YAHOO and FETCH : comparing Q and Y for 12-mth rolling return

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YAHOO and FETCH : comparing Q and Y for 12-mth rolling return

Florent Chandelier

posted

Hi,
This is a short script to add to the few posts that demonstrated how to use yahoo 'dividend and split adjusted' prices as data to be managed through Q to generate signals.

I have elected to take rate of return as the example, actually a 12-month rolling mean (I think it has value for an investor). It's also valuable for anyone calculating sharpe ratio for example.

I have plugged in 3 instruments for you to investigate: (1) with dividends only, (2) with split only and (3) without div and split ... and wrapped it with few lines to automate the creation of Yahoo url based on Q Symbol()

I'm looking forward to your conlcusions:

Nothing is perfect. For (2), BRK_B has only one split event ... and definitely see that it creates some issues around those dates, but the rest is fine. For (3), there are some punctual discrepancies which demonstrates the difference between Y and Q data. For (1) ... well it all depends on the period used for the rate of return but there is a big difference.

HTH

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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.