About the Security Trading Analytics Blog This blog aims to empower site visitors who seek examples and demonstrations of quantitative methods for tracking and projecting security prices. Another goal of the blog is to present methods and resources that are practical and useful for individuals who want to become better traders and investors with the help of quant methods. Quantitative methods may include, but are not limited to: · Analysis of historical security prices · Technical analysis of trends and indicators · Models for when to buy and sell securities implemented with o SQL Server o Google Sheets with the GOOGLEFINANCE Function o Tiingo o Excel o ...
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ETF Price Puzzles: Examples Showing Tiingo’s Raw and Adjusted Series Don’t Always Differ As I was preparing an analysis of a buy‑sell model for several major ETFs, I stumbled across some unexpected puzzles in the price data. Tiingo provides both raw and adjusted price series, but for certain ETFs the two are identical — even across known split dates. This post explains how I discovered these puzzles in selected ETF ticker prices from Tiingo. The post also describes why the puzzles matter, and how you can adjust for them when performing ETF analyses with Tiingo data. Where I Discovered Tiingo ETF Price Puzzles I was analyzing a model based on EMA proper orders for prices when I first noticed ETF price puzzles. Any ETF price series can have multiple EMAs depending on their period lengths. No matter what the period length for an EMA, it is always dependent on its underlying price data. For any trading date, EMAs with shorter period lengths...
Building and Backtesting a Buy-Sell Model with Close Prices and EMAs Buy-Sell models are among my favorite analytical techniques because they simulate what traders do on a regular basis – namely, buy and sell securities. However, no amount of backtesting is enough to guarantee how well a buy-sell model reflects actual market performance. This is because publicly traded financial security prices are driven by diverse factors that can change over time. Nevertheless, buy-sell models can offer useful guidelines for buying and selling securities when current market conditions are similar to previously backtested market scenarios. EMAs are another of my favorite analytical tools for modeling the behavior of security prices. EMA is an abbreviation for an exponential moving average. However, an EMA is really not an averaging technique. Instead, EMAs are a smoothing technique for time series data. The period, or more precisely period length, of an...
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