Learning Track: Portfolio Management and Position Sizing using Quantitative Methods
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- Live Trading
- Learning Track
- Prerequisites
- Syllabus
- About author
- Testimonials
- Faqs
Live Trading

Skills Covered
Position Sizing
- Kelly, Optimal f
- CPPI, TIPP
- Volatility Targeting, MPT
- Fama, French Three Factor Model
- Mean-Variance Optimisation
Math & Core Concepts
- Treynor Ratio, Information Ratio
- Beta, Covariance
- Linkage Matrix
- Factor Timing, Factor Tilting
- Walk Forward Optimisation
Python Libraries
- NumPy
- Pandas
- Matplotlib, Seaborn
- Sklearn
- OLS, cvxpy,TA-lib

learning track 7
Portfolio Management and Position Sizing using Quantitative Methods
Full Learning Track
These courses are specially curated to help you with end-to-end learning of the subject.
Course Features
- Community
Faculty Support on Community
- Interactive Coding Exercises
Interactive Coding Practice
- Capstone Project
Capstone Project using Real Market Data
- Trade & Learn Together
Trade and Learn Together
- Get Certified
Get Certified
Prerequisites
A general understanding of trading in the financial markets and knowledge of Python would be helpful. The learning curve could be steep if you are a beginner in both these skills. However, you can practice regularly with the hands-on learning exercises given in the course to gradually build the required skills. To learn how to use Python, check out our Free course "Python for Trading: Basics". You should also have a basic knowledge of machine learning algorithms and training and testing datasets. These concepts are covered in our free course 'Introduction to Machine Learning'.
Syllabus
- IntroductionOverview of portfolio management using quantitative techniques.
Basics of Portfolio Construction
Understand mathematical terms, such as covariance, returns and standard deviation of a portfolio, that are required to construct a portfolio.Mathematical Terms for Portfolio Construction2m 54sCalculate Covariance2mInterpret the Covariance Value2mCalculate Portfolio Returns2mCalculate Portfolio Standard Deviation2mHow to Use Jupyter Notebook?2m 5sBasics of Portfolio Construction10mCalculate Portfolio Returns in Python5mCalculate Covariance in Python5mCalculate Portfolio Std Deviation in Python5mFrequently Asked Questions10mModern Portfolio Theory
Calculate optimal weights by maximising mean-variance of the portfolio. Maximize returns per unit risk of the portfolio choosing stocks with less covariance. Simulate random weights and plot the Efficient Frontier.Construct Two-Stock Portfolio using MPT3m 46sObjective of MPT2mChoose the Portfolio Based on Covariance2mEqui-Weighted Portfolio2mEfficient Frontier2mTargeted Risk2mImplement Modern Portfolio Theory in Python10mChoose the Portfolio - MPT2mPlot the Efficient Frontier2mCalculate Optimal Weights5mConstruct Multiple Stocks Portfolio using MPT10mReturns of Portfolio with Multiple Stocks2mPortfolio Standard Deviation - Matrix Form2mCovariance Matrix2m- Kelly CriterionApply the Kelly Criterion to optimise the capital allocationWhat is Utility?2m 2sThe concept of Utility2mThe Utility Curve2mThe Kelly Criterion2m 13sThe Kelly Criterion: Derivation10mThe Final Portfolio Value2mThe Daily Portfolio Value2mCreate a Portfolio Based on Kelly Criterion10mCreate an Array of Weights5mCalculate the Final Portfolio Value5mCreate the Kelly Criterion5mCreate a Kelly Portfolio5m
- Live Trading on BlueshiftThis section will walk you through the steps involved in taking your trading strategy live. You will learn about backtesting and live trading platform, Blueshift. You will learn about code structure, various functions used to create a strategy and finally, paper or live trade on Blueshift.Uninterrupted Learning Journey with Quantra2mSection Overview2m 19sLive Trading Overview2m 41sVectorised vs Event Driven2mProcess in Live Trading2mReal-Time Data Source2mBlueshift Code Structure2m 57sImportant API Methods10mSchedule Strategy Logic2mFetch Historical Data2mPlace Orders2mBacktest and Live Trade on Blueshift4m 5sAdditional Reading10mBlueshift Data FAQs10m
- Live Trading TemplateBlueshift Live Trading TemplatePaper/Live Trading Kelly Criterion Strategy10mFAQs for Live Trading on Blueshift10m
- Risk ParityAllocate capital to the securities in the portfolio such that each security contributes equally to the overall risk of the portfolio.Construct Two-Stock Portfolio using Risk Parity2m 28sRisk Parity Approach2mBasis of Risk Parity2mCalculate Percentage Capital Allocation2mRisk Parity10mCalculate Weights using Risk Parity Approach5mPortfolio with Multiple Stocks10mRisk Parity for Multiple Stocks5mData Handling5mExtension to 'n' Stocks5mPortfolio Metrics5mSharpe Ratio5mRisk Parity Relationship2mRisk Parity vs Traditional Portfolio2m 27sRisk Parity Failure2mTest on Capital Allocation12m
- BetaUnderstand and interpret beta of an asset. Calculate beta of an asset using different methods.What is Beta?3m 28sRisk Exposure2mMarket Beta2mInterpretation of Beta2mMovement of Asset with Positive Beta2mMovement of Asset with Negative Beta2mBeta of an Asset in Python10mCalculate Daily Returns5mCalculate Beta5m
- Capital Asset Pricing Model (CAPM)Understand the Capital Asset Pricing Model and its limitations. Calculate expected returns of an asset using the capital asset pricing model.Introduction to CAPM2m 32sFactors Affecting Expected Return2mCalculate Expected Return on Asset2mWhat is Security Market Line?2m 50sSML Characteristic2mStocks lie on the SML2mStocks lie above SML2mCalculate Jensen's Alpha2m
- Fama-French Three- Factor ModelUnderstand the Fama-French three-factor model. Calculate expected returns using the Fama-French Three-Factor Model.Fama-French Three-Factor Model3m 29sFactors of the Fama-French Model2mSize Factor Exposure2mHigh Book to Market Ratio Stock2mCalculation of SMB and HML Factor10mSMB Calculation2mHML Calculation2mExpected Returns using Fama-French Model10mCalculate Beta of Fama-French Factors5m
- Fama-French Five-Factor ModelUnderstand the Fama-French Five-Factor Model and its factors.Fama-French Five-Factor Model10mProfitability Factor2mInvestment Factor2mTest on Beta, CAPM, and Fama-French12m
- Factor InvestingUnderstand factor investing and different types of factors. How different factors work and their application in trading.Factor Investing2m 36sMacroeconomic Factors2mGood Factors2mApplications of Factor Investing3m 4sChoose Factor Strategy2mBenefits of Factor Investing2mWhich Factor Works Best?2m
Multi Factor Model
Understand momentum and short-term reversal factors. Create multiple factors and then combine them to form a multi-factor portfolio.Multi-Factor Model: Momentum Factor2m 25sStock Selection in Factor Model2mSelection Criterion2mBenefits of Negative Correlation2mAssumption of Momentum Factor2mTimeframe of a Factor2mInterpretation of Momentum Factor2mMulti-Factor Model: Reversal Factor2m 33sShort-Term Reversal Factor2mDetermination of Existing Trend2mInterpretation of Short-Term Reversal Factor2mThe Momentum Factor in Python10mCreate the Momentum Factor5mStocks to Buy/Sell using Momentum Factor5mPaper/Live Trading Momentum Factor Strategy10mThe Short-Term Reversal Factor in Python10mCreate the Short-Term Reversal Factor5mStocks to Buy/Sell using Short-Term Factor5mCombine the Factors5mPaper/Live Trading Multi-Factor Strategy10mTest on Factors and Multi-Factor Investing10m- Portfolio Performance AnalysisLearn to analyze the portfolio using multiple performance measures such as Sharpe ratio, maximum drawdowns, Sortino ratio and many more metrics. Python code is provided to calculate all these performance metrics with an example.Portfolio Performance Analysis10mCalculate Sharpe Ratio in Python5mCalculate Sortino Ratio in Python5mCalculate Skewness in Python5mAnnualised Volatility2mCalculate the Sortino Ratio2mCalculate the Information Ratio2mCalculate the Maximum Drawdown2mTest on Performance Analysis and Paper Trading.10m
- Run Codes Locally on Your MachineLearn to install the Python environment in your local machine.Python Installation Overview1m 59sFlow Diagram10mInstall Anaconda on Windows10mInstall Anaconda on Mac10mKnow your Current Environment2mTroubleshooting Anaconda Installation Problems10mCreating a Python Environment10mChanging Environments2mQuantra Environment2mTroubleshooting Tips For Setting Up Environment10mHow to Run Files in Downloadable Section?10mTroubleshooting For Running Files in Downloadable Section10m
- Capstone ProjectIn this section, you will undertake a capstone project on real-world data. This project will require you to apply and practice the concepts learnt throughout this course.Capstone Project: Getting Started10mProblem Statement10mFrequently Asked Questions10mTemplate Code Files2mModel Solution: QPM Capstone Project10mCapstone Solution Downloadable2m
- SummaryThis section includes a downloadable zipped folder with all the codes and notebooks for easy access.Summary1m 35sPython Codes and Data2m
- IntroductionPosition sizing is not a magical wand which can make any strategy profitable. In this section, you will understand the course structure, and the various teaching tools used to make your learning experience smooth and untroubled. These tools include videos, quizzes, strategy codes and capstone projects. The interactive methods used help you to not only understand the concepts, but also how to implement the strategies in the live markets.Course Introduction5m 7sCourse Structure3m 41sCourse Structure Flow Diagram10mGetting Started With Quantra4m 9s
What is Position Sizing and Money Management?
