Breakout Strategy

Compute the Highs and Lows in a Window

The function get_high_lows_lookback computes the maximum and minimum of the closing prices over a window of days.

Compute Long and Short Signals

The function get_long_short computes long and short signals using a breakout strategy.

Filter Signals

The function filter_signals filters out repeated long or short signals.

Lookahead Close Prices

The function get_lookahead_prices gets the close price days ahead in time.

Lookahead Price Returns

The function get_return_lookahead generates the log price return between the closing price and the lookahead price.

Compute the Signal Return

The function get_signal_return generates the signal returns.

Histogram

Correctly answers the question “What do the histograms tell you about the signal returns?"

Kolmogorov-Smirnov Test

The function calculate_kstest calculates the ks and p values.

Find Outliers

The function find_outliers returns the list of outlying symbols.