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Python for Finance by Yuxing Yan

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Many useful applications

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.

52-week high and low trading strategy

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 ...

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