This repository contains the following 3 files:

PMP Risk Contribution Table.ipynb

This code intends to calculate the marginal risk contribution of our portfolio. The majority of the effort is put on data cleaning from the excel file provided by our broker, IBKR.

Momentum Trading (ETFs).ipynb

We select 35 ETFs as our stock universe to put into the momentum process. The hyperparameters come from the backtesting result. After we have the winners, we equally invest them on a risk contribution basis.

Momentum Strategy Backtesting.ipynb

Fictionalize most of the tasks enable us to do the proper backtesting.