for Backtest
19:22 - 21:42 Backtesting the strategy
21:42 - 27:24 Benchmarking and final thoughts
Hi again, just going through your code again for my own education and cleaned it up a little bit. I think you would want the corresponding date to the return and then put that into a dataframe. I did this when replicating this strategy and first created a dictionary of the date and profits lists ==> ex. results = dict(zip(date, profits)) and then df = pd.Dataframe.from_dict(results, orient = 'index')
worked perfectly for me. Hope this helps. And please keep the videos coming, they are great
Bro, can you help me for creating a program for intraday trading live chart plz bro
Once again great work mate, thanks for taking a look at the code - I took on board the feedback you gave me and I'm glad to see some of it made it into this video. I've learned a lot from your channel, keep up the good work bro.
Bro can u make a video on autorelod program
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