2024-12-16 21:34:48 -05:00
<!doctype html> < html lang = en dir = ltr class = "blog-wrapper blog-post-page plugin-blog plugin-id-default" data-has-hydrated = false > < meta charset = UTF-8 > < meta name = generator content = "Docusaurus v3.6.1" > < title data-rh = true > Testing Cramer | The Old Speice Guy< / title > < meta data-rh = true name = viewport content = "width=device-width,initial-scale=1.0" > < meta data-rh = true name = twitter:card content = summary_large_image > < meta data-rh = true property = og:url content = https://speice.io/2015/12/testing-cramer > < meta data-rh = true property = og:locale content = en > < meta data-rh = true name = docusaurus_locale content = en > < meta data-rh = true name = docusaurus_tag content = default > < meta data-rh = true name = docsearch:language content = en > < meta data-rh = true name = docsearch:docusaurus_tag content = default > < meta data-rh = true property = og:title content = "Testing Cramer | The Old Speice Guy" > < meta data-rh = true name = description content = "Pursuant to attending a graduate school studying Financial Engineering, I've been a fan of the Mad Money TV show featuring the bombastic Jim Cramer. One of the things that he's said is that you shouldn't use the futures to predict where the stock market is going to go. But he says it often enough, I've begun to wonder - who is he trying to convince?" > < meta data-rh = true property = og:description content = "Pursuant to attending a graduate school studying Financial Engineering, I've been a fan of the Mad Money TV show featuring the bombastic Jim Cramer. One of the things that he's said is that you shouldn't use the futures to predict where the stock market is going to go. But he says it often enough, I've begun to wonder - who is he trying to convince?" > < meta data-rh = true property = og:type content = article > < meta data-rh = true property = article:published_time content = 2015-12-26T12:00:00.000Z > < link data-rh = true rel = icon href = /img/favicon.ico > < link data-rh = true rel = canonical href = https://speice.io/2015/12/testing-cramer > < link data-rh = true rel = alternate href = https://speice.io/2015/12/testing-cramer hreflang = en > < link data-rh = true rel = alternate href = https://speice.io/2015/12/testing-cramer hreflang = x-default > < script data-rh = true type = application/ld+json > { "@context" : "https://schema.org" , "@id" : "https://speice.io/2015/12/testing-cramer" , "@type" : "BlogPosting" , "author" : { "@type" : "Person" , "name" : "Bradlee Speice" } , "dateModified" : "2024-11-03T23:57:32.000Z" , "datePublished" : "2015-12-26T12:00:00.000Z" , "description" : "Pursuant to attending a graduate school studying Financial Engineering, I've been a fan of the Mad Money TV show featuring the bombastic Jim Cramer. One of the things that he's said is that you shouldn't use the futures to predict where the stock market is going to go. But he says it often enough, I've begun to wonder - who is he trying to convince?" , "headline" : "Testing Cramer" , "isPartOf" : { "@id" : "https://speice.io/" , "@type" : "Blog" , "name" : "Blog" } , "keywords" : [ ] , "mainEntityOfPage" : "https://speice.io/2015/12/testing-cramer" , "name" : "Testing Cramer" , "url" : "https://speice.io/2015/12/testing-cramer" } < / script > < link rel = alternate type = application/rss+xml href = /rss.xml title = "The Old Speice Guy RSS Feed" > < link rel = alternate type = application/atom+xml href = /atom.xml title = "The Old Speice Guy Atom Feed" > < link rel = stylesheet href = /katex/katex.min.css > < link rel = stylesheet href = /assets/css/styles.16c3428d.css > < script src = /assets/js/runtime~main.29a27dcf.js defer > < / script > < script src = /assets/js/main.d461af80.js defer > < / script > < body class = navigation-with-keyboard > < script > ! function ( ) { var t , e = function ( ) { try { return new URLSearchParams ( window . location . search ) . get ( "docusaurus-theme" ) } catch ( t ) { } } ( ) || function ( ) { try { return window . localStorage . getItem ( "theme" ) } catch ( t ) { } } ( ) ; t = null !== e ? e : "light" , document . documentElement . setAttribute ( "data-theme" , t ) } ( ) , function ( ) { try { for ( var [ t , e ] of new URLSearchParams ( window . location . search ) . entries ( ) ) if ( t . startsWith ( "docusaurus-data-" ) ) { var a = t . replace ( "docusaurus-data-" , "data-" ) ; document . documentElement . setAttribute ( a , e ) } } catch ( t ) { } } ( ) < / script > < div id = __docusaurus > < div role = region aria-label = "Skip to main content" > < a class = skipToContent_fXgn href = #__docus
2024-11-10 16:43:02 -05:00
< p > It makes sense that because futures on things like the S& P 500 are traded continuously, they would price in market information before the stock market opens. So is Cramer right to be convinced that strategies based on the futures are a poor idea? I wanted to test it out.< / p >
< p > The first question is where to get the future's data. I've been part of < a href = http://seekingalpha.com/ target = _blank rel = "noopener noreferrer" > Seeking Alpha< / a > for a bit, and they publish the < a href = "http://seekingalpha.com/author/wall-street-breakfast?s=wall-street-breakfast" target = _blank rel = "noopener noreferrer" > Wall Street Breakfast< / a > newsletter which contains daily future's returns as of 6:20 AM EST. I'd be interested in using that data to see if we can actually make some money.< / p >
< p > First though, let's get the data:< / p >
< h2 class = "anchor anchorWithStickyNavbar_LWe7" id = downloading-futures-data-from-seeking-alpha > Downloading Futures data from Seeking Alpha< a href = #downloading-futures-data-from-seeking-alpha class = hash-link aria-label = "Direct link to Downloading Futures data from Seeking Alpha" title = "Direct link to Downloading Futures data from Seeking Alpha" > < / a > < / h2 >
< p > We're going to define two HTML parsing classes - one to get the article URL's from a page, and one to get the actual data from each article.< / p >
