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Reconstructing Stock Index Data

Posted: Mon Jun 20, 2016 7:06 pm
by Tyler
I've been working on a side project lately to expand the stock history I have access to, and I think I've figured out a dependable way to build my own simulated index returns from available data. I'm looking for feedback, and know some of you guys have an interest in this kinda thing (I'm looking at you, MachineGhost ;))

Anyways, check it out and let me know what you think: https://portfoliocharts.com/stock-index-calculator/

Re: Reconstructing Stock Index Data

Posted: Mon Jun 20, 2016 11:17 pm
by MachineGhost
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This is some excellent work!

What's with the missing MicroCap data? If Decile 10 is actually less than 1% of the market by size, what happened to it in your conversion?

Re: Reconstructing Stock Index Data

Posted: Mon Jun 20, 2016 11:48 pm
by Tyler
I think I just wore myself out and got lazy. :P

I'll add Micro Cap and TSM to the list shortly.