Adding a video to a shopify product page without using YouTube was a hard task but with this technique it only takes few seconds to add a video.
Please refer this video and i hope it will be easier for you!
Here is the code :
<video controls="controls" style="max-width: 100%; height: auto;"><source src="your_url_goes_here" type="video/mp4" />
Your browser does not support our video.
</video>