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WenqiAngieWu committed Apr 27, 2020
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Expand Up @@ -8,8 +8,16 @@ This project is based upon the paper: Frazzini, A. \& Pedersen, L. (2014). *Bett
- `Data.py` consists of 2 parts: save tickers, get data. Tickers are processed through website information, data are fetched using 'pandas-datareader'.


## Implementation & Testing
## Implementation
- `main.py` contains all the functions.

- `figure.py` is for drawing plots.


## Results

The strategy was back-tested on SP500 stocks and TSX (Toronto Stock Exchange) stocks and compared with two other similar factors presented in the Fama French 3-factor model: one is the SMB (small minus big), the other is the HML (high minus low).

![CAN](Output/CAN.png)
![US](Output/US.png)

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