Equities Entity Store – A Brief Review
The Equities Entity Store applies the object-oriented concept of Entity Stores in the Wolfram Language to create a collection of equity objects, both stocks and stock indices, containing current and historical fundamental, technical and performance-related data. Also included in the release version of the product will be a collection of utility functions (a.k.a. “Methods”) that will facilitate equity analysis, the formation and evaluation of equity portfolios and the development and back-testing of equities strategies, including cross-sectional strategies.
In the pre-release version of the store there are just over 1,000 equities, but this will rise to over 2,000 in the first release, as delisted securities are added to the store. This is important in order to eliminate survivor bias from the data set.
First Release of the Equities Entity Store – January 2023
The first release of the equities entity store product will contain around 2,000-2,500 equities, including at least 1,000 active stocks listed on the NYSE and NASDAQ exchanges and a further 1,000-1,500 delisted securities. All of the above information will be available for each equity and, in addition, the historical data will include quarterly fundamental data.
The other major component of the store will be analytics tools, including single-stock analytics functions such as those illustrated here. More important, however, is that the store will contain advanced analytics tools designed to assist the analyst in the construction of optimized equity portfolios and in the development and backtesting of long and long/short equity strategies.
Readers wishing to receive more information should contact me at algosciences (at) gmail.com