Trading with Momentum

Resample Adjusted Prices

The function resample_prices computes the monthly prices.

Compute Log Returns

The function compute_log_returns computes the log returns from the prices.

Shift Returns

The function shift_returns computes the shifted returns.

Generate Trading Signal

The function get_top_n selects the top_n number of the top performing stocks.

Projected Returns

The function portfolio_returns calculates the projected returns.

T-Test

The function analyze_alpha calculates the t-value and p-value.

Question: What p-value did you observe? And what does that indicate about your signal?

The student correctly identifies the p-value they got. The student indicates what the p-value indicates about their signal.