How can I play a mp4 movie using Moviepy and Pygame

First: you can use

import moviepy

print(moviepy.__file__)

to find source code and see how it works.

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After searching in source code you will see that it uses pygame to display it and you can try to use pygame function set_caption() to change title.

from moviepy.editor import *
import pygame

pygame.display.set_caption('Hello World!')

clip = VideoFileClip('video.mp4')
clip.preview()

pygame.quit()

Have you tried converting from mp4 to the .mpg file format (MPEG-1 video, MPEG-1 Audio Layer III (MP3) sound) using ffmpeg video conversion program (http://ffmpeg.org/):

ffmpeg -i <infile> -vcodec mpeg1video -acodec libmp3lame -intra <outfile.mpg>

(Pygame can playback video and audio from basic encoded MPEG-1 video files)