It is always amazing to hear about stalwarts putting all their money on one asset and winning big. Unfortunately, these are more exceptions than the norm. A rational trader would always diversify and allocate capital to different trades. Position sizing techniques have been developed to help the trader allocate their capital efficiently. In this section, you will be introduced to the concept of position sizing and what it can and cannot do.Importance of Position Sizing and Money Management1m 50sPrimary Purpose of Money Management2mIdeal Allocated Capital2mDrawback of Absolute Fixed Allocation2mAllocation of Capital2mUse of Money Management2m 38sObjective of Successful Money Management2mProperties of Coin Toss Game2mIdeal Bet Size2mTransformation of Profitable to Unprofitable Strategy2mPosition Sizing Terms
Before moving to position sizing techniques, it is crucial to understand the position sizing performance measures. In this section, you will learn about the common position sizing measures such as trading system expectancy, win/loss ratio and trade size. Along with these, you will also learn about the most common measures used in risk management, such as volatility and maximum drawdown.Performance Measure Terms3m 41sTrade Size2mWin/Loss Ratio2mTrading System Expectancy2mPercentage of Winning Trades2mTrading Systems2mLeverage10mBroker and Asset Leverage2mTotal Leverage Calculation2mRisk Management Terms1m 15sVolatility2mVolatile Strategy2mMaximum Drawdown2mCalculate Maximum Drawdown2mUsing Jupyter Notebook1m 54sCalculate Volatility & Drawdown in Python10mCalculate Volatility5mCalculate Drawdown5mTrading Strategy
To apply the position sizing techniques, you need to have a trading strategy. In this section, you will learn about the pillars of the index-reversal strategy. The trading rules of the index-reversal strategy are also covered in this section.Index Reversal Strategy5m 13sPopularity of Indices2mThe Behaviour of Asset Price2mPillars of the Index Reversal Strategy2mShort-term Reversal Strategy2mStrategy Implementation3m 8sOvernight Returns vs Intraday Returns2mCapturing the Overnight Returns2mPrice Jump After Local Minimum Price2mIndex Reversal Strategy Trading Rules2mLocal Minimum Day2mMarket Exposure in Index Reversal Strategy2mDetermining Strategy Entry Signal2mTrading Instruments10mAdditional Reading for Trading Strategy10m- Implementation of the Trading StrategyIn this section, you will learn to apply the index-reversal strategy in a Jupyter notebook. The strategy performance metrics are also calculated and a utility function is created to make the analysis of other strategy returns easier.Index Reversal Strategy Implementation10mTrading Signals5mCumulative Strategy Returns5mPortfolio Value5mAnnualised Returns5m
Basic Position Sizing: Fixed Units and Fixed Sum
This section will introduce you to one of the two most common position sizing techniques which are fixed units and fixed sum. You will learn about the intuition behind fixed units and fixed sum methods with their pros and cons. Along with the concept, you will also learn to apply both methods on the index reversal strategy and analyse how these position sizing methods affect the strategy performance.Fixed Units and Fixed Sum4m 14sNumber of Units2mOverall Weight2mDisadvantages of Fixed Units Method2mNumber of Units Using Fixed Sum Method2mAdvantages of Fixed Sum Method2mImplementation: Fixed Units2m 18sNumber of Units in the Fixed Units2mLeverage in Fixed Units2mFixed Units Implementation10mFixed Units5mImplementation: Fixed Sum1m 22sFixed Sum Leverage and Portion of Capital2mNumber of Units in Fixed Sum2mFixed Sum Implementation10mFixed Sum5m- Basic Position Sizing: Fixed Percentage and Fixed FractionFixed percent and fixed fraction are position sizing techniques, where you spend only a fixed portion of the available capital to place trades. Both these methods will be introduced in the section with the implementation of the fixed percentage method on the index reversal strategy.Fixed Percentage and Fixed Fraction2m 27sNumber of Units Using Fixed Percentage2mEffect on Trading Size2mNumber of Units Using Fixed Fraction2mImplementation: Fixed Percentage46sReturns and Drawdown in Fixed Percentage2mLeverage in Fixed Percentage2mPortion of Capital in Fixed Percentage2mFixed Percentage Implementation10mFixed Percentage5m
Volatility Targeting
Volatility targeting is an advanced position sizing technique. As the volatility of the underlying goes up, the trade size is scaled down. In this section, you will learn about different volatility models and how to calculate volatility using them.Introduction to Volatility Targeting3m 54sLevel of Volatility2mEffect of Volatility Targeting2mVolatility of Volatility Targeted Portfolio2mLeverage for Volatility Targeted Portfolio2mPerformance of Volatility Targeted Portfolio2mSharpe Ratio for Volatility Targeted Portfolios2mDifferent Volatility Models2m 59sVolatility Estimation2mAverage True Range2mEqual Weighted Returns2mExponentially Weighted Returns2mVolatility Clustering2mGARCH Model2mVolatility Models10mCalculate EWMA Volatility5mInterpretation of ATR Plot2m- Application of Volatility TargetingIn this section, you will learn to apply the volatility targeting technique on the index reversal strategy. The performance metrics, leverage ratio, and the portion of capital used by this position sizing technique, are calculated in a Jupyter notebook.Application of Volatility Targeting3m 38sApplication of Volatility Targeting10mLeverage Based on Volatility Target5mReturns Based on the Leverage5mRisk Exposure in Volatility Targeting2mPortion of Capital in Volatility Targeting2m
- Live Trading on BlueshiftThis section will walk you through the steps involved in taking your trading strategy live. You will learn about backtesting and live trading platform, Blueshift. You will learn about code structure, various functions used to create a strategy and finally, paper or live trade on Blueshift.Uninterrupted Learning Journey with Quantra2mSection Overview2m 19sLive Trading Overview2m 41sVectorised vs Event Driven2mProcess in Live Trading2mReal-Time Data Source2mBlueshift Code Structure2m 57sImportant API Methods10mSchedule Strategy Logic2mFetch Historical Data2mPlace Orders2mBacktest and Live Trade on Blueshift4m 5sAdditional Reading10mBlueshift Data FAQs10m
- Live Trading TemplateThis section talks about the implementation of the position sizing technique on Blueshift from which you can paper trade and/or live trade.Section Overview10mPaper/Live Trading Volatility Targeting Method10mFAQs for Live Trading on Blueshift10m
Constant Proportion Portfolio Insurance
Constant Proportion Portfolio Insurance is another advanced position sizing technique that protects the downside. It guarantees a minimum return at the end of a period. This section will introduce you to this technique. You will also learn how to implement this in Python and then apply the technique on the index reversal strategy.Introduction to Constant Proportion Portfolio Insurance2m 34sProtection Level2mScale of Exposure in CPPI2mPortfolio Value Minus Floor2mRisky Asset Allocation2mAdvantages and Disadvantages of CPPI2m 8sDisadvantages of CPPI2mGap Risk2mReason for Gap Risk2mMultiplier2mExposure to Risky Assets2mRisk to Lose2mValue of the Multiplier2mAllocation to SPY ETF2mDecrease in Portfolio Value2mAllocation to Riskfree Asset2mApplication of CPPI5m 14sCPPI Implementation2mLeverage in CPPI2mImplementation of CPPI10mPaper/Live Trading CPPI Method10m- Time Invariant Portfolio ProtectionCPPI guarantees a minimum return at the end of a period, but fails to capture the portfolio highs. In this section, you will learn how to overcome this by adjusting the floor based on the peak value of the portfolio. You will do this by applying the technique on the index reversal strategy.Implementing Time Invariant Portfolio Protection10mLimitations of CPPI2mFloor in TIPP2mAdditional Reading10mPaper/Live Trading TIPP Method10m
Kelly Formula
In this section, you will learn about the Kelly formula and how to use it. Kelly formula is a technique used to calculate the trade size that ensures the maximum return without focusing on the risk of return. You will also learn how to implement this in Python. You will further learn the limitations of this technique.Kelly Formula4m 8sObjective of Kelly Formula2mDecisions to Open a Position2mTrade Size2mWin/Loss Ratio2mKelly Percentage2mImplementation of Kelly Criterion10mCalculate Winning Probability and Win/Loss Ratio5mCalculate Kelly Percentage5mLimitations of Kelly Formula1m 55sKelly Formula in Trading2mDisadvantages of Kelly Formula in Trading2mAdditional Reading10m- Optimal FThe major disadvantage of the Kelly formula is that it is applicable only on binary outcomes, and thus is not directly usable in trading. This is overcome by optimal f. In this section, you will learn about this technique and its implementation in Python. You will also apply this technique on the index reversal strategy.Optimal F1m 39sFeatures of Optimal F2mRange of Optimal F2mValue of Optimal F2mImplementation of Optimal F10mAdditional Reading10mPaper/Live Trading Optimal F Method10m
- Theory Is Grey, but Life Is GreenPosition sizing techniques can work on a trading strategy exceptionally well and yet falter in the real world. Sometimes, the position sizing techniques, such as Kelly fraction or optimal f, have their own limitations. Other times, the financial markets themselves pose unique challenges to these techniques. In this section, you will look at these challenges and learn how to overcome them.Inherent Risk in Kelly Criterion and Optimal F4m 1sProperties of Kelly Criterion Criterion and Optimal F2mProbability of Drawdown2mReduction in Probability of Drawdown2mOptimal and Real Bet Size2mRelation Between Probability and Drawdown2mFractional Kelly and Probability of Drawdown2mFractional Kelly and Profit Potential2mRelation Between Fractional Kelly and Expected Profit2mOptimal Kelly Fraction2mHidden Risks in Backtesting and Financial Markets4m 21sOut and In Sample Returns2mCompensation of Out of Sample Returns2mStationarity of Price Series2mImpact of Non-Stationarity2mSignificance of Fat Tails2mBlack Swan Events2mFocus of Position Sizing2mDealing with Unprofitable Trading Strategy1m 44sTurning Off Trading Strategy2mAdvantage of Multi Strategy Portfolio2mCapital Allocation Based on Performance2mCorrelation in Multi-strategy portfolio2mMartingale Trading Strategy3m 41sUse of Martingale Trading Strategy2mAdditional Reading10m
- Numerical MethodsHave you ever wondered what would have happened if the past was different? How a trading strategy would perform differently due to some unexpected events in the past. In this section, you will explore alternative trading realities and learn from them. This section will introduce bootstrapping and Monte Carlo methods, which helps you get deeper insights into a trading strategy by exploring multiple scenarios. You will also learn to do bootstrapping simulations on the index reversal strategy and gain more insights.Bootstrapping3m 3sNeed of Bootstrapping2mBootstrapping Process2mInference from Bootstrapping Data-I2mInference from Bootstrapping Data-II2mEstimate Parameters2mBootstrapping Results1m 48sBootstrap Simulation10mMaximal Drawdown Distributions2mBootstrapping Result Interpretation2mCapital Allocation Based on Bootstrapping Results2mMonte Carlo2m 33sHow Much Capital Allocated?2mMonte Carlo Method2mMonte Carlo Process2mAdvantages and Disadvantages of Monte Carlo2m
- Conservative Framework for Position SizingOnce you have gained the knowledge and have applied the position sizing techniques on a trading strategy, you will take the next big step, combining two position sizing techniques! Not only that, you will analyse the trading strategy’s performance as well.Testing the Trading Strategy2m 58sReason for Position Sizing2mMaximisation of Returns through Position Sizing2mRisk and Position Sizing2mLimitations of Backtesting2mLeverage Boundaries2mLong Historical Data2mConservative Estimate of Leverage2mRevisiting CPPI and Volatility Targeting3m 19sCPPI and Drawdown2mCPPI Based Allocation2mCPPI and Volatility Targeting2mImpact of Volatility on CPPI and Volatility Targeting2mResult of CPPI and Volatility Targeting2m 9sAnalysing CPPI and Volatility Targeting Performance2mImplication of Dynamic Position Sizing2mImpact of High Risk Budget and High Leverage2mPosition Sizing and Unprofitable Trading Strategy2mImplementing TIPP with Volatility Targeting10mPaper/Live Trading TIPP with Volatility Targeting10m
- Automate Trading Strategy Using IBridgePyAdditional Reading10mSample Strategies to Run on Interactive Brokers2m
- Run Codes Locally on Your MachineLearn to install the Python environment in your local machine.Python Installation Overview1m 59sFlow Diagram10mInstall Anaconda on Windows10mInstall Anaconda on Mac10mKnow your Current Environment2mTroubleshooting Anaconda Installation Problems10mCreating a Python Environment10mChanging Environments2mInstalling Ta-Lib2mQuantra Environment2mTroubleshooting Tips For Setting Environment10mHow to Run Files in Download Section?10mTroubleshooting For Running Files in Download Section10m
- Capstone ProjectIn this section, you will undertake a capstone project where you will apply different position sizing techniques to a trading strategy. The performance of the two sizing techniques is compared. This project helps you to practice and apply the concepts learnt in this course.Capstone Project: Getting Started10mProblem Statement10mFrequently Asked Questions10mCode Template and Data Files2mModel Solution: Position Sizing Capstone Project10mCapstone Solution Downloadable2m
- Course SummaryIn this section, you will go through the different concepts you learnt throughout the course. You will also be able to download all the strategy notebooks as a zip file. You can use these notebooks and modify their contents to create your own unique strategy.Course Summary3m 25sPython Data and Codes2m
- IntroductionAn approach to investing that focuses on specific drivers of return across asset classes is factor investing. This section serves as a preview to the course and introduces the course contents. The interactive methods used in this course will assist you in not only understanding the concepts but also answering all questions about factor investing. This section explains the course structure as well as the various teaching tools used in the course, such as videos, quizzes, coding exercises, and the capstone projects.
