Alex Papa 23/07/2019

FILES NOT INCLUDED (Confidentiality Reasons)

• database.db -sqlite
• raw Excel Data

Should work with Yahoo Finance price data with modifications

• DATA WRANGLING

  • toolbox.py

    • Contains all main functions for building momentum factor.

  • initial_wrangler.py

    • Wrangles excel spreadsheet data to clean raw data
    • Uses functions from toolbox.py
    • Stores/retrieves information for sql 'database'

• MOMENTUM INDICATOR
  • main.py
    • script that builds the Momentum Indicator
    • uses functions from toolbox
    • Structures Dataset into desired format
    • Calculates Compounded Returns for entire Index and by week
    • Calculates Compounded Returns by Company by week
    • Calculates Z-Scores for each window by Company and by week
    • Generates Company Scores
    • CALCULATE AVG & STD OF COMPANY AVG_Z_SCORE
    • CALCULATE Z-SCORES 2# FOR EACH COMPANY BY WEEK
    • FOR EACH WEEK ASSIGN COMPANY TO QUINTILE ACCORDING TO Z-SCORE
    • Generates Compounded Returns by Quintile and create Quintile Indices
    • CALCULATES COMPOUNDED RETURNS BY WEEK FOR EACH QUINTILE
    • Generates Relative Compounded Quintile Returns

• DASHBOARD VISUALISATION

  • app.py
    • script that creates interactive web-based plots
    • using Plotly Dash (Python)
    • For increased efficiency call data from database.db

  ---

• Various materials from intership at Barings London

S1

• ...
  • ...

S2

• ...
  • ...

• ...
  • ...