sample_inputs: Sample security inputs for examples and testing

In strand: A Framework for Investment Strategy Simulation

Description

A dataset containing sample security input data for 492 securities and 65 weekdays, from 2020-06-01 to 2020-08-31. Data items include average trading dollar volume, market cap, and normalized size and value factors. The pricing data used to construct the dataset was downloaded using the Tiingo Stock API and is used with permission. Fundamental data items were downloaded from EDGAR.

Usage

data(sample_inputs)

Format

A data frame with 31980 rows and 7 variables:

date

Input date. It is assumed that the input data for day X is known at the beginning of day X (e.g., the data is as-of the previous day's close).

id

Security identifier.

rc_vol

Average dollar trading volume for the security over the past 20 trading days.

market_cap

Market capitalization, in dollars. The shares outstanding value used to calculate market cap is the latest value available at the beginning of the month.

book_to_price

Ratio of total equity to market cap. The stockholders' equity value used to calculate book to price is the latest value available at the beginning of the month.

size

Market cap factor normalized to be N(0,1) for each day.

value

Book to price factor normalized to be N(0,1) for each day.

Details

Data for most members of the S&P 500 are present. Some securities have been omitted due to data processing complexities. For example, securities for companies with multiple share classes have been omitted in the current version.

Values for shares outstanding and stockholders' equity downloaded from EDGAR may be inaccurate due to XBRL parsing issues.

Full code for reconstructing the dataset can be found in the pystrand repository.

strand documentation built on Nov. 20, 2020, 1:08 a.m.