Understanding Smart Beta
After completing this section you will be able to define Alpha and Beta. You will also be able to explain the concept of Smart Beta and its advantages over traditional index investing and active investing.Understanding Alpha and Beta3m 1sDefine Alpha5mIdentify Alpha5mNegative Alpha5mDefine Beta5mIndication of Beta5mBeta between 0 and 15mSmart Beta2mTraditional Index Investing5mActive Investing and Index Investing5mSmart Beta and Active Investing5mDescribe Smart Beta5mSmart Beta Advantages5mResearch Aspect of Smart Beta5mAdditional Reading on Smart Beta2mAll About Factors
In this section, you will learn about what factors are and how they influence the price of a security. Discover how factors lead to rewards and how the factor approach helps extract these rewards. In addition to this, you will also learn about all the ways that factor investing can be the right choice for you.Factor Premiums2mDefine Factors5mReason for Factor Premium Existence5mUses of factors5mPost Earnings Announcement Drift5mEarnings Announcement5mFactors and Asset Performance5mDefine Factor Premiums5mFactor Based Trading5mFactor Based Advantages2mBasis for Factor Approach5mPersistence in Factors5mFactors and Trading Rules5mCost of Factor-Based Approach5mRule-Based Approach5mLong-Term Persistence5mExistence of Factors5mFactors and Risk5mAdditional Reading on Factor Investing2m- Fundamental and Price DataAny strategy hypothesis requires data on which you can backtest and analyse the strategy performance. In this section, you will be able to retrieve the fundamental and price data of the top 100 U.S. stocks and build your stock universe which will be used later to create various factor-based strategies.Uninterrupted Learning Journey with Quantra2mFetching Fundamental Data5mCreating Stock Universe5mMarket Capitalisation5mFill the Missing Values5m
- Factor ApproachIn this section, you will go through the different types of factors which have been used by different investors and traders and also look at a few popular factors.Brief History of Factors2mIdentification of Factors by Fama French5mInitial Factors of Fama French Model5mDiscovery of New Factors5mTypes of Factors2mClassification of GDP5mPopular Style Factors5m
- What is Value?In this section, you will understand the core of the value factor and how it can be useful in your portfolio.What is Value?2mFactor and Low Price5mCommon Denominator Between New and Present Companies5mMeaning of Value for Money5mPerception of Value5mStock Selection5m
- Quantifying ValueYou have heard of the phrase, “value for money stock”. Or “the stock is undervalued”. In this section, you will try to identify the right fundamental ratio which can be used to objectively pick an undervalued stock from a given stock universe.Quantifying Value2mPoints of Consideration While Quantifying Value5mApplication of Earnings Per Share5mCalculation of P/E Ratio5mLow Value of P/E Ratio5mImportance of Financial Ratios5mImportance of P/E Ratio5mComparison of Stocks Based on P/E Ratio5mFinancial Ratios2mCalculation of Financial Ratios5m
Identification of Undervalued Stocks
Once you have identified the right metrics to identify an undervalued stock, you will begin the process of creating a value-based strategy by first identifying the top 10 undervalued stocks from our stock universe.Creation of Value Strategy2mObjective of Value Strategy5mIdentification of Undervalued Stocks Using PE Ratio5mUsing Two Ratios for Identification of Value5mTop Undervalued Stocks5mCombination of Financial Ratios5mPE Ratio and Value of a Stock5mPB Ratio and Value of Stock5mAverage Rank and Value of Stock5mStock Choice Based on Rank5mStrategy Flow Diagram2mIdentification of Undervalued Assets Using Financial Ratios5mCheck Start of Month of a DataFrame5mSelect First Day of Month5mRank Stocks in Ascending Order5m- Performance Analysis of Value Based StrategyIn this section, you will generate signals to go long on the top 10 undervalued stocks from our stock universe and analyse the performance of the value factor based strategy.Generation of Signals for Value Strategy5mRebalancing Portfolio5mPerformance Analysis of Value Strategy5mCAGR5mSharpe Ratio5mSummary2m
- Introduction to Absolute Valuation MethodIn the earlier sections, you focussed on relative valuation, where you compare different stocks based on a common metric. In this section, you will focus on the intrinsic value of a stock and assess if the stock is a good buy or not.What is Absolute Valuation2mDefinition of Value5mPurpose of Absolute Valuation5mValuation Method5mHow Does Absolute Valuation Work2mEssence of Valuation5mFormula of Absolute Valuation5mAddition to Absolute Valuation Formula5mRate of Return and Valuation Formula5mCaution of Absolute Valuation Formula5mStandardisation of Growth Rate5mDrawback of Absolute Valuation Formula5m
- Different Approach to ValueThe value based approach has been in existence for decades. But lately, a new approach to valuation has become popular, where you try to forecast the present value of the future earnings of a stock. You will understand the intuition behind this approach in this section. Further, you will also bust some myths around value factor based investing.Intuition of DCF Valuation Method2mDefinition of Cash Flow5mSteps in DCF Valuation Method5mCalculation of Present Value5mTerminal Value and DCF Valuation5mDCF Value Per Share5mUsage of Discount Rate in DCF Valuation5mDifference in Value Using DCF Valuation5mLimitation of DCF Valuation5mCalculation of Present Value of Next Five Years5mChoice of Asset Based on DCF5mSix Common Myths Of Value Investing3m 28sValue Investing Related Myths5mApplication of Value Investing Principles5mChallenges of Value Investing5mAdditional Reading2m
- Capstone Project - IIn this section, you will use the learnings from the value based strategy to create a unique strategy on your own.Getting Started2mProblem Statement2mCapstone Project - I Solution2m
- Momentum FactorIn this section, you will learn the reasons for the existence of momentum, namely, herding effect, slow diffusion of news, the persistence of roll returns in futures, forced sales and purchases by fund houses. This will give you an insight into where to find momentum and what causes it.Why Momentum Exists2mPrimary Assumption of Momentum5mHerding Effect Definition2mHerding Effect Towards Amazon2mReason for PEAD Effect2mMomentum in Futures2mReasons for Momentum2mEffect of Client Redemptions2mIndex Tracker Fund Performance2mTrading Momentum5mCharacteristics of Momentum2mMain Challenge with Persistence of Trends5mAvoiding Loss Due to Trend Reversal5mDefine a Momentum Crash5mDealing with Momentum Crashes5mStrength in Momentum5mStrong Momentum5mHolding Period5mAdditional Reading on Momentum Factor2m
Time Series Momentum
The time series momentum focuses on a security’s own past return. Learn the concepts of lookback and holding period. Backtest the time series momentum strategy and analyse the performance of this strategy.Types of Momentum2mIdentifying Winners2mWinner and Loser Ratio2mTime Series Momentum2mLookback and Holding Period2mTrading Decision Based on Returns2mEssential Points for Momentum Trading2mReason for Underperformance of Strategy2mStrategy Flow Diagram: Time Series Momentum2mTime Series Momentum Strategy5mCalculate Returns5mGenerate TSMOM Signals5mStrategy Flow Diagram: TSMOM with Volatility Adjusted Returns2mTSMOM with Volatility Adjusted Returns5mCalculate Volatility Adjusted Returns5mAlign Signal Index with Rebalanced Index5mAdditional Reading on Time Series Momentum2m- Live Trading on BlueshiftLearn how you can take your backtested strategy live with some important steps. Learn about the code structure, the various functions used to create a strategy, and finally, paper or live trade on Blueshift.Section Overview2m 19sLive Trading Overview2m 40sVectorised vs Event Driven2mProcess in Live Trading2mReal-Time Data Source2mBlueshift Code Structure2m 57sImportant API Methods10mSchedule Strategy Logic2mFetch Historical Data2mPlace Orders2mBacktest and Live Trade on Blueshift4m 5sAdditional Reading10mBlueshift Data FAQs10m
- Live Trading TemplateThis section includes a live trading strategy template. You can tweak the code by changing securities or the strategy parameters. You can also analyse the strategy's performance in more detail.FAQs for Live Trading on Blueshift5mPaper/Live Trading TSMOM Strategy2m
- Cross Sectional MomentumThe cross sectional momentum works on the relative performance of the securities. You will learn to find the optimal lookback and holding periods and the criterion to select stocks for cross sectional momentum strategy. Finally, create a cross sectional momentum strategy on S&P500 stocks and analyse the strategy's performance.Cross Sectional Momentum2mTypes of Momentum2mMomentum in Returns2mWhich Lookback and Holding Period?2mFactor to Filter Stocks?2mSteps for Cross Sectional Momentum Strategy2mWhich Fund House?2mImpact of High Number of Stocks2mLookback and Holding Period2mStrategy Flow Diagram: CSMOM2mCross Sectional Momentum Strategy10mCalculate Average Dollar Volume5mRank the Filtered Stocks5mGenerate Buy Signals5mCompute Trading Cost5mCalculate Lookback Returns With Skip Days5mMomentum Recap2m
Value and Momentum
