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There is more than one way to get data
Numpy Strategies 0.0.1
Happy Halloween, everybody! So the plan for today is
Get as much historical data as possible.
Filter the data with a market scanner.
Profit!!!
Data retrieval
This week I had fun retrieving data with Perl. The script I made, reads a file with [...]
Portfolio analysis with Pandas for the win
Numpy Strategies 0.0.2
I saw a PyCon presentation about pandas. Pandas is a data analysis Python library, which works with timeseries data and handles missing data automatically. It is based on NumPy and should work well together with for instance scikits.statsmodels. [...]
Big drops in stock price explained
Numpy Strategies 0.0.3
It’s all about gravity. The same thing that happens, when Wilie E. Coyote runs too far off a cliff. On the menu for today is:
Try out a new screener and portfolio.
Gravity calculations.
Profit!
Big drops screener
The screener selects statistically big [...]
Jarque Bera, the CAPM and undervalued stocks
Numpy Strategies 0.0.4
The Capital Asset Pricing Model ( CAPM ) links the expected return of assets to their risk. A linear fit of this relationship gives us the so called Security Market Line ( SML ). One of the problems [...]
Stock selection with the mad CAPM and liquidity filtering
Numpy Strategies 0.0.5
The Capital Asset Pricing Model ( CAPM ) usually uses variance or standard deviation as a risk metric. I invented a slight modification of the model, which I call the mad CAPM ( well OK maybe I did [...]
Random walks get you nowhere
Numpy Strategies 0.0.6
Well, you might bump into a wall repeatedly or get hit by a car. The best you can do is get pretty close to your desired destination. So I made some random walk simulations using a trinomial model [...]
How skewed are the prices of stocks?
Numpy Strategies 0.0.7
The 3 moment CAPM takes into account the mean, variance and skewness of asset returns. An investor prefers high positive skewness and low risk, because this corresponds to higher returns. I also did an experiment with fractional Brownian [...]
Stock returns entropy, the CAPM and target practice
Numpy Strategies 0.0.8
Entropy is a measure of uncertainty and therefore risk. So I attempted to replace the variance of stock returns in the CAPM with entropy. I also tried to save some pennies by “shooting” below the open price on [...]
How to optimize maximum drawdowns of stock returns
Numpy Strategies 0.0.9
Merry Xmas everybody. If you don’t celebrate Xmas, don’t worry, you are not missing that much. Maximum drawdown is defined as the maximum decline from a historical peak. Obviously, this is a measure of risk as well. So [...]
What is the optimal holding period for shares?
Numpy Strategies 0.1.0
Happy New Year! So I was collecting evidence for my prediction of the gold bubble bursting early in 2011 and I found this article. Very short summary – 14 June 2011. What do I think? I think this [...]
