Can I use style factors for individual stocks when building my portfolio for Outperform the S&P 500 index competition, like the book-to-price ratio?
If yes, how can i get the data for individual stocks though alphien? or can i upload the data from my local dataset?
Thanks in advance!
To compute book to price, you’d need book value and prices. However, the dataset for this competition is simple: 6 fields - “open_price”, “high_price”, “low_price”, “close_price”, adjusted close (we call it “bb_live”), and “volume” of stock data that were in the S&P 500 between 2007 to end of 2016. You can get these stocks identifiers (tickers) thanks to the function getTickersSP500(). It is in the data package in Python, or directly callable in R. You can also use exogenous data that reflect the macro environment. Use getTickersSP500Data() to retrieve these tickers. The only field available for them is “close_price”. Have a look at the first steps notebook to see how to retrieve prices.
As you don’t have book value, you cannot use price-to-book ratio.
You cannot upload data from your local machine.