Faulty data for JCI daily returns?

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Faulty data for JCI daily returns?

posted Oct 22, 2018

Seeking Help Using Data

I'm getting daily returns for top 500 US stocks for a period in 2016:

from quantopian.pipeline.filters import Q500US  
base_universe = Q500US()

def make_pipeline():  
    returns = Returns(window_length=2)  
    pricing = USEquityPricing.close.latest  
    return Pipeline(  
        columns={  
            'daily_returns': returns,  
            'daily_pricing': pricing  
        },  
        screen=base_universe  
    )

period_start = '2016-7-11'  
period_end = '2016-8-11'

# pipeline execution: get daily returns over selected period  
data_output = run_pipeline(  
    make_pipeline(),  
    start_date=period_start,  
    end_date=period_end  
)

There are 24 trading days in that period. However, when I iterate through the data, I see the JCI stock has 48 days in this period. The vast majority of stocks have 24 obviously, and a few have less (presumably due to being removed from the universe during the given period).

Is JCI's data faulty? Or am I missing something?

Thanks
Jovan

2 responses

Kinda an anomaly. You are really seeing data for Johnson Controls and Tyco. They merged on 9-6-2016. Before that they traded under separate symbols JCI and TYC. If you look at the SID rather than the stock symbol you will see separate securities (SIDs 4117, 7679).

Attached is a notebook that shows this.

I see. Thanks for the explanation. I'll keep that in mind then.

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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.