Relying on momentum in all phases of the market may not be the right call. To create a well-rounded portfolio, you can try to blend other factors like value. This section explains how blending value and momentum factors can be the right fit for each other. After completing this section, you will be able to create an equally weighted portfolio consisting of two factors, i.e. value and momentum.Combining Value and Momentum2mWays to Combine Value and Momentum5mThe Upside of Combining Value and Momentum5mFiltering Stocks5mCombining Value and Momentum Factor5mMerging Dataframes5mCreate an Equally Weighted Portfolio5mAdditional Reading on Value and Momentum2mTest on Value and Momentum Factors16m- Size FactorIn this section, you will learn the reasons for the out-performance of small-cap companies and how to capture this outperformance.Size Factor: Definition and Intuition3m 48sDefinition of Size Factor5mOutperformance of Small-Caps5mLack of Attention5mTrading in Small-Cap Stocks5mEmma’s Dilemma5mCharacteristics of Size Factor2mCapturing the Size Factor5m
- Introduction to Quality FactorThe quality factor is quite popular among legendary investors like Warren Buffett, but is also the most confusing. In this section, you will unravel the basic tenets of selecting a quality stock.Part Overview2mPrerequisite for Quality Factor2mFactors Apart from Quality5mImportance of Financial Statements Analysis5mFinancial Statements and Corporate Governance5mCorporate Governance Checks2mHidden Losses5mArtificial Increase in Profitability5mIdentification of Suspicious Activities5mNeed of Independent Auditors5mChallenges in Identification of Fraudulent Companies5mSignificance of Reporting Expenses as Investments5m
- Creation of Quality StrategyIn this section, you will apply the principles of the quality factor to identify and go long on quality stocks.How to Identify Quality Stocks2mCommon Elements of Quality Stocks5mMeasurement of Company's Ability to Navigate Business Cycles5mEvaluation of Growth in Quality Stocks5mIdentifying Quality Stock Based on Growth5mCombination of Metrics for Quality Factor5mDifficulty of Identifying Quality Stocks5mIdentification of Profitability Element5mStrategy Flow Diagram of Quality Strategy2mCreation of Quality Strategy5mAdditional Reading2m
- Factor TimingDifferent factors perform differently across market phases and durations. This section discusses whether you can improve the performance of your strategy by considering the timing of individual factors and taking positions accordingly. It also uncovers some of the challenges you may face while adapting to this approach.Factor Timing2mDefine Factor Timing5mFactor Timing Approach5mTypes of Factor Timing5mTiming the Entry and Exit5mStrategy Flow Diagram: Factor Timing2mFactor Timing with RSI5mCalculate RSI5mRSI Strategy5mDrawbacks of Factor Timing2mChallenges of Factor Timing5mIncorrectly Timing Factors5mHigher Trading Frequency5mComplexity of Factor Timing5mMulti-Factor Approach5mAdditional Reading on Factor Timing2mFAQs on Factor Timing2m
- Identifying Relevant FactorsThis section covers the need to identify relevant factors to create a multi-factor portfolio. This section also covers the methods to screen the factors such as correlation analysis, robustness checks and performance filters.Need to Identify Relevant Factors2mRelevant Factors5mAim of Selecting Relevant Factors5mFactor Screening Methods5m 22sPurpose of Factor Screening5mPurpose of Correlation Analysis5mPurpose of Robustness Check5mFactor Screening with Correlation Analysis5mScreen Factors with Correlation Analysis5mThreshold for Correlation Analysis5mPerformance Filter and Robustness Check5mScreen Factors with Performance Filter5mScreen Factors with Robustness Check5mFAQs2mAdditional Reading for Identifying Relevant Factors2mSection Recap2m
- Capital Allocation To FactorsIn this section, you will learn to allocate capital to multiple factors. you will learn the drawbacks of using equal weightage method for capital allocation and explore ranking method for capital allocation.How to Allocate Capital to Different Factors?2mEqual-Weightage Approach5mDrawback of the Equal-Weightage5mHistorical Metrics for Capital Allocation5mRanking Method Based on Sharpe Ratios5mCapital Allocation Using the Ranking Method5mAssign Ranks Based on Sharpe Ratio5mAssumption of Ranking Method5mRanking Method With Single Historical Metric5mRank the Factors Based on the Sharpe Ratio5mSection Recap2mFAQ on Capital Allocation To Factors2m
- Ranking Method With Multiple MetricsIn this section, you will learn to calculate capital allocation for factors based on multiple historical metrics using the ranking method.Apply Ranking Method With Multiple Metrics2mRanking The Factors With Higher Volatility5mFormula to Calculate the Capital Allocation5mRanking Factors Using the Ranking Method5mPurpose of Assigning Ranks5mRanking Based on the Sharpe Ratio5mEfficient Method to Calculate Capital Allocation5mPurpose of Average Rank5mInverting the Ranking Logic5mCapital Allocation With Ranking Method5mCalculate the Historical Metrics5mRank the Cumulative Returns5mCode to Rank Based on Volatility5mDrawback of Ranking Method2mMain Drawback of Ranking Method5mOvercome the Drawback of the Ranking Method5mSection Recap2mFAQ on Ranking Method With Multiple Metrics2m
- Scoring Method for Capital AllocationIn this section, you will learn the scoring method for capital allocation and implementation of the same in Python. You will also learn how the scoring method overcomes the drawback of the ranking method.Scoring Method for Capital Allocation2mScoring Sharpe Ratio and Cumulative Returns5mRange of Historical Metric in Scoring Method5mUsing Volatility for Capital Allocation5mMin-Max Scaling Formula5mCalculation of Capital Allocation for Factors5mVolatility Inversion in Scoring Method5mBenefits of Min-Max Scaling5mCapital Allocation With Scoring Method5mScale the Factors Using the Minmax Scaler5mFormula of Capital Allocation With Scoring5mFAQs on Scoring Method for Capital Allocation2mAdditional Reading for Capital Allocation To Factors2mSection Recap2m
- Compare the Capital Allocation MethodsIn this section, you will learn the comparison between the capital allocation methods, ranking and scoring.Compare The Ranking and Scoring Methods2m 37sPrimary Drawback of the Ranking Method5mCalculate Scores for Factors5mScaled Historical Metrics for Capital Allocation5mDetermine Capital Allocation by Scoring Method5m
- Backtesting The Factor CombinationIn this section, you will learn to combine the factors to create a portfolio based on the screening and capital allocation techniques learned so far. In addition to this, you will also learn to rebalance the portfolio at regular intervals and study its performance.Strategy Flow Diagram2mBacktest Multi-Factor Portfolio Part-15mList to Store the Rebalancing Days5mStudy the Performance in Each Rebalance Cycle5mBacktest Multi-Factor Portfolio Part-25mBacktest the Multi-Factor Portfolio5mPerformance of the Multi-Factor Portfolio5mFAQs on Backtesting The Factor Combination2mAssessment Test14m
- Exploring Unknown FactorsDelve into uncharted territories by embarking on an exploration of unknown factors. Navigate through unexplored dimensions to uncover hidden insights and expand the boundaries of knowledge.Exploring Unknown Factors2mExistence of Unknown Factors5mMachine Learning Models5mSentiment Analysis5mTechnical Analysis5mResearch Papers5mPersonal Trading Experience5m
- Capstone Project - IIIn this section, you will use the learnings from the factor combination based strategy to create a unique strategy on your own.Getting Started2mProblem Statement2mCapstone Project - II Solution2m
- Live Trading on IBridgePyIn this section, you would go through the different processes and API methods to build your own trading strategy for the live markets, and take it live as well.Section Overview2m 2sLive Trading Overview2m 41sVectorised vs Event Driven2mProcess in Live Trading2mReal-Time Data Source2mCode Structure2m 15sAPI Methods10mSchedule Strategy Logic2mFetch Historical Data2mPlace Orders2mIBridgePy Course Link10mAdditional Reading10mFrequently Asked Questions10m
- Paper and Live TradingTo make sure that you can use your learning from the course in the live markets, a live trading template has been created which can be used to paper trade and analyse its performance. This template can be used as a starting point to create your very own unique trading strategy.Template Documentation10mTemplate Code File2m
- Run Codes Locally on Your MachineIn this section, you will learn to install the Python environment on your local machine. You will also learn about some common problems while installing python and how to troubleshoot them.Python Installation Overview1m 59sFlow Diagram10mInstall Anaconda on Windows10mInstall Anaconda on Mac10mKnow your Current Environment2mTroubleshooting Anaconda Installation Problems10mCreating a Python Environment10mChanging Environments2mQuantra Environment2mTroubleshooting Tips for Setting Up Environment10mHow to Run Files in Downloadable Section?10mTroubleshooting for Running Files in Downloadable Section10m
- SummaryIn this section, we will summarise all the concepts taught in the course. This section also consists of all the data and code files used in the course.Course Summary2mSummary and Next Steps2mPython Codes and Data2m
- Introduction to the CourseThis section serves as a preview of the course and introduces the course contents. The interactive methods used in this course will assist you in not only understanding the concepts but also answering all questions regarding the use of machine learning algorithms for momentum trading. This section explains the course structure as well as the various teaching tools used in the course, such as videos, quizzes, coding exercises, and the capstone project. It also covers a few course-related frequently asked questions.
