Hi all,
I am financial professional I have never traded outside of simple fidelity brokerage and 401k funds/etfs. I however am very interested in playing around with the historical stock market data set. I’m not taking about individual company fundamental research but rather factor research at the market level. I want to be able to see the entire data set of publicly traded stocks with all associated data, (multiples, std dev, beta, sharpe etc.. etc etc etc, as well as monthly returns. ) as well as all technicals .
I want to be able to sort by this thing and then filter for the other thing. See what happens if I take the the highest xyz multiple stocks and then filter for only ones who have x% earnings growth over the last Z years, and then sort the resulting pool by blah blah blah.
I want to make hypotheses about technical trading strategies and then back test them. To get more on the weeds, I want to run regressions of returns against various random factors just as an act of learning and exploration of buy and hold quantitative strategy development . I know how to do regressions on excel but what I don’t know is how to find all the historical data that I want.
I just want to be able to fully explore all the available data, both technical and fundamental, for the entire market, in an excel style worksheet, and use it to come up with hypothetical strategies, for fun, and maybe in the future for more.
Then I would also like to backtest the strategies that I come up with as a learning tool.
I am a CFA so I have the knowledge and expertise to work with and understand the data but I don’t know how to actually source the data and what the proper tools are for doing this type of work.
Like, say I wanted to start a quant shop, what tools would I need to begin researching formulating my hypothesis? I have this urge to play with all the historical data but don’t know the best venue to do it.
What tools should I use to get started? How can I track moving averages for value versus growth over rolling 3 month periods and compare and contrast and then filter for certain range of multiples in a certain sector blah blah. I just want to start playing with it all but I am not familiar with the tools.
I mean, I have experience with a Bloomberg terminal and Morningstar but I feel like that’s insufficient. I guess I just want to know what the industry is using for this type of research.
Submitted August 28, 2021 at 09:50AM by theLiteral_Opposite https://ift.tt/3BpwGJv
