In his latest book "Trading Retirement Accounts" Laurens Bensdorp shows a trading strategy (System #4: Trend Following on Energy Stocks) that uses the S&P 1500 Energy Sector (sector index)
Is there a data provider that makes this available for WL?
Also: How can I construct a WL DataSet that contains all stocks of this sector?
Is there a data provider that makes this available for WL?
Also: How can I construct a WL DataSet that contains all stocks of this sector?
Rename
Norgate has sector information. However, it's the current classification for the stock (for delisted stocks, it's the last one that was available). So the data is not point-in-time. Just keep in mind that since this changes sometime for a company, using this in backtests might not reflect real trading.
CODE:
public override void Initialize(BarHistory bars) { String classificationCode = Metadata.Classification(bars.Symbol, "GICS"); String sector = Metadata.ClassificationDescriptionAtLevel(bars.Symbol, "GICS", 1); WriteToDebugLog($"GICS code for {bars.Symbol} is {classificationCode}, {sector}"); }
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