Fundamentals of Factor Investing
This section tackles the first question which arises in every portfolio manager's mind, "Why should I create a portfolio using factors?" You will also explore the journey of factor investing, right from the CAPM to the newer models introduced in the 21st century.Why Factor Investing?2mDefine Factor Investing5mFactor Investing vs Actively Managed Funds5mMulti-Factor Portfolio5mPerformance of Factor Based Portfolios5mJourney of Factor Investing2mCAPM and Influence on Returns5mThree-Factor Model5mFive-Factor Model5mDefine Factor Premium5mTraditional Factor5mPurpose of Identifying Factors5mTypes of Factors2mCore Building Blocks of Factor Investing5mIdentify Non-Traditional Factor5mCharacteristics of Non-Traditional Factors5mAdditional Reading on Fundamentals of Factor Investing2mTest on Fundamentals of Factors12m- Why Traditional Factors Work?Traditional Factors have been around since decades, and yet they are still in practice among leading fund houses. Take a deep dive into the world of traditional factors and understand how they work. You will also get a brief overview on how you can create a traditional factor portfolio.Why Traditional Factors Work?2mIdentification of Style Factors5mStock Classification According to Quality5mReason of Momentum Factor5mFocus of Value Factor5mSize Factor Interpretation5mInstitutional Investors and Small-Cap Stocks5mBelief in Value Investing5mAnalysis Based on Quality Factor5mAnalysis Based on Value Factor5mAnalysis Based on Size Factor5m
- Traditional Factor Investing and PerformanceThe popularity of traditional factors has made portfolio managers around the world to sit up and take notice. There are a number of thematic ETFs which are developed by institutions to cater to the retail trader. You can explore their performance in this section.Investing in Factors and Factor Based Fund Performance2mApproaches to Factor Investing5mCreation of Portfolio Using Value Factor5mLimitation of P/E Ratio Based Value Investing5mFlexibility of Factor Investing5mInvesting in Multiple Factors5mFAQs on Traditional Factors2mSummary of Traditional Factors2mAdditional Reading of Traditional Factors2mTest on Traditional Factors12m
Existence of Non-Traditional Factors
Traditional Factors are not the only factors in existence. Both academicians and professional traders are exploring the world of finance to uncover hidden sources of alphas, which are being called non-traditional factors. In this section, you will also understand how non-traditional factors can be discovered.Why Do Non-Traditional Factors Exist?2mReason for Popularity of Non-Traditional Factors5mTraditional Factors and Alpha5mExample of Non-Traditional Factor5mNon-Traditional Factors and Portfolio Performance5mDifference Between Non-Traditional and Traditional Factors5mHow to Find Non-Traditional Factors?2mIdentification of Non-Traditional Factors5mExample of Alternative Data for Identification of Factors5mSkewness as Non-Traditional Factor5mAction After Identification of Non-Traditional Factor5mResearch Papers and Non-Traditional Factors5mFAQs on Non-Traditional Factors2mSummary of Non-Traditional Factors2mAdditional Reading of Non-Traditional Factors2m- Getting Data: Multiple AssetsIn this optional section, you will explore how to retrieve price data of multiple assets which can be used to create a factor portfolio.Uninterrupted Learning Journey with Quantra2mGetting Data: Multiple Assets5m
- How to Calculate Skewness?In this optional section, you will recall the meaning of skewness and how it can be calculated from a dataset.How to Calculate Skewness?1m 39sSkewness Measure5mIndication of Positive Skew5mSkewness and Normal Distribution5m
Creation of Non-Traditional Factors Portfolio
In this section, you will focus on the skewness factor which can be used to create and rebalance a non-traditional factor based portfolio.Creation of Skewness Factor Based Portfolio2mRelation Between Past Skewness and Future Returns5mData Frequency to Calculate Skewness5mType of Stocks Excluded in Portfolio Creation5mAverage Weekly Returns5mModification to Strategy in Research Paper5mRestriction of Potential Stock Universe5mStrategy Flow Diagram for Skewness Strategy2mCreation of Non-Traditional Factor Based Portfolio5mCalculate Skewness of Weekly Returns5mCalculate Absolute Value of Skewness5mSelect 10 Assets with Lowest Skewness5m- Challenges in Creation of Non-Traditional Factor PortfolioIn this section, you will list the reasons it is difficult to create a non-traditional factor portfolio.Challenges in Creation of Non-Traditional Factor Portfolio2mPrimary Challenge of Acquiring Data for Non-Traditional Factors5mSentiment Analysis and Bias5mMethod to Compare Non-Traditional Factor Data Across Assets5mTraditional and Non-Traditional Factor Portfolio5mFAQs on Creation of Non-Traditional Factors Portfolio2mSummary of Creation of Non-Traditional Factors Portfolio2mAdditional Reading of Creation of Non-Traditional Factors Portfolio2mTest on Creation of Non-Traditional Factors Portfolio10m
- Capstone Project on Non-Traditional Factor PortfolioIn this capstone project section, you will create a portfolio based on the kurtosis factor.Getting Started2mProblem Statement2mCapstone Project Model Solution2m
Factor Timing
Explore how market dynamics influence factor performance, the concept of factor timing, and practical approaches like economic cycle forecasting and price-based momentum for better portfolio management.Factor Timing: Why and How?2mFactor Outperformance5mPurpose of Factor Timing5mTiming is Money5mEconomic Cycles for Factor Timing5mMomentum Approach5mFAQs on Factor Timing2mAdditional Reading on Factor Timing2m- Generalized Hurst ExponentUnderstand the Generalized Hurst Exponent as a tool to analyse market trends, identify momentum, and refine factor timing strategies.Generalized Hurst Exponent2mGHE - Time Series5mTime Series Behaviour5mInterpretation of GHE5mVariation with q5mEstimating GHE5mGeneralized Hurst Exponent Calculation5mCalculate the Logarithm of Lag Values5mPerform a Linear Regression to Fit Log-Lags to Log-Moments5mCalculate the Generalized Hurst Exponent5mFAQs on Generalized Hurst Exponent2mAdditional Reading on Generalized Hurst Exponent2m
- Getting ETF DataDesigning and creating custom factors from data demands expertise, time, and resources. An alternative approach is to invest in ETFs that provide targeted exposure to specific factors. In this section, you will learn how to identify relevant ETF tickers, filter them according to your investment strategy, and retrieve their price data.How to Find ETF Data?2mSelecting ETFs and Fetching Data15m
Factor Timing Strategy
Learn to develop factor timing strategy by combining the Generalized Hurst Exponent to detect trends and technical indicators like Momentum (MOM) for confirming positive momentum signals.Factor Timing Strategy2mPurpose of Hurst Exponent5mTrending Market5mMOM Threshold5mLong-Only Strategy5mLower MOM Threshold5mFactor Timing Strategy Flow Diagram2mFactor Timing Single ETF5mCalculate the Momentum (MOM) Indicator5mTrading Signal5mFactor Timing Portfolio ETFs5mCalculate the Benchmark Returns5mCalculate the Portfolio Returns5mFAQs on Factor Timing Strategy2mAdditional Reading on Factor Timing Strategy2m- Effectiveness of Factor TimingExamine the strengths and limitations of factor timing strategies, including insights from recent research, and explore how timing can reduce drawdowns, align with economic conditions, and improve portfolio resilience.Effectiveness of Factor Timing2mAnother Look at Timing the Equity Premiums5mMacroeconomic Data5mDesigning a Factor Timing Strategy5mEffectiveness of Factor Timing Strategies5mRising Interest Rates5mFAQs on Effectiveness of Factor Timing2mAdditional Reading on Effectiveness of Factor Timing2mTest on Factor Timing14m
- Live Trading on BlueshiftLearn how you can take your backtested strategy live with some important steps. Learn about the code structure, the various functions used to create a strategy, and finally, paper or live trade on Blueshift.Section Overview2m 19sLive Trading Overview2m 40sVectorised vs Event Driven2mProcess in Live Trading2mReal-Time Data Source2mBlueshift Code Structure2m 57sImportant API Methods10mSchedule Strategy Logic2mFetch Historical Data2mPlace Orders2mBacktest and Live Trade on Blueshift4m 5sAdditional Reading10mBlueshift Data FAQs10m
- Live Trading TemplateThis section includes a live trading strategy template. You can tweak the code by changing securities or the strategy parameters. You can also analyse the strategy's performance in more detail.FAQs for Live Trading on Blueshift5mPaper/Live Trading Factor Timing Strategy2m
- Factor TiltingPortfolio managers utilise techniques like factor tilting to generate alpha by strategically allocating weights to key factors. In this section, you’ll learn what factor tilting is and the basic approach to implement it.Why Factor Tilting is Required2mStrategy Enquiry5mWeighting Approach Used5mWhat is Factor Tilting?5mScoring Methodology2mPurpose of Scoring5mProcess of Selecting Top Three Assets5mProcess for Creating Scores5mScoring Methodology5mFAQs on Factor Tilting2mAdditional Reading on Factor Tilting2mSummary of Factor Tilting2m
- Creation of Portfolio EngineIn this section, we will create a portfolio engine which will serve as the framework for backtesting a factor-based portfolio.Portfolio Engine: Backtesting Framework5mPurpose of Portfolio Engine5mKey Benefits of the Portfolio Engine5mFirst Notebook5mSecond Notebook5mThird Notebook5mFourth Notebook5mPortfolio Engine - Importing Data & Finding Rebalance Dates.5mPortfolio Engine - Portfolio Strategy5mPortfolio Engine - Portfolio Returns5mPortfolio Engine - Portfolio Performance5m
