STEP 1
getvals.py: Download data from SP500 symbols
Modify file to add your Alpha Vantege API key (it's free)
python getvals.py
It lasts a while, about... 80 mins.
STEP 2
hurst.py: Calculate the hurst index for previously downloaded data (thanks to @paduel https://github.com/paduel/Python_para_Trading)
usage:
python hurst.py <symbol>
example:
python hurst.py MMM
note: must be a valid symbol with its ".csv" file previously downloaded
note2: This operation is quite heavy, so... let's "parallel" it with a oneliner bash spell! (-j4 indicates that 4 is the max number of processes to use)
run in shell:
for file in $(ls data/*.csv); do basename $file; done | sed "s/.csv//" | parallel -j4 "python hurst.py {}"
STEP 3
backtest.py: Run the backtest for the previously calculated values
This is a dummy backtest, WIP. It's really bad.
python backtest.py <symbol> 0.0