Alpha Research and Factor Modeling

Udacity - AI for Trading Nanodegree Program

Project Overview

Build a statistical risk model using PCA.
Use this model to build a portfolio along with 5 alpha factors.
Evaluate the factors using factor-weighted returns, quantile analysis, sharpe ratio, and turnover analysis.
Optimize the portfolio using the risk model and factors using multiple optimization formulations.

For the dataset, the end of day from Quotemedia and sector data from Sharadar are used.

Name		Name	Last commit message	Last commit date
Latest commit History 6 Commits
data		data
.gitattributes		.gitattributes
.gitignore		.gitignore
README.md		README.md
project_4_starter.ipynb		project_4_starter.ipynb
project_helper.py		project_helper.py
project_tests.py		project_tests.py
requirements.txt		requirements.txt
tests.py		tests.py