In this section, we discuss many issues, such as the 52-week high and low trading strategy, estimating the Roll (1984) spread, Amihud (2002) illiquidity measure, Pastor and Stambaugh (2003) liquidity measure, and CAPM, and running a Fama-French three-factor model, Fama-Macbeth regression, rolling beta, and VaR.
Some investors/researchers argue that we could adopt a 52-week high and low trading strategy by taking a long position if today's price is close to the minimum price achieved in the past 52 weeks and taking an opposite position if today's price is close to its 52-week high. The following Python program presents this 52-week's range and today's position:
from matplotlib.finance import quotes_historical_yahoo from datetime import datetime from dateutil.relativedelta import relativedelta ticker='IBM' enddate=datetime.now() begdate=enddate-relativedelta(years=1) p = quotes_historical_yahoo(ticker, begdate, enddate,asobject=True...