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- Level Professional
- Duration 11 hours
- Course by Indian School of Business
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Offered by
About
This course will provide back test results for all the strategies in developed and emerging markets. The learner will also be taught scientific ways of back testing without succumbing to either look ahead (or) survival bias. You will learn various methods of building a robust back testing system for the strategies discussed in the previous course. You will be taught how to differentiate between mere data mining and results based on solid empirical or theoretical foundation. Next, you will learn the ways and means of back testing the results and subjecting the back test results to stress tests. After which, you will learn the various ways in which transaction costs and other frictions could be incorporated in the back testing algorithm. Finally, you will learn techniques for measuring a strategies' performance and the concept of risk adjusted return. You will use some of the famous measures for risk adjusted returns such as Sharpe ratio, Treynor's Ratio and Jenson's Alpha. You will see how to pick an appropriate benchmark for a proposed fund.Modules
Additional Material
-
1
Readings
1
Readings
- Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?
Video Lectures
-
4
Videos
4
Videos
- Accruals - Introduction
- Accruals - Calculation
- Accruals - Ratios
- Accruals - Strategy
Assessments
-
1
Assignment
1
Assignment
- Quiz 1
Video Lectures
-
3
Videos
3
Videos
- Betting against Beta - Introduction
- Betting against Beta - CAPM
- Betting against Beta - Strategy
Additional Material
-
1
Readings
1
Readings
- Betting Against Beta
Assessments
-
2
Assignment
2
Assignment
- Practice Quiz
- Quiz 2
Video Lectures - Momentum
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4
Videos
4
Videos
- Momentum - Introduction
- Momentum - Lookback period
- Momentum - Strategy
- Momentum - Returns
Video Lectures - Momentum Crashes
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5
Videos
5
Videos
- Momentum crashes - Introduction
- Momentum crashes - Options primer 1
- Momentum crashes - Options primer 2
- Momentum crashes - Abstract
- Momentum crashes - Strategy
Additional Material
-
1
Readings
1
Readings
- Momentum
Assessments
-
1
Assignment
1
Assignment
- Quiz 3
Video Lectures
-
5
Videos
5
Videos
- G Score - Back Ground
- G Score - Economic Intuition
- G Score - Strategy
- G Score - Numerical Example
- G Score - Closure
Additional Material
-
1
Readings
1
Readings
- Separating Winners from Losers among Low Book-to-Market Stocks using Financial Statement Analysis
Course Closure
-
1
Videos
1
Videos
- Closure
Assessments
-
2
Assignment
2
Assignment
- Practice Quiz
- Quiz 4
Auto Summary
Explore the intricacies of Advanced Trading Algorithms in this professional-level Business & Management course by Coursera. Over 660 minutes, you’ll master back testing strategies, differentiate data mining from empirical results, and incorporate transaction costs. Learn to measure performance using Sharpe ratio, Treynor's Ratio, and Jenson's Alpha. Ideal for professionals, with Starter, Professional, and Paid subscription options.
Prasanna Tantri