2011Fall7646 Project 1
This is the first major assignment of the semester. You will conduct your own event study. Your task is to design an "event" and test whether it is predictive of stock performance.
Do an "svn up" to make sure you have the latest copy of the software. Then take a look in the directory qstkstudy. Here's an overview of the files there:
- study.py Code that orchestrates an event study, You will need to revise this code for this project.
- Events.py Code that finds events. You will need to modify this code to define your own events.
- EventProfier.py This is provided code that does the analysis and creates plots for you.
- symbol-set1.txt, symbol-set2.txt: Two data files that contain lists of symbols for you to test your event study on.
- For the "below $1" event use the date range: (2008,1,1) to (2009,12,31). For your own event you can use whatever date range you like.
- Copy Events.py to to Dollar.py and revise it so that it will find events where the actual price dips below $1.00. The code is currently written to find only when ADJUSTED price goes below $1.00. Hint: Use "adjusted_close" instead of "close."
- Copy study.py to dollarstudy.py and revise it so that it reads in and used the symbols in symbol-set1.txt instead of the default small number of symbols in the current program. Also make sure it calls Dollar.py instead of Events.py to find events.
- Make additional copies of Events.py and study.py (to MyEvents.py and mystudy.py). And revise them to implement YOUR OWN event type. Run it on symbol-set2.txt
- Create a 1 page report (in PDF) that describes your event and why it works or doesn't work. The report should include:
- A succinct description of your event logic. The description should be complete enough that someone could reproduce your approach.
- An assessment of whether the event is predictive or not.
- If it is predictive, how would you use it in a trading strategy? Describe trade entry and exit logic. How much return would you expect on each trade?
Submit these files:
- Dollar.pdf a PDF showing the plot output looking for the $1.00 event.
- MyStudy.pdf a PDF showing the plot for your event.
How to submit
Go to the t-square site for the class, then click on the "assignments" tab. Click on "add attachment" to add your files. Once you are sure you've added the files, click "submit."