This course, offered by the Indian School of Business, delves into the scientific ways of back testing trading strategies without succumbing to biases. Participants will learn to differentiate between data mining and results based on empirical or theoretical foundations. The course emphasizes building a robust back testing system and subjecting the results to stress tests. Additionally, it covers the incorporation of transaction costs and frictions in the algorithm, as well as techniques for measuring a strategy's performance and risk-adjusted returns.
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The course modules cover various trading strategies such as Accruals, Betting against Beta, Momentum & Momentum Crashes, and G Score. Each module provides in-depth insights into the strategies and their practical applications.
Accruals module introduces the concept, calculation, and ratios related to Accruals. Participants will learn about the strategy and its implications, including the impact on stock prices and future earnings. The module concludes with an insightful quiz.
The Betting against Beta module provides an introduction to the concept and its application in the CAPM framework. Participants will understand the strategy and its implications, followed by a comprehensive quiz and practice quiz for reinforcement.
The Momentum & Momentum Crashes module covers the introduction to momentum, lookback period, strategy, and returns. Additionally, it delves into momentum crashes, options primer, abstract, and strategy implications. The module concludes with an engaging quiz.
The G Score module provides a background on the concept, economic intuition, strategy, and a numerical example. Participants will learn to separate winners from losers among low book-to-market stocks using financial statement analysis. The module includes two quizzes for assessment and reinforcement.
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