Function to identify and buy stocks that dip below a certain threshold

[AmritSd]

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

[AmritSd]

Expected input:

Price data for just a single stock: (with sorted dates)

Daily fama-french factors with lags

Expected output:

An array of trades made. Empty if none were made.

Each trade will be a dict. containing the following fields:

• permno
• cusip
• start_date
• returns : {30: 30_day_ret, 90: 90_day_ret, 180: 180_day_ret}
• alphas : {30: 30_day_alpha, 90: 90_day_alpha, 180: 180_day_alpha}
• ownership_perc

[AmritSd]

The program accounts for delistings

See last trade