Skills you'll learn:

Momentum-Based Trading
Course
In this course, learners will explore how to design, backtest, and optimize a working momentum-based ML trading strategy.
In this course, learners will explore how to design, backtest, and optimize a working momentum-based ML trading strategy.
Advanced
3 weeks
Last Updated November 16, 2024
Prerequisites:
Advanced
3 weeks
Last Updated November 16, 2024
Skills you'll learn:
Prerequisites:
Course Lessons
Lesson 1
What is Momentum-Based Trading
Normal distribution and geometric Brownian motion are key to momentum trading. Shapiro-Wilk’s and Student’s t-tests are useful statistical tools for developing momentum-based trading strategies.
Lesson 2
Identifying and Extracting Momentum Features
Explore geometric Brownian motion for stock price modeling, calibration, forecasting, and confidence intervals, followed by deriving and coding the Black-Scholes formula for European option pricing.
Lesson 3
Constructing a Momentum Trading Model
Building a momentum-based trading program using MySQL/SQLite, Python, and geometric Brownian motion for price forecasting, confidence intervals, and Monte-Carlo simulation for scenario analysis.
Lesson 4
Backtesting and Optimization Techniques
The lesson covers back-testing momentum strategies, evaluating with Sharpe ratio and maximum drawdown, and quantitative risk management using Value-at-Risk (VaR) and Expected Shortfall (ES) in Python.
Lesson 5 • Project
Project: Build a Momentum-Based Algorithmic Trading Program
Build a momentum-based strategy to trade the S&P 500 index. You can later expand and customize you project to suit your needs. You will use the Python packages numpy, scipy and sqlite3, among others.
Taught By The Best

Xiaolei Xie
Senior Quant Modeler at London Stock Exchange Group
Xiaolei Xie is a senior quant modeler at London Stock Exchange Group. He has worked on various areas of financial mathematics, statistics and algorithmic trading, such as stochastic differential equations, time series models, quantitative risk management, etc. He has years of experience in Python and C++ programming.
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