< div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > class< / span > < span class = "token plain" > < / span > < span class = "token class-name" style = "color:hsl(35, 99%, 36%)" > ArticleListParser< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > HTMLParser< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > :< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token triple-quoted-string string" style = "color:hsl(119, 34%, 47%)" > """Given a web page with articles on it, parse out the article links"""< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > articles < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > < / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ]< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > def< / span > < span class = "token plain" > < / span > < span class = "token function" style = "color:hsl(221, 87%, 60%)" > handle_starttag< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > self< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > tag< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > attrs< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > :< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > #if tag == 'div' and ("id", "author_articles_wrapper") in attrs:< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # self.fetch_links = True< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > if< / span > < span class = "token plain" > tag < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > ==< / span > < span class = "token plain" > < / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > 'a'< / span > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > and< / span > < span class = "token plain" > < / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > 'class'< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > 'dashboard_article_link'< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < /span
< div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > class< / span > < span class = "token plain" > < / span > < span class = "token class-name" style = "color:hsl(35, 99%, 36%)" > ArticleReturnParser< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > HTMLParser< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > :< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > "Given an article, parse out the futures returns in it"< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > record_font_tags < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > < / span > < span class = "token boolean" style = "color:hsl(35, 99%, 36%)" > False< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > in_font_tag < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > < / span > < span class = "token boolean" style = "color:hsl(35, 99%, 36%)" > False< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > counter < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 0< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # data = {} # See __init__< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > def< / span > < span class = "token plain" > < / span > < span class = "token function" style = "color:hsl(221, 87%, 60%)" > __init__< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > self< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > *< / span > < span class = "token plain" > args< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > **< / span > < span class = "token plain" > kwargs< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > :< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token builtin" style = "color:hsl(119, 34%, 47%)" > super< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > __init__< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < spa
< h2 class = "anchor anchorWithStickyNavbar_LWe7" id = fetching-the-returns-data > Fetching the Returns data< a href = #fetching-the-returns-data class = hash-link aria-label = "Direct link to Fetching the Returns data" title = "Direct link to Fetching the Returns data" > < / a > < / h2 >
< p > Now that we have the futures data, we're going to compare across 4 different indices - the S& P 500 index, Dow Jones Industrial, Russell 2000, and NASDAQ 100. Let's get the data off of Quandl to make things easier!< / p >
< div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # article_df is sorted by date, so we get the first row.< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > start_date < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > article_df< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > sort_values< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > by< / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > 'date'< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > iloc< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 0< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ]< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > 'date'< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ]< / span > < span class = "token plain" > < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > -< / span > < span class = "token plain" > relativedelta< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > days< / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 1< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > SPY < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > Quandl< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > get< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > "GOOG/NYSE_SPY"< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > trim_start< / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > start_date< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > DJIA < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > Quandl< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > get< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > "GOOG/AMS_DIA"< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > trim_start< / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > start_date< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > RUSS < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span c
< h2 class = "anchor anchorWithStickyNavbar_LWe7" id = running-the-comparison > Running the Comparison< a href = #running-the-comparison class = hash-link aria-label = "Direct link to Running the Comparison" title = "Direct link to Running the Comparison" > < / a > < / h2 >
< p > There are two types of tests I want to determine: How accurate each futures category is at predicting the index's opening change over the close before, and predicting the index's daily return.< / p >
