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Advances in Momentum Trading Strategies

سرفصل های دوره

Delve Deep into the World of Advanced Momentum Trading


1. Useful Resources
  • 1. Free 1 Month MlFinLab License.html
  • 2. Join the Reading Group.html

  • 2. A Century of Evidence on Trend-Following Investing
  • 1. Introduction to a Century of Evidence
  • 2.1 A Century of Evidence on Trend-Following Investing.pdf
  • 2. Annotated Paper A Century of Evidence on Trend-Following Investing.html
  • 3. Types of Momentum Strategies
  • 4. Methodology
  • 5. Time Series Momentum
  • 6. Performance Over a Century
  • 7. Performance During Crisis Periods
  • 8. Performance in Different Economic Environments

  • 3. Momentum Turning Points
  • 1. Introduction to Turning Points
  • 2. Paper Momentum Turning Points.html
  • 3. What Are Turning Points
  • 4. Defining Slow and Fast
  • 5. Slow and Fast Cycles
  • 6. The Effect of Noise and Persistence (Signal)
  • 7. The Model
  • 8. Performance
  • 9. Beta and Alpha Decomposition
  • 10. Dynamic Speed Selection
  • 11. Dynamic vs. Static Strategies

  • 4. Trending Fast and Slow
  • 1. Paper Trending Fast and Slow.html
  • 2. Introduction to Trending Fast and Slow
  • 3. Theory
  • 4. Inisghts on the speeds (window periods)
  • 5. Approaches to Risk Management
  • 6. Signal Construction
  • 7. Statistics of the S&P 500
  • 8. Momentum Under Different Regimes
  • 9. Sources of Out-Performance
  • 10. Application to the Broader Universe
  • 11. Conclusion

  • 5. Position Sizing Volatility Targeting
  • 1.1 Annotated The Impact of Volatility Targeting.pdf
  • 1. Annotated Paper The Impact of Volatility Targeting.html
  • 2. Notebook Practical Build your Own Backtest.html
  • 3. Introduction to Volatility Targeting
  • 4. Key Concepts
  • 5. Findings and Data Sets
  • 6. Applying Volatility Targeting (Scaling)
  • 7. Performance in Equities
  • 8. Performance in Bonds and Other Asset Classes
  • 9. Why Volatility Targeting Works

  • 6. Introduction to Deep Momentum Networks (Time Series Momentum Strategies)
  • 1. Paper Enhancing Time Series Momentum Strategies Using Deep Neural Networks.html
  • 2.1 Github Repo.html
  • 2. Code Deep Momentum Networks.html
  • 3. Introduction to Deep Momentum Networks
  • 4. Insights on Momentum Strategies
  • 5. Landmark Paper Returns to Buying Winners and Selling Losers.html
  • 6. Construction of Trading Signals
  • 7. Loss Function and Architecture
  • 8. The Data Used
  • 9. Performance Evaluation

  • 7. Advanced Deep Momentum Networks with Change Point Detection
  • 1. Paper Slow Momentum with Fast Reversion.html
  • 2. Code Advanced Deep Momentum Networks.html
  • 3. Introduction Deep Mom Networks with Change Point Detection
  • 4. Momentum and Mean Reversion
  • 5. Change Point Detection
  • 6. Methodology
  • 7. Results
  • 8. Paper Trading with the Momentum Transformer.html
  • 9. Code Momentum Transformer.html

  • 8. Cross-Sectional Momentum Strategies with Learning to Rank
  • 1.1 Building Cross-Sectional Systematic Strategies.pdf
  • 1. Paper Annotated Building Cross-Sectional Systematic Strategies By LTR.html
  • 2. Introduction to Learning to Rank in Trading
  • 3. The Oxford MAN Institute
  • 4. Cross Sectional Momentum (CSM) Strategies
  • 5. Anatomy of a CSM Strategy
  • 6. Score Calculation
  • 7. What is Learning to Rank
  • 8. How to do it in Finance
  • 9. Performance Results
  • 10. Learning to build a LTR Strategy
  • 11.1 Constructing Cross-sectional Systematic Strategies by Learning to Rank.html
  • 11. External Lecture Constructing Cross-sectional Systematic Strategies by LTR.html
  • 12.1 Learning to Rank by Sophie Watson.html
  • 12. External Lecture Learning to Rank by Sophie Watson.html
  • 13. Python Library for LambdaMart Implementation.html

  • 9. Market Conditions that Favor Strategies
  • 1.1 Baz et al with annotations.pdf
  • 1. Annotated Paper Dissecting Investment Strategies in the Cross Section....html
  • 2. Introduction to Favourable Market Conditions
  • 3. Key Takeaways
  • 4. Carry Strategy
  • 5. Momentum Strategy
  • 6. Value Strategy
  • 7. Important - Valuable Insight! Signal Construction
  • 8. Code Use this Code to Create the Momentum Features.html
  • 9. Portfolio Construction
  • 10. Results

  • 10. Enhancing Cross-Sectional Strategies by Context-Aware LTR with Self-Attention
  • 1. Paper Enhancing CS Strategies by Context-Aware LTR with Self-Attention.html
  • 2. Introduction to an Advanced LTR Method
  • 3. Overview Paper
  • 4. Model Overview
  • 5. Backtest Method for CSM Strategy
  • 6. Enhancing the Ranking
  • 7. Context Aware Model and Encodings
  • 8. Transformer Architecture
  • 9. Experiment Methodology
  • 10. Strategy Performance
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    تاریخ انتشار: 7 فروردین 1403
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