Open AmritSd opened 1 year ago
Price data for just a single stock: (with sorted dates)
Daily fama-french factors with lags
An array of trades made. Empty if none were made.
Each trade will be a dict. containing the following fields:
The program accounts for delistings
See last trade
Make function that will, when passed data for an individual stock, track it's 30, 90, and 180 day return whenever it dips below a certain threshold. Also incorporate the ability to make a long-short portfolio that shorts the fama-french factors before buying the stock.
Implemented in strategy/one_stock.ipynb