Our clients often need to perform standard calculations in order to do analysis. We have invested resources in pre-calculating many of the most common calculations, creating hundreds of columns in a de-normalized form that is perfect for advanced analytics and machine learning. Examples of calculations include -
- Historical volatility - Calculation of standard deviation and volatilities across different time windows.
- Earnings - Fields such as last earnings date, next earnings date, and days till earnings, along with a join key to the earnings table.
- Historical returns - Total returns, after accounting for dividends and splits, calculated for all securities over various windows.
- Future returns - Pre-calculated future returns on historical rows helps with labeling for machine learning models.
- Volume - Various calculations of historical volumes allows transaction costs to be built in and modeled.
We are continuously investing in adding new fields to make this dataset as rich as possible.