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.