I would love to be able to calculate ratios over an entire exchange. For example the AD ratio and volume ratios at http://eoddata.com/stockquote/INDEX/ADRN.htm I can get the AD ratios for the main stockmarkets and that would help building momentum algo's. Any chance we can get this data or that Quantopian could calculate these ratios from the current data sources.
Hey Peter, take a look at this thread to calculate the ratios from the existing data: https://www.quantopian.com/posts/advance-decline-statistics
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Hi Alisa, the problem is the limits that Q has. for the AD data of the S&P500 I need the price data of 500 stocks.... for the Russel2000 I need a bit more. That can't be done in minute mode and that is the only thing I can trade with...I tried Fundamental but I don't have price data in the Query. Any other idea? (except Q calculating the data?)
Ah, that will be possible with the upcoming API changes: https://www.quantopian.com/posts/how-to-build-a-stat-arb-strategy-on-quantopian
Stay tuned!
Disclaimer
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.