Does a Momentum Trading Strategy generate Alpha? Part II

In this video I am calculating the Alpha and Beta of a Trading Strategy using an Ordinary Least Squares Regression. We are going over the necessary data manipulations, build the regression model and finally take a look at the Regression results.
I'll go over it step by step in the next one!
Please hit the like button and comment your thoughts!
MUST WATCH - previous video:
• How to get the Alpha (...
MUST WATCH - Momentum video series:
• How to Build a TRADING...
Source for Treasury bonds:
www.macrotrends.net/2492/1-ye...
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Disclaimer:
This video is not an investment advice and is for educational, informational or entertainment purposes only!
#python #trading #alpha

[@Thomas-cy3np]

Finance student here, just finished my bachelor thesis, and also had to run regressions on some price data. I learned that stock returns often do not follow a normal distribution (kurtosis/big tails), and therefore, the OLS regression loses its validity. To account for this, run the regression with robust standard errors for more reliable results.
perhaps this case is different (not sure, maybe you know a lot more than I do on this topic, but I thought that i'll let you know just in case!)

[@anilmm2005]

Thanks for follow up video .this is really interesting

[@Algovibes]

Happy to read!

[@albertovidalfernandez112]

Hi, please can u teach me how put orders in futures with ccxt un kucoin. I have a lote of backtestings, and I want to go test but i dont know how put orders. THX man ❤ 0:25 1:26

[@jean-marcducommun8185]

I'm an avid follower of the "momentum" trading and investing strategy for most of my life as a professional investment manager and now a private investor. I would like someone to build a software based on my experience but I don't know where to look for because you need a specific set of skills such as financial knowledge as well as knowing a suitable language like Pyton. Back in time someone did it but it became to heavy to maintain and in the process was abandoned. Any ideas where it would be best to look for?

[@Algovibes]

You need a dedicated developer with quant Finance knowledge which is quite rare and also expensive in the market. It's quite frankly a question of what you are willing to pay. You are invited to reach out with an offer via mail.

[@jean-marcducommun8185]

@@Algovibes Thank you for the reply - I will discuss it with my buddy - same career, same status - please give me some time to think about this project but I‘m definitely more the just thinking about.

[@FXccf]

@Algovibes we can join forces as well if of interest?! @jean-marcducommun8185 we can have a few interviews to see if I can help as well (motivation, prev exp, PnLs and funds - if in London we can face-to-face). Currently managing own algo portfolio on crypto and worked for Prop Hedge Fund in London.

[@sweealamak628]

Hi. I was in your exact situation a few years ago and embarked on building a trading system from scratch. I discovered this channel slightly over a year ago and he inspired me to automate my trading system. I even remember my first question which he kindly replied 😊. +7000 lines of code later and even spending money to attend an online python course, I've finally achieved my goal. As someone who has now built a working strategy complete with confusion matrix, quantifying oscillators, charting with annotations, created new features to get target labels and measuring to 4 decimal places, I would charge an arm and a leg for such gruelling work. The going rate for a freelance developer with financial knowledge is about $90/hr. It would require 40hrs per week running over a course of at least 3 months. That would cost around $43,000.
Python is arguably the easiest programming language to learn and is the most suited for exploring data, in this case financial data. Even if you intend to hire someone, it is still beneficial to at least learn some coding basics because chances are, you would want to alter or stack upon your strategy, and being able to communicate effectively with your developer is a plus. All the best! (edit: having said all that, I would only hire Algovibes 😂, he's just awesome!)

[@user-gm9eq1hf9o]

There is a major problem with your backtesting method. All of your Backtesting videos assume an infinite amount of trading capital. A truly realistic backtest would compare 1 share of "Buy & Hold" to 1 share of "Trading Strategy Compounded Capital" where the "Trading Strategy Compounded Capital" is restricted to the proceeds of the previous trade to be used for the next "Buy" signal. For example: first trade buy @ $60, sell @ $80 for profit of $20. Next Buy price is at $100, but only have $80 in proceeds such that only .8 of a share can be bought. Do that "backtest" and you will find out you will have neither shares or profit!

[@Algovibes]

Comment is a mixture of right and wrong. Right is: capital restrictions have to be taken into account for a more realistic view. Definitely wrong is: "All" of my backtesting videos don't consider capital restrictions. I have a ton of videos where I am taking capital as well as capital restrictions into account.

[@MaskedPixel]

This is fine for a proof of concept to evaluate win rate.