Introduction to the Turn of the Month Trading Strategy with EODHD APIs Google Sheets add-in

Описание: 0:10 - Introduction to ‪@Quantpedia‬ and its goal of providing inspiration for new trading strategies and ideas

00:35 - Explanation of how ‪@Quantpedia‬ works, including the process of scanning academic research for interesting trading strategies and categorizing them

00:50 - Overview of the ‪@Quantpedia‬ database, which consists of nearly 800 trading strategies that can be screened for new ideas

1:35 - Introduction to the "Turn of the Month" trading strategy, which focuses on the higher probability of U.S. equities performing well around the end of the month and the beginning of the new month

2:23 - Introduction to EODHD.com as a provider of historical and financial data APIs and the demonstration of using the Google Sheets add-in to access data for backtesting

3:35 - Explanation of how to perform a backtest for the "Turn of the Month" strategy using the adjusted close data set from EODHD.com

4:38 - Analysis of the backtest results for the "Turn of the Month" strategy, including the overall performance, drawdown, and performance-to-drawdown ratio

5:18 - Identification of the specific days within the "Turn of the Month" period and their significance for the strategy

6:06 - Comparison of the performance between holding equities throughout the entire "Turn of the Month" period and only on the first day of the month

6:41 - Introduction of the idea of applying leverage to the strategy and the importance of identifying the days with the highest probability of positive performance

7:49 - Explanation of how to apply a momentum filter to the strategy and combine it with the internal demand signal

8:22 - Introduction of a rule that combines the performance of the internal demand signal with the previous day's momentum to determine whether to hold the SPY ETF

9:29 - Comparison of the performance when applying the momentum filter to the entire "Turn of the Month" period versus only the first day of the month

10:06 - Discussion of leveraging options, including using the SSO ETF to obtain leverage for the trading strategy

11:20 - Demonstration of applying leverage to the strategy using the EOD Historical Data plugin in Google Sheets

12:13 - Calculation of the performance for the "Turn of the Month" strategy with leverage and comparison against the SPY benchmark

13:25 - Introduction of the final rules for the strategy, which involve holding the SSO ETF on the first day of the month based on the momentum filter and the previous 20-day performance of the SPY ETF