How to beat the Market. Momentum and Portfolio Optimization
This video is a quick demonstration how to get a good investment result using the simple strategy. With few portfolio optimization methods we can achieve higher return and risk metrics better than investment in index.
00:00 Intro
00:22 Momentum and Momentum of Return
01:05 Momentum as the Difference between Price and Trend
01:27 Implementation
02:15 Back testing results
02:45 Configuration for portfolio optimization
03:22 Results
Code: https://github.com/CloseToAlgoTrading...
Please look at .^/research/Momentum_Portfolio_Optimization
PyPortfolioOpt: https://pyportfolioopt.readthedocs.io...