GitHub - tzargo-org/M6-methods: Data, Benchmarks, and methods submitted to the M6 forecasting competition

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Data, Benchmarks, and methods submitted to the M6 forecasting competition

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Name		Name	Last commit message	Last commit date
Latest commit History 30 Commits
M6-submissions		M6-submissions
Download historical data using Yahoo API.R		Download historical data using Yahoo API.R
Download historical data using Yahoo API.py		Download historical data using Yahoo API.py
Evaluation - example.xlsx		Evaluation - example.xlsx
RPS and IR calculation.R		RPS and IR calculation.R
RPS and IR calculation.py		RPS and IR calculation.py
assets_m6.csv		assets_m6.csv
readme		readme
template.csv		template.csv

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R and Python scripts to:

i) Download historical prices data for the M6 universe assets 
Here we provide an example when the free-to-use Yahoo API is employed, but other APIs may be more appropriate for collecting historical data. 
Currently, the M6 is fetching data using the API provided by https://eodhistoricaldata.com/.

ii) Compute RPS and IR for a given evaluation period

An excel file providing an example of how the RPS and IR can be computed for a dummy submission (similar to the template of the competition). 
The example is given for the first quanrter of the M6 and the pilot phase.