- Impact of Outliers on Scoring MethodologyThe scoring approach for tilting factors is intuitive, but it can lead to overly concentrated portfolios. In this section, you'll discover how outliers can have a significant impact on portfolio weights and overall performance.Impact of Outliers on Scoring Methodology2mPrimary Risk of Overexposure5mDiversification Importance5mPortfolio Returns Calculation5mFAQs on Impact of Outliers on Scoring Methodology2mTest on Factor Tilting12m
- Rank Based Weight AllocationRank based weight allocation is popular approach used for tilting weights.Rank Based Weight Allocation2mRanks Order5mRanks Weight Diversification5mDifferences Between Consecutive Rank Weights5mImplementing Rank Based Weight Allocation5mCalculate Ranks5mRank Based Weight Allocation5mBacktesting Rank Based Weight Allocation5mAdditional Reading on Rank Based Weight Allocation2m
- Limitations of Rank Based Weight AllocationRank based weight allocation is popular approach but comes with drawbacks.Limitations of Rank Based-Weight Allocation2mLimitation of Rank-Based Weight Allocation5mWhen to prefer score-based weight allocation?5mDrawback of Score-Based Weight Allocation5mFAQs on Rank Based Weight Allocation2mTest of Rank Based Weight Allocation14m
Process of Winsorization
Both the scoring and ranking methods have certain limitations. Wouldn't it be great if we could somehow the best parts of both methods? In this section, we will explore the process of winsorization and check how it will help us allocate weights efficiently.Process of Winsorization2mIdentification of Outliers5mPercentiles in Winsorization5mValue Below 10th Percentile5mAdvantage of Using Percentiles5mReason for Choosing Winsorization5mApplication of Winsorization in ETF5mReducing Impact of Outliers Using Winzorization5mPivot the ETFs Dataframe5mApply Winsorization on 60-Day Returns5mPlot the KDE of Winsorized Returns5mBacktesting with Winsorization5mFAQs on Process of Winsorization2mSummary of Process of Winsorization2mAdditional Reading of Process of Winsorization2mTest on Winsorization10m- Capstone Project on Factor CombinationIn this capstone project you will construct a factor portfolio by assigning weights to factors based on the Sortino ratio as the performance metric.Problem Statement on Factor Combination2m
- Calculation of Multiple MetricsYou have been able to create and backtest a portfolio using a single metric. Now, you will try to calculate multiple metrics which can be used later for portfolio allocation.Calculation of Multiple Metrics2mImportance of Multiple Metrics5mCombining Metrics for Better Decision-Making5mTypes of Metrics for Weight Allocation5mAvoiding Redundant Metrics5mChoosing the Right Number of Metrics5mPractical Application of Multiple Metrics5mCalculation of Multiple Metrics5mFAQs on Calculation of Multiple Metrics2mSummary of Calculation of Multiple Metrics2m
- Z-Score StandardisationIn this section, you will be able to standardise the scoring metrics using z-score.Z-Score Standardisation2mNeed for Standardisation5mZ-Score5mTransformed Dataset5mZ-Score Formula5mCalculate Z-Score5mZ-Score Standardisation of Scoring Metrics5mImplement Z-Score Standardisation5mFAQs on Z-Score Standardisation2mAdditional Reading on Z-Score Standardisation2m
- Use of Z-Score Values for Weight AllocationAfter combining the z-scores of multiple metrics we have to allocate weights in proportion of their z-score values. In this section, you will see how this can be achieved.Using Z-Score Values for Weight Allocation2mAdjustment of Z-Score Value5mCalculation of ETF Weights5mUse of Z-Score5mEffect of Shifted Z-Score on Weights5mOverall Weight Allocation Process Using Z-Scores5mCombined Z-Score Calculation5mUsing Z-Score Values for Weight Allocation5mFind Minimum Z-Score Value of Day5mCalculate Shift Value5mShift the Z-Score Values By Calculated Shift Value5mCalculate Sum of Z-Score Values5mCalculate Weight of Individual Assets5mBacktesting Using Multiple Metrics Scoring Method5mFAQs on Using Z-Score Values for Weight Allocation2mSummary of Using Z-Score Values for Weight Allocation2mAdditional Reading on Using Z-Score Values for Weight Allocation2mTest on Multiple Metric Based Scoring Methodology for Factor Portfolio Creation18m
Analyse the Performance of Multi-Factor Portfolio
This section highlights the need for a deeper analysis of portfolio performance, focusing on return consistency, concentration risks, and distribution. It emphasises diversification and introduces drawdown and stress event analysis for better risk understanding.Part Overview: Risk Assessment of Multi-Factor Portfolio2mPerformance of a Multi-Factor Portfolio2mNeed to Analyse Portfolio Returns5mUnderstanding Concentration Risk5mMitigating Concentration Risk5mInterpreting Skewness in Returns5mImportance of Kurtosis in Risk Analysis5mTakeaway from Multi-Factor Portfolio Performance5mRisks of Over-Allocation5mPerformance Analysis of Factor Portfolio5mCalculate the Cumulative Metrics5mCalculate Daily Volatility5mCalculate the Returns Metrics5mPlot the Returns Histogram5mFAQs on the Performance of a Multi-Factor Portfolio2mAdditional Reading on Performance of a Multi-Factor Portfolio2mSummary of Performance of a Multi-Factor Portfolio2mTest on Performance of a Multi-Factor Portfolio16mAnalyse the Drawdowns of Multi-Factor Portfolio
This section discusses in-depth risk analysis, focusing on drawdowns, recovery times, and the impact of market events. It concludes with an introduction to analysing portfolio sensitivity to factors.Drawdown Analysis of a Multi-Factor Portfolio2mImportance of Drawdown Analysis5mEvaluating Top 5 Drawdowns5mUnderstanding Recovery Times5mAnalysing Recovery of the October 2022 Drawdown5mIdentifying Market Stress Events5mSensitivity to Factors5mDrawdown Analysis of Factor Portfolio5mCalculate the Drawdown5mCalculate the Max Drawdown Date5mCalculating Recovery Date5mCalculating Recovery Duration5mFAQs on the Drawdown Analysis of a Multi-Factor Portfolio2mAdditional Reading on Drawdown Analysis of a Multi-Factor Portfolio2mSummary of Drawdown Analysis of a Multi-Factor Portfolio2mTest on Drawdown Analysis of a Multi-Factor Portfolio14m- Analyse the Sensitivity of Portfolio to its FactorsThis section explains how to measure portfolio sensitivity using factor beta, which shows how returns change with factor shifts. It uses linear regression for calculation and highlights that growth and momentum factors are key drivers of portfolio returns.Sensitivity of Portfolio to its Factors2mImportance of Factor Beta5mInterpreting Factor Beta Value5mMethod for Measuring Factor Beta5mLinear Regression Equation5mFactor Beta for a Multi-Factor Portfolio5mInterpreting Factor Beta Plot5mCalculate and Interpret Factor Beta5mCheck Index Alignment5mCalculate the Factor Beta5mFAQs on the Sensitivity of Portfolio to its Factors2mAdditional Reading on Sensitivity of Portfolio to its Factors2mSummary of Sensitivity of Portfolio to its Factors2mTest on Sensitivity of Portfolio to its Factors14m
- Core and Satellite InvestingCore and Satellite investing blends stability and growth by combining a diversified core for steady returns with satellite investments for higher growth potential.Core and Satellite Investing2mApproaches in Core and Satellite Investing5mFast-moving vs Slow-moving satellite5mBest Composition5mFAQs on Core and Satellite Investing2mAdditional Reading on Core and Satellite Investing2m
- Factor Investing in Emerging MarketsIn this section, we will examine how factors in developing markets behave differently compared to the developed markets. We will discuss the unique challenges and opportunities, including market inefficiencies, liquidity constraints, and macroeconomic influences.Factor Investing in Emerging Markets2mKey Reason for Factor Investing5mRapid Growth of Emerging Markets5mMajor Challenge5mEffectiveness of Factor Investing5mUnique Growth Theme5mFAQs on Factor Investing in Emerging Markets2mAdditional Reading on Factor Investing in Emerging Markets2m
- Limitations of Factor InvestingUnderstand the key challenges of factor investing, including data mining, specification errors, crowding, regime shifts, and overfitting. Learn strategies to mitigate these issues.Limitations of Factor Investing2mHistorical Data5mMitigate the Risk of Data Mining5mSpecification Error5mPrice-To-Earnings Ratio5mLow-Volatility Factor Strategy5mFAQs on Limitations of Factor Investing2mAdditional Reading on Limitations of Factor Investing2m
- Run Codes Locally on Your MachineLearn to install the Python environment in your local machine.Uninterrupted Learning Journey with Quantra2mPython Installation Overview1m 59sFlow Diagram10mInstall Anaconda on Windows10mInstall Anaconda on Mac10mKnow your Current Environment2mTroubleshooting Anaconda Installation Problems10mCreating a Python Environment10mChanging Environments2mQuantra Environment2mTroubleshooting Tips for Setting-up Environment10mHow to Run Files in Downloadable Section?10mTroubleshooting For Running Files in Downloadable Section10m
- Summary of the CourseIn this section, you will go through the summary of the course and access the data files and notebooks which were used in the course.Summary of the Course2mSummary of the Course and Next Steps2mPython Codes and Data2m
- IntroductionThe ability of unsupervised learning to find similar patterns and group assets can be harnessed in the field of portfolio management with ease. In this section, you will acquaint yourself with the course structure, and the various teaching tools used in the course: videos, quizzes, and strategy codes. The interactive methods used help you to not only understand the concepts, but also how to implement the strategies.