< p > Let's first calculate how good each future is at predicting the opening return over the previous day. I expect that the futures will be more than 50% accurate, since the information is recorded 3 hours before the markets open.< / p >
< div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > def< / span > < span class = "token plain" > < / span > < span class = "token function" style = "color:hsl(221, 87%, 60%)" > calculate_opening_ret< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > frame< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > :< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # I'm not a huge fan of the appending for loop,< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # but it's a bit verbose for a comprehension< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > data < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > < / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > {< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > }< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > for< / span > < span class = "token plain" > i < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > in< / span > < span class = "token plain" > < / span > < span class = "token builtin" style = "color:hsl(119, 34%, 47%)" > range< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 1< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token builtin" style = "color:hsl(119, 34%, 47%)" > len< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > frame< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > :< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > date < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > frame< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > iloc< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token plain" > i< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ]< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > name< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > prior_close < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > frame< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > iloc< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token plain" > i< / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > -< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 1< / span > < span class = "token punctuation
< div class = "codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-text codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > Articles Checked: < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > DJIA NASDAQ RUSS SPY< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > Crude 268 268 271 271< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > DOW 268 268 271 271< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > Gold 268 268 271 271< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > NASDAQ 268 268 271 271< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > S& P 268 268 271 271< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > Prediction Accuracy:< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > DJIA NASDAQ RUSS SPY< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > Crude 0.544776 0.522388 0.601476 0.590406< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > DOW 0.611940 0.604478 0.804428 0.841328< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > Gold 0.462687 0.455224 0.464945 0.476015< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > NASDAQ 0.615672 0.608209 0.797048 0.830258< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > S& P 0.604478 0.597015 0.811808 0.848708< / span > < br > < / span > < / code > < / pre > < div class = buttonGroup__atx > < button type = button aria-label = "Copy code to clipboard" title = Copy class = clean-btn > < span class = copyButtonIcons_eSgA aria-hidden = true > < svg viewBox = "0 0 24 24" class = copyButtonIcon_y97N > < path fill = currentColor d = "M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z" / > < / svg > < svg viewBox = "0 0 24 24" class = copyButtonSuccessIcon_LjdS > < path fill = currentColor d = M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z / > < / svg > < / span > < / button > < / div > < / div > < / div >
< p > This data is very interesting. Some insights:< / p >
< ul >
< li > Both DOW and NASDAQ futures are pretty bad at predicting their actual market openings< / li >
< li > NASDAQ and Dow are fairly unpredictable; Russell 2000 and S& P are very predictable< / li >
< li > Gold is a poor predictor in general - intuitively Gold should move inverse to the market, but it appears to be about as accurate as a coin flip.< / li >
< / ul >
< p > All said though it appears that futures data is important for determining market direction for both the S& P 500 and Russell 2000. Cramer is half-right: futures data isn't very helpful for the Dow and NASDAQ indices, but is great for the S& P and Russell indices.< / p >
< h2 class = "anchor anchorWithStickyNavbar_LWe7" id = the-next-step---predicting-the-close > The next step - Predicting the close< a href = #the-next-step---predicting-the-close class = hash-link aria-label = "Direct link to The next step - Predicting the close" title = "Direct link to The next step - Predicting the close" > < / a > < / h2 >
< p > Given the code we currently have, I'd like to predict the close of the market as well. We can re-use most of the code, so let's see what happens:< / p >
