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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