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Planned events dates in Q
joe lee
posted
Using Data Risk Management

In my statistical arb strategy , I dont want one leg to change dramtically , so I want to avoid KNOWN volatility risks, basically I want to keep it safe and just stay in cash during short periods with risks. For example - why not get out of stocks before Quarterly revenue announcements and then get back the day after if still relevant.

for that , I need to balance my universe before or after major events such - Fed's announcements, Quarterly revenue announcements fro specific stock and more.

Is there fetcher to bring this data of events and the date they are to occur?

2 responses
Grant Kiehne

Hi Joe,

I'm not sure about fetcher, but you could simply paste in the information at the bottom of the algo code. For backtesting, this would work fine. For live trading, you'd need to stop the algo to update it, and then re-start.

Grant

Alisa Deychman

Joe, we recently released the Quantopian store with over 20 different datasets. Among them is earnings call from EventVestor. This should get you closer: https://www.quantopian.com/store/eventvestor/earnings_calendar

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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.