I have recently acquired a 367MB text file containing historical stock data. The file contains information that is useful for this project. It contains price data and S&P 500 membership data. My current task is to preprocess this text file so that I can get something usable by my Portsim software. Several problems with the […]
In my most recent code commit, I have made some general fixes to the code made some important additions. I have added the SimPlot.m file to the project which currently contains some basic plotting code, but eventually will contain all of the code related to plotting statistics and data from the simulation. Below you will […]
All stocks will be affected by the same market factor F. Each stock will have its own R value which will determine the price of the stock. annualized return of the market factor, individual stock annualized volatility of the market factor, individual stock standard normal random numbers stock dependence on the market length of time […]
Up to now I have simply been generating random numbers within a bound, such as 10-50, to use as stock price data. My most recent work has been to try and generate numbers that more accurately represent stock price data. To do so, I split the process of generating prices into multiple parts. For each […]
Some simple summary and performance statistics have been added to the software. Here’s a list of new additions: Maximum Drawdown – Percentage difference between the peak and trough of an investment Annual Cumulative Rate of Return – Sum of day by day returns on the original investment over a trading year (trading year is approximately […]
One portfolio construction constraint I plan on using myself is to construct portfolios using only stocks from S&P 500 companies. This is not very difficult to implement when working with real data. Simply construct a binary matrix with rows equal to the number of time periods and columns equal to the number of stocks. Then […]