- Portfolio Basics and Stock ScreeningA collection of the assets in your possession is called a portfolio. In this section, the importance of diversification is discussed. A simple portfolio management technique called the equal-weighted method is covered in brief. But before implementing a strategy, you need to select the assets you will be using for the strategy. For that, we have applied several filters on the S&P 500 stocks to shortlist 16 stocks for the portfolio.Portfolio Diversification3m 15sHow to allocate capital?2mWhy should you diversify?2mStock Screener10mRead the Price Data5mFilter Stocks on Liquidity5mFilter Stocks on Momentum5mFilter Stocks on Fundamental Factor5mGet Market Data10mEqual Weight Portfolio10mEqual Weight Calculation5mSharpe Ratio Calculation5mPortfolio Return Calculation5mAdditional Reading on Equal Weights Portfolio10m
Inverse Volatility Portfolios
Another approach to asset weight allocation is by considering the risk associated with the asset. The inverse volatility portfolio tries to give more weightage to less volatile, or less risky, assets.Role of Volatility in Measuring Risk1m 58sLimitations of Equal Weight Portfolio2mIdentifying Volatile Stocks2mRisk Contribution of Assets2mDifferentiating Low and High Volatile Stocks2mAllocating Weights Using Volatility2m 25sMeasurement of Volatility2mUse of Inverse Volatility2mCalculation of Inverse Volatility2mPercentage Capital Allocation Using IVP2mCapital Allocation Using IVP2mImplementing Inverse Volatility Portfolios
In this section, we apply the inverse volatility based weight allocation technique on a set of 16 stocks using risk as a metric. We also see its performance on past data.Inverse Volatility on Three Stocks1m 59sExclusions in Inverse Volatility Portfolio2mAssets Allocation Using IVP2mAsset Weight Calculation Using IVP2mLimitation of IVP2mInverse Volatility Portfolio10mCalculate the Monthly Prices5mSplit the Data5mInverse Volatility Weight Calculation5mAdditional Reading10m- CorrelationIn simple terms, correlation is used to measure how two assets move with respect to each other. Correlation is a standardised measure which gives a score between -1 and 1. In this section, you will test different assets and find their correlation scores.Correlation10mCovariance Calculation5mCorrelation Calculation5mImpact of Correlated Stocks on Portfolio’s Performance3m 7sOptimal Weight Allocation2mSelect Assets2mChoose Portfolio2mAdditional Reading10m
- Markowitz Critical Line AlgorithmApart from risk, Markowitz suggested that returns is also an important metric to focus on. He suggested that the portfolio with optimal weights would have the highest return per unit of risk. In this section, we understand how the critical line algorithm works to find the optimal portfolio weights.Intuition of Critical Line Algorithm2mReturn vs Risk2mChoose Portfolio Part-12mChoose Portfolio Part-22mChoose Portfolio Part-32mSelecting the Most Optimal Weights4m 35sOptimal Portfolio2mIncrease Return:Risk Ratio2mEfficient Frontier2mFind 15% Volatility Portfolio2m
- Implementing CLAIn this section, we use the concept of critical line algorithm (CLA) and implement it on a set of 16 stocks. We also assess its performance over unseen data.Critical Line Algorithm10mRandom Weights Allocation5mReturns per Unit of Risk5mFind the Optimal Portfolio5mLimitations of Critical Line Algorithm2m 52sDifference in Return2mConcentrated Portfolio2mConcentration of Weights2mLimitations of CLA2mAdditional Reading10mTest on IVP and CLA16m
Hierarchical Clustering
This section will focus on giving you an intuition of the unsupervised learning technique of hierarchical clustering. Developing from the basics, you will see how exactly a meaningful hierarchy can be created for financial stock data.What is Hierarchical Clustering?1m 55sClustering2mCorrect Hierarchy2mHierarchical Clustering On Stocks3m 40sClustering Two Stocks2mFeatures for Grouping2mDendrogram2mType of Hierarchical Clustering2mOutput of Different Techniques2mAdditional Reading10m- Mathematics Behind Hierarchical ClusteringNow that you have been introduced to the world of hierarchical clustering, in this section you will dive deep into the mathematics behind it all. Many concepts including the euclidean distance and proximity matrix will be covered so that you know the details behind the black box.Euclidean Distance Between Points3m 18sDistance Between Multiple Dimensions2mEuclidean Distance2mImplementing Hierarchical Clustering2mCluster Composition2mDistance Using Proximity Matrix2mCorrect Proximity Matrix2mComplete the Proximity Matrix2mForming a New Cluster2mCombining Two Clusters2mZero Diagonal2mAdditional Reading10mTest on Hierarchical Clustering18m
- Clustering with DendrogramsIn this section you will learn to visualise the hierarchy of clusters using Python. You will be introduced to specific functions in the SciPy library that will help you create meaningful clusters. The code will introduce you to linkaging and distance measures that you can use to create your dendrogram.Dendrograms2m 7sDistance Between Clusters2mDendrogram Output2mClustering with Dendrograms10mWhat is Linkage Matrix2mUse of Ward’s Method2mCreate a Linkage Matrix5mPlot Dendrogram5mAdditional Reading10m
- Scaling Your DataScaling is an important concept whenever it comes to unsupervised learning and clustering in general. In this section, you will implement the standard scaling technique on your dataset after learning about its importance in hierarchical clustering. By the end of this section you will be armed with everything you need to create a portfolio using hierarchical clustering.Importance of Scaling3m 27sCorrect Clustering2mValue Range2mSensitivity of Euclidean Distance2mScaling Your Data2m 40sValue Range with Scaling2mScale Two or More Features2mStandard Scaling2mCalculate Scaled Value2mProperties of Standard Scaling2mImportance of Scaling the Data10mStandard Scaling the Data5mAdditional Reading10m
- Hierarchical Risk ParityThe final section on hierarchical clustering will introduce you to the concept of Hierarchical Risk Parity. It is the methodology of creating a risk-based portfolio that has been allocated capital based on meaningful similarity between the stocks. The section will end with a performance comparison of the portfolio based on all the techniques that you have learnt, i.e., Equal Weights, Inverse Volatility, Critical Line Algorithm and Hierarchical Risk Parity.Weight Allocation3m 43sDivide Into Groups2mCalculate Weights Using Inverse Volatility2mTotal Allocation to a Group2mWhen to Stop2mZero Allocation2mAssign Weights2mData Preparation and Plotting Dendrogram10mWeights Allocation and Portfolio Evaluation10mCluster Volatility5mAgglomerative Clustering5mAssigning Weights to Clusters5mComparing Different Portfolio Techniques10mAssigning Upper Limit for Weights10mAdditional Reading10mTest on Dendrograms, Data Scaling and Hierarchical Risk Parity18m
- Live Trading on BlueshiftThis section walks you through the steps involved in taking your trading strategy live. You will learn about backtesting on Blueshift. It also includes code structure, various functions used to create a strategy and finally, paper or live trade on Blueshift.Uninterrupted Learning Journey with Quantra2mSection Overview2m 19sLive Trading Overview2m 41sVectorised vs Event Driven2mProcess in Live Trading2mReal-Time Data Source2mBlueshift Code Structure2m 57sImportant API Methods10mSchedule Strategy Logic2mFetch Historical Data2mPlace Orders2mBacktest and Live Trade on Blueshift4m 5sAdditional Reading10mBlueshift Data FAQs10m
- Live Trading TemplateThis section includes a template of a trading strategy that can be used on Blueshift. The live trading strategy template is based on the strategy discussed in the course. You can tweak the code by changing securities or the strategy parameters. You can also analyse the strategy performance in more detail.Paper/Live Trading Weight Allocation using HRP10mFAQs for Live Trading on Blueshift10m
- Capstone ProjectIn this section, you will undertake a capstone project where you apply the k-means algorithm on the stock of your choice. This project helps you to practice and apply the concepts learnt in this course.Capstone Project: Getting Started10mProblem Statement10mFrequently Asked Questions10mCode Template and Data Files2mCapstone Project Model Solution10mCapstone Solution Downloadable2m
- Run Codes Locally on Your MachineThis section includes the installation of the Python environment in your local machine.Python Installation Overview1m 59sFlow Diagram10mInstall Anaconda on Windows10mInstall Anaconda on Mac10mKnow your Current Environment2mTroubleshooting Anaconda Installation Problems10mCreating a Python Environment10mChanging Environments2mInstalling Ta-Lib2mQuantra Environment2mTroubleshooting Tips For Setting Environment10mHow to Run Files in Download Section?10mTroubleshooting For Running Files in Download Section10m
- Course SummaryIn this section, you will go through the different concepts you learnt throughout the course. You will also be able to download all the strategy notebooks as a zip file. You can use these notebooks and modify their contents to create your own unique strategy.Course Summary-I7m 19sCourse Summary-II4m 38sPython Codes and Data2m
- IntroductionThis section serves as a preview of the course and introduces the course contents. The interactive methods used in this course will assist you in not only understanding the concepts but also answering all questions regarding artificial intelligence. This section explains the course structure as well as the various teaching tools used in the course, such as videos, quizzes, coding exercises, and the capstone project.
Aim of Portfolio Management
What should you look for when you are trying to create a portfolio? Returns? Risk? In this section, you will go through a scenario where you will understand what is to be considered when creating your own portfolio. You will also look at the mean-variance ratio and how it can be used to create an optimal portfolio.Aim of Portfolio Management2mConsideration in Creation of Portfolio5mKey Characteristic of Portfolio5mAnalogy of Portfolio5mPortfolio Choices5mOptimisation of a Portfolio2mPortfolio Optimisation Using Risk or Return5mEqual Importance to Risk and Return5mMeasure of Risk and Return5mMean-Variance Ratio5mMean-Variance and Sharpe Ratio5mPortfolio Choice Using Mean-Variance Optimisation5mCompatibility of Measures5mDecision Between Two Portfolios5mSection Summary2mAdditional Reading2mFAQ2mUnderstanding Aim of Portfolio Management5m- Building a PortfolioHow many different variations of portfolio weights should you consider while optimising your portfolio? If your answer is in single digits, you might be in for a surprise in this section. With the use of Python libraries, you can consider a large number of portfolio variations with different portfolio weights.Optimisation of Portfolio Using Mean-Variance2mMultiple Portfolios5mGeneration of Multiple Portfolios5mEqual Mean-Variance Ratios5mSteps to Create Mean-Variance Optimised Portfolio5mApplication of Mean-Variance Optimisation5mEqual Returns of Two Portfolios5mChoice of Portfolio5m
- Walk Forward OptimisationIn this section, you will try to see how you can use a major part of the dataset for optimisation without falling prey to overfitting or look-ahead biases.Walk Forward Optimisation2mBacktesting Entire Data5mDrawback of Division of Dataset in Two Parts5mUsage of Walk Forward Optimisation5mConcept of Walk Forward Optimisation5mApplication of Mean-Variance on Data5mAdvantage of Walk Forward Optimisation5mWalk Forward Optimisation with Fixed Window2mSignificance of Fixed Window5mAssignment of Weights5mRecalculation of Optimal Weights5mPortfolio Return Calculations5mIncrease in Fixed Window Size5mPerformance of Asset and Optimisation Process5mFAQ2m
Application of Mean-Variance in Portfolio
You have understood the mean-variance ratio for the calculation of optimal portfolio weights. You also saw how walk-forward optimisation can use a major part of the dataset for training without running into biases. Now, you will apply all your knowledge and create your very own mean-variance-based optimised portfolio.How to Use Jupyter Notebook?1m 54sOptimise Weights in Portfolio5mCalculate Daily Portfolio Returns5mCalculate Negative Sharpe Ratio5mCall Minimize Function5mCall Get Optimal Weights Function5mCalculate Sum of Weights for a Particular Day5mPart Summary2mAdditional Reading2mFrequently Asked Questions2m- Different Types of PortfolioIn this section, you will create different types of portfolios considering the short and long components of the portfolio. You will also see how leverage impacts the portfolio returns.Different Types of Portfolio2mOptimisation Method for Portfolio Management5mImprovement of Portfolio Returns5mAddition to Portfolio Returns5mBuild and Optimise Long Short Portfolios5mSummary of Mean-Variance Optimised Portfolio2mAdditional Reading2mFAQ2mTest on Mean-Variance Optimised Portfolio16m