< div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > def< / span > < span class = "token plain" > < / span > < span class = "token function" style = "color:hsl(221, 87%, 60%)" > calculate_closing_ret< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > frame< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > :< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # I'm not a huge fan of the appending for loop,< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # but it's a bit verbose for a comprehension< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > data < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > < / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > {< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > }< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > for< / span > < span class = "token plain" > i < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > in< / span > < span class = "token plain" > < / span > < span class = "token builtin" style = "color:hsl(119, 34%, 47%)" > range< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 0< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token builtin" style = "color:hsl(119, 34%, 47%)" > len< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > frame< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > :< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > date < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > frame< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > iloc< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token plain" > i< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ]< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > name< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > open_val < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > frame< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > iloc< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token plain" > i< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ]< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token strin
< div class = "codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-text codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > Articles Checked:< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > DJIA NASDAQ RUSS SPY< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > Crude 268 268 271 271< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > DOW 268 268 271 271< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > Gold 268 268 271 271< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > NASDAQ 268 268 271 271< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > S& P 268 268 271 271< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > Prediction Accuracy:< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > DJIA NASDAQ RUSS SPY< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > Crude 0.533582 0.529851 0.501845 0.542435< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > DOW 0.589552 0.608209 0.535055 0.535055< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > Gold 0.455224 0.451493 0.483395 0.512915< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > NASDAQ 0.582090 0.626866 0.531365 0.538745< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > S& P 0.585821 0.608209 0.535055 0.535055< / span > < br > < / span > < / code > < / pre > < div class = buttonGroup__atx > < button type = button aria-label = "Copy code to clipboard" title = Copy class = clean-btn > < span class = copyButtonIcons_eSgA aria-hidden = true > < svg viewBox = "0 0 24 24" class = copyButtonIcon_y97N > < path fill = currentColor d = "M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z" / > < / svg > < svg viewBox = "0 0 24 24" class = copyButtonSuccessIcon_LjdS > < path fill = currentColor d = M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z / > < / svg > < / span > < / button > < / div > < / div > < / div >
< p > Well, it appears that the futures data is terrible at predicting market close. NASDAQ predicting NASDAQ is the most interesting data point, but 63% accuracy isn't accurate enough to make money consistently.< / p >
< h2 class = "anchor anchorWithStickyNavbar_LWe7" id = final-sentiments > Final sentiments< a href = #final-sentiments class = hash-link aria-label = "Direct link to Final sentiments" title = "Direct link to Final sentiments" > < / a > < / h2 >
< p > The data bears out very close to what I expected would happen:< / p >
< ul >
< li > Futures data is more accurate than a coin flip for predicting openings, which makes sense since it is recorded only 3 hours before the actual opening< / li >
< li > Futures data is about as acccurate as a coin flip for predicting closings, which means there is no money to be made in trying to predict the market direction for the day given the futures data.< / li >
< / ul >
< p > In summary:< / p >
< ul >
< li > Cramer is half right: Futures data is not good for predicting the market open of the Dow and NASDAQ indices. Contrary to Cramer though, it is very good for predicting the S& P and Russell indices - we can achieve an accuracy slightly over 80% for each.< / li >
< li > Making money in the market is hard. We can't just go to the futures and treat them as an oracle for where the market will close.< / li >
< / ul >
< p > I hope you've enjoyed this, I quite enjoyed taking a deep dive in the analytics this way. I'll be posting more soon!< / div > < / article > < nav class = "pagination-nav docusaurus-mt-lg" aria-label = "Blog post page navigation" > < a class = "pagination-nav__link pagination-nav__link--prev" href = /2015/11/autocallable > < div class = pagination-nav__sublabel > Older post< / div > < div class = pagination-nav__label > Autocallable Bonds< / div > < / a > < a class = "pagination-nav__link pagination-nav__link--next" href = /2016/01/complaining-about-the-weather > < div class = pagination-nav__sublabel > Newer post< / div > < div class = pagination-nav__label > Complaining about the weather< / div > < / a > < / nav > < / main > < div class = "col col--2" > < div class = "tableOfContents_bqdL thin-scrollbar" > < ul class = "table-of-contents table-of-contents__left-border" > < li > < a href = #downloading-futures-data-from-seeking-alpha class = "table-of-contents__link toc-highlight" > Downloading Futures data from Seeking Alpha< / a > < li > < a href = #fetching-the-returns-data class = "table-of-contents__link toc-highlight" > Fetching the Returns data< / a > < li > < a href = #running-the-comparison class = "table-of-contents__link toc-highlight" > Running the Comparison< / a > < li > < a href = #the-next-step---predicting-the-close class = "table-of-contents__link toc-highlight" > The next step - Predicting the close< / a > < li > < a href = #final-sentiments class = "table-of-contents__link toc-highlight" > Final sentiments< / a > < / ul > < / div > < / div > < / div > < / div > < / div > < footer class = footer > < div class = "container container-fluid" > < div class = "footer__bottom text--center" > < div class = footer__copyright > Copyright © 2024 Bradlee Speice< / div > < / div > < / div > < / footer > < / div >
