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Finding Alphas: A Quantitative Approach to Building Trading Strategies by Igor Tulchinsky

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28 Understanding How WebSim™ Works

By the WebSimTeam

Imagine market data being a matrix, each row representing one date and each column representing one stock. For example, the matrix for close price data of stocks in Universe TOP3000 would look like Table 28.1.

Table 28.1 Matrix for close price data of stocks in Universe TOP3000

Instruments Dates MSFT HOG AAPL GOOG PG
20100104 30.95 25.46 214.01 626.75 61.12
20100105 30.96 25.65 214.38 623.99 61.14
20100106 30.77 25.59 210.97 608.26 60.85
20100107 30.452 25.8 210.58 594.1 60.52
20100108 30.66 25.53 211.98 602.02 60.44

And the matrix for volume data of the above stocks would look like Table 28.2.

Table 28.2 The matrix for volume data of stocks in Universe TOP3000

Instruments Dates MSFT HOG AAPL GOOG PG
20100101 3.84142e+07 2.90391e+06 1.76332e+07 1.95796e+06 9.19087e+06
20100102 4.97589e+07 2.80537e+06 2.14966e+07 3.00786e+06 8.65051e+06
20100103 5.81823e+07 3.2833e+06 1.97199e+07 3.98063e+06 9.90891e+06
20100104 5.05643e+07 2.52213e+06 1.70403e+07 6.41802e+06 8.97275e+06
20100105 5.12013e+07 3.52372e+06 1.59956e+07 4.72474e+06 8.46696e+06

If you enter an alpha expression in the WebSim™ homepage and set the simulation period for five years, WebSim™ will evaluate the input alpha expression against the matrix of market data for each date of the last five years, from the oldest date to today.

On each iteration/day, the expression ...

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