Started as a way for me to learn some Javascript and get an overview of execution metrics for myself. Found it easy enough to host with Netlify, so might as well make it public!
Minor point, but when calculating the avg_diff_price for $GME you should be calculating a return (close-open)/open otherwise days where the stock went from 100 to 105 (5% increase) look the same as days when it went from 5 to 10 (100% increase).
Likewise, when calculating the correlations, that should be done on returns and not prices.
I'm not sure that's a given. They are different measures, but both completely valid. A return might be more meaningful to a long term investor, but ultimately every other metric and participant is interested in the absolute change: traders to calculate pnl/greeks/etc, exchanges to match orders, clearers to calculate margin.
If I am wearing 100 shares, whether it went from $5 to $10 or $100 to $105, it's the same pnl.
http://dm13450.github.io/ If you like stats, finance, sports stats and random programming snippets you should hopefully find one of my posts interesting at some point!
Started as a way for me to learn some Javascript and get an overview of execution metrics for myself. Found it easy enough to host with Netlify, so might as well make it public!