2065c98c25
DBEQ.BASIC all US equities daily 2023-2026 ($67.85, 17305 instruments). Small/mid-cap band (excl top-50 mega, $2M floor, ~576 names/day), weekly rebal+smooth, illiquidity-scaled cost (30-150bp). NO factor survives net: momentum negative even gross (2023-24 momentum-crash); reversal gross +0.15 eaten by cost -> NET -0.86 (Amihud paradox); low-vol best but NET ~0 (DSR 0.03). Didn't even charge short-borrow. Confirms Databento tradeable universe (equities+ futures) is efficient+cost-walled -> no retail edge. Honest tension: cheap-to-trade markets too efficient; the inefficient market with real edge (crypto) is the disliked one. Caveat: 3.2y only. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
34 lines
975 B
Python
34 lines
975 B
Python
#!/usr/bin/env python3
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"""Fetch all US equities daily OHLCV (DBEQ.BASIC) for the small/mid-cap factor test.
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Budget-capped, get_cost-gated. Saves DBN to data/surfer/dbeq_ohlcv1d.dbn.
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"""
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import os
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import sys
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import databento as db
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CAP = 70.0
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DS, SCH = "DBEQ.BASIC", "ohlcv-1d"
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START, END = "2023-03-28", "2026-06-05"
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OUT = "data/surfer/dbeq_ohlcv1d.dbn"
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def main():
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c = db.Historical(os.environ["DATABENTO_API_KEY"])
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if os.path.exists(OUT):
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print("already downloaded"); return 0
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cost = c.metadata.get_cost(dataset=DS, symbols=["ALL_SYMBOLS"], schema=SCH, start=START, end=END)
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print(f"get_cost=${cost:.2f} cap=${CAP:.2f}")
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if cost > CAP:
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print("ABORT over cap"); return 1
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data = c.timeseries.get_range(dataset=DS, symbols=["ALL_SYMBOLS"], schema=SCH, start=START, end=END)
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os.makedirs("data/surfer", exist_ok=True)
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data.to_file(OUT)
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print(f"saved {OUT}")
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return 0
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if __name__ == "__main__":
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sys.exit(main())
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