AI for Portfolio Optimisation
Until now, we implemented portfolio optimisation using the mean-variance method, which is a traditional portfolio optimisation method. Are there any other ways to optimise the portfolio? In this section, we will explore the concept of artificial intelligence and how it can be used for portfolio optimisation.AI for Portfolio Optimisation2m 15sAdvantage of Using Artificial Intelligence5mInformative Features5mCapturing Market Movements5mDistribution of Asset Returns5mTemporal Aspects of Financial Data5mArtificial Intelligence2m 12sGoal of Artificial Intelligence5mSelf-Driving Cars5mVoice Assistants5mAI-Driven Portfolio Management Systems5mCategories of AI Models5mAdditional Reading on AI for Portfolio Optimisation2m- Artificial Neural NetworksIn this section, we explain the architecture of artificial neural network and its key components like neurons, activation functions and optimisers.ANN Architecture2mRole of Activation Functions5mPurpose of Weights5mLearning Process5mNeural Network Optimizer5mPortfolio Optimization - ANN5mActivation Functions2mOptimizers2mDrawback of ANN2mTest on AI for Portfolio Optimisation and ANN14m
- Long Short-Term Memory For Portfolio OptimisationIntroduction of Long Short-Term Memory(LSTM) neural network for application in portfolio management. This section covers the differences between ANN and LSTM.Differences Between ANN and LSTM3m 04sANN for Portfolio Optimisation5mMemory Cells of LSTM Networks5mLSTM vs ANN for Time Series Data5mStructural Differences Between ANN and LSTM Networks5mLSTM for Portfolio Optimisation5mFAQs on Long Short-Term Memory For Portfolio Optimisation2mAdditional Reading for Long Short-Term Memory For Portfolio Optimisation2m
Set Up LSTM Network for Portfolio Optimisation
This section covers the concepts used to create an LSTM network and structure the network for portfolio optimisation.How to Set Up the LSTM Network?2mSetting Up LSTM for Portfolio Optimisation5mBatch Size in LSTM Networks5mInput Data Dimensions in LSTM Networks5mLoss Function in LSTM Networks5mCustomised Loss Function5mLSTM for Portfolio Weights Optimisation5mDetermining Optimal Output Node Size in LSTM Input Layer5mDefining Input Shape for Time Series Data in LSTM5mUnderstanding the 'Sequential' Function in LSTM Model Syntax5mPurpose of the Output Layer in Neural Networks and LSTM5mDetermining Output Layer Size in the LSTM Model5mChoosing 'Softmax' for LSTM Output Layer Activation5mFunctionality of Softmax in Normalising LSTM Output Layer5mBenefits of Softmax in Determining Portfolio Weights5mDefault Activation Function in LSTM Output Layer5mUpdating LSTM Model with a New Layer: Keras Syntax5m- LSTM implementation for Portfolio optimisationThis section covers the implementation of LSTM neural networks for portfolio optimization. In addition to a detailed explanation on how to set up an LSTM network, this section also contains the Python implementation of LSTM for Portfolio Optimization.Implementing LSTM for Portfolio Weights Optimisation5mCreate the Features Data5mInitialising the Model Class5mAssigning Upper Limit for Weights5mFAQs on LSTM Implementation For Portfolio Optimisation2mAdditional Reading on LSTM implementation for Portfolio Optimisation2m
- Live Trading on IBridgePyIn this section, you would go through the different processes and API methods to build your own trading strategy for the live markets, and take it live as well.Uninterrupted Learning Journey with Quantra2mSection Overview2m 2sLive Trading Overview2m 41sVectorised vs Event Driven2mProcess in Live Trading2mReal-Time Data Source2mCode Structure2m 15sAPI Methods10mSchedule Strategy Logic2mFetch Historical Data2mPlace Orders2mIBridgePy Course Link10mAdditional Reading10mFrequently Asked Questions10m
- Paper and Live TradingTo make sure that you can use your learning from the course in the live markets, a live trading template has been created which can be used to paper trade and analyse its performance. This template can be used as a starting point to create your very own unique trading strategy.Template Documentation10mTemplate Code File2m
Walk Forward Optimisation With LSTM
This section covers the implementation of walk forward optimisation, a way to realistically understand the performance of the portfolio in the history. The complete implementation of walk forward optimisation along with quiz questions is covered in this question.- Hyperparameter SweepThis section covers the concepts of hyperparameter sweep and how it is used to select the hyperparameters of LSTM implementation for portfolio optimisation along with walk forward optimisation.Hyperparameter Sweep2mUnderstanding Hyperparameters in LSTM for Portfolio Optimisation5mRight Analogy for Hyperparameters5mUnderstanding the Hyperparameter Sweep Process5mPurpose of Hyperparameter Sweep in Portfolio Optimisation5mTerm for Trying Different Hyperparameter Combinations5mHyperparameter Sweep of LSTM and Walk Forward Optimisation5mFunction to Optimise During Hyperparameter Sweep5mSelecting the Best Hyperparameters5mTest on Building LSTM Model for Portfolio Management14mFAQs on Hyperparameter Sweep2mAdditional Reading on Hyperparameter Sweep2m
- Capstone Project-1In this section, you will apply the knowledge you have gained in the course so far. You will pick up a capstone project where you create a custom loss function for the LSTM model to calculate optimum weights for the assets in the portfolio.Getting Started With Capstone Project2mProblem Statement2mCode Template and Data2mCapstone Solution2m
- Building Long-Short LSTMBy now you already know how to build an LSTM model to optimise a long-only portfolio. In this section, we will take things up a notch by modifying the existing LSTM model such that it can optimise a long/short portfolio.LSTM for Long-Short Portfolio: An Overview2mGetting Weights for Long-Short Portfolio2mIssue with the Existing Model5mIdentify the Modification5mNet Weights5mPositive Net Weights5mNumber of Weights5mIdentify Long Positions5mModifications to LSTM2mIdentify the Modifications5mWeights for Four Assets5mNumber of Weights for Long/Short Portfolio5mDual Weights5mRole of Net Weights5mCalculation of Sharpe Ratio5mAdjusting the Weights5mFinal Output5mCore Goal of the Model5mOptimisation Process5m
- Implementing LSTM for Long-Short PortfolioThis section covers the Python implementation of the new LSTM model. In this section, you will learn how to make modifications to the long-only LSTM model and calculate weights for a long-short portfolio. You will also assess the results of the long-short optimised portfolio against the benchmark portfolio.Build the Model2mLSTM Model for Long-Short Portfolio5mLong Side of the Portfolio5mDifference between Long and Short Side5mBuilding the Model5mPortfolio Optimisation for Tech Stocks5mIdentify the Net Weights5mIdentify the Sharpe Ratio5mAdditional Reading on LSTM for Long/Short Portfolio Optimisation2mFAQs on LSTM for Long/Short Portfolio2mTest on LSTM for Long-Short Portfolio10m
- Capstone Project - 2In this section, you will apply the concepts learned in the past two sections. This project requires you to create an optimised long-short portfolio using the new LSTM model. But this time you will create a portfolio with a diversified range of assets instead of just stocks.Problem Statement2mCode Template and Data Files2mCapstone Project Model Solution5mCapstone Solution Downloadable2m
- Increasing the Features in the LSTM ModelIn this section, you will add some additional features to the existing LSTM model and create a long/short portfolio of tech stocks.Increasing the Features in the LSTM Model5mModel Architecture5mData Splitting5mFeature Creation5mFeature Significance5mRandom Seed Usage5m
- Run Codes Locally on Your MachineLearn to install the Python environment in your local machine.Python Installation Overview2m 18sFlow Diagram10mInstall Anaconda on Windows10mInstall Anaconda on Mac10mKnow your Current Environment2mTroubleshooting Anaconda Installation Problems10mCreating a Python Environment10mChanging Environments2mQuantra Environment2mTroubleshooting Tips For Setting Up Environment10mHow to Run Files in Downloadable Section?10mTroubleshooting For Running Files in Downloadable Section10m
- Summary and Next StepsIn this section, you will summarise the key concepts covered in the course and what you can do further in the realm of algo trading using AI.Summary and Next Steps2mNext Steps2mPython Codes and Data2m
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Faqs
- Are there any webinars, live or classroom sessions available in the course?
No, there are no live or classroom sessions in the course. You can ask your queries on community and get responses from fellow learners and faculty members
- Is there any support available after I purchase the course?
Yes, you can ask your queries related to the course on the community: https://quantra.quantinsti.com/community
- What are the system requirements to do this course?
Fast-speed internet connection and a browser application is required for this course. For the best experience, use Chrome.
- What is the admission criteria?
There is no admission criterion. You are recommended to go through the prerequisites section, be aware of skill sets gained and to learn the most from the course.
- Is there a refund available?
We respect your time, and hence, we offer concise but effective short-term courses created under professional guidance. We try to offer the most value within the shortest time. There are a few courses on Quantra which are free of cost. Please check the price of the course before enrolling in it. Once a purchase is made, we offer complete course content. For paid courses, we follow a 'no refund' policy.
- Is the course downloadable?
Some of the course material is downloadable such as Python notebooks with strategy codes. We also guide you to use these codes on your own system for you to practice further.
- Can the Python strategies provided in the course be used immediately for trading?
We focus on teaching about quantitative and machine learning techniques and how learners can use them for developing their own strategies. You may or may not be able to directly use them in your own system. Please do note that we are not advising or offering any trading/investment services. The strategies are used for learning & understanding purposes and we do not take any responsibility for the performance or any profit or losses that using these techniques results in.
- Are you using real time Stock market data in the course?
No. We do not take examples from 'real time data', but you shall be learning to code through historical data. Please do note that there is a section at the end that will guide you on how to automate for real time live trading. You can get more detailed learning on how to automate trading strategies through our free course, 'Automated trading with IBridgePy using Interactive Brokers Platform'.
- Will I be getting a certificate post the completion of the programme?
Yes, you will get a certificate for each course separately within a few hours of completion of the course. The certificates are downloadable from your account tab "My Certificates".
- What does "lifetime access" mean?
Lifetime access means that once you enroll in the course, you will have unlimited access to all course materials, including videos, resources, readings, and other learning materials for as long as the course remains available online. There are no time limits or expiration dates on your access, allowing you to learn at your own pace and revisit the content whenever you need it, even after you've completed the course. It's important to note that "lifetime" refers to the lifetime of the course itself—if the platform or course is discontinued for any reason, we will inform you in advance. This will allow you enough time to download or access any course materials you need for future use.
- Is Python an essential skill for automated trading for beginners?
Python is not strictly essential for beginners in automated trading, but it is highly recommended. Here’s why:
Ease of Learning: Python has a beginner-friendly syntax, making it accessible even for those new to programming.
Versatility: Python is widely used in the finance industry for tasks like backtesting, data analysis, and building trading algorithms. Libraries like Pandas, NumPy, and TA-Lib make it easy to analyse financial data
Extensive Community Support: Python's popularity means a vast amount of tutorials, forums, and resources are available for troubleshooting and learning.
Integration with Broker APIs: Many brokers and trading platforms offer APIs with Python support, enabling seamless integration for order execution and real-time data analysis.