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Planned events dates in Q

In my statistical arb strategy , I dont want one leg to change dramtically , so I want to avoid KNOWN volatility risks, basically I want to keep it safe and just stay in cash during short periods with risks. For example - why not get out of stocks before Quarterly revenue announcements and then get back the day after if still relevant.

for that , I need to balance my universe before or after major events such - Fed's announcements, Quarterly revenue announcements fro specific stock and more.

Is there fetcher to bring this data of events and the date they are to occur?

2 responses

Hi Joe,

I'm not sure about fetcher, but you could simply paste in the information at the bottom of the algo code. For backtesting, this would work fine. For live trading, you'd need to stop the algo to update it, and then re-start.


Joe, we recently released the Quantopian store with over 20 different datasets. Among them is earnings call from EventVestor. This should get you closer:


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