├── .gitattributes ├── .gitignore ├── LICENSE.md ├── PyArb Intro.html ├── PyArb Intro.ipynb ├── README ├── data └── eoddata │ └── nasdaq_techcompanylist.csv └── pyarb.py /.gitattributes: -------------------------------------------------------------------------------- 1 | # Auto detect text files and perform LF normalization 2 | * text=auto 3 | 4 | # Custom for Visual Studio 5 | *.cs diff=csharp 6 | *.sln merge=union 7 | *.csproj merge=union 8 | *.vbproj merge=union 9 | *.fsproj merge=union 10 | *.dbproj merge=union 11 | 12 | # Standard to msysgit 13 | *.doc diff=astextplain 14 | *.DOC diff=astextplain 15 | *.docx diff=astextplain 16 | *.DOCX diff=astextplain 17 | *.dot diff=astextplain 18 | *.DOT diff=astextplain 19 | *.pdf diff=astextplain 20 | *.PDF diff=astextplain 21 | *.rtf diff=astextplain 22 | *.RTF diff=astextplain 23 | -------------------------------------------------------------------------------- /.gitignore: -------------------------------------------------------------------------------- 1 | ################# 2 | ## Eclipse 3 | ################# 4 | 5 | *.pydevproject 6 | .project 7 | .metadata 8 | bin/ 9 | tmp/ 10 | *.tmp 11 | *.bak 12 | *.swp 13 | *~.nib 14 | local.properties 15 | .classpath 16 | .settings/ 17 | .loadpath 18 | 19 | # External tool builders 20 | .externalToolBuilders/ 21 | 22 | # Locally stored "Eclipse launch configurations" 23 | *.launch 24 | 25 | # CDT-specific 26 | .cproject 27 | 28 | # PDT-specific 29 | .buildpath 30 | 31 | 32 | ################# 33 | ## Visual Studio 34 | ################# 35 | 36 | ## Ignore Visual Studio temporary files, build results, and 37 | ## files generated by popular Visual Studio add-ons. 38 | 39 | # User-specific files 40 | *.suo 41 | *.user 42 | *.sln.docstates 43 | 44 | # Build results 45 | 46 | [Dd]ebug/ 47 | [Rr]elease/ 48 | x64/ 49 | build/ 50 | [Bb]in/ 51 | [Oo]bj/ 52 | 53 | # MSTest test Results 54 | [Tt]est[Rr]esult*/ 55 | [Bb]uild[Ll]og.* 56 | 57 | *_i.c 58 | *_p.c 59 | *.ilk 60 | *.meta 61 | *.obj 62 | *.pch 63 | *.pdb 64 | *.pgc 65 | *.pgd 66 | *.rsp 67 | *.sbr 68 | *.tlb 69 | *.tli 70 | *.tlh 71 | *.tmp 72 | *.tmp_proj 73 | *.log 74 | *.vspscc 75 | *.vssscc 76 | .builds 77 | *.pidb 78 | *.log 79 | *.scc 80 | 81 | # Visual C++ cache files 82 | ipch/ 83 | *.aps 84 | *.ncb 85 | *.opensdf 86 | *.sdf 87 | *.cachefile 88 | 89 | # Visual Studio profiler 90 | *.psess 91 | *.vsp 92 | *.vspx 93 | 94 | # Guidance Automation Toolkit 95 | *.gpState 96 | 97 | # ReSharper is a .NET coding add-in 98 | _ReSharper*/ 99 | *.[Rr]e[Ss]harper 100 | 101 | # TeamCity is a build add-in 102 | _TeamCity* 103 | 104 | # DotCover is a Code Coverage Tool 105 | *.dotCover 106 | 107 | # NCrunch 108 | *.ncrunch* 109 | .*crunch*.local.xml 110 | 111 | # Installshield output folder 112 | [Ee]xpress/ 113 | 114 | # DocProject is a documentation generator add-in 115 | DocProject/buildhelp/ 116 | DocProject/Help/*.HxT 117 | DocProject/Help/*.HxC 118 | DocProject/Help/*.hhc 119 | DocProject/Help/*.hhk 120 | DocProject/Help/*.hhp 121 | DocProject/Help/Html2 122 | DocProject/Help/html 123 | 124 | # Click-Once directory 125 | publish/ 126 | 127 | # Publish Web Output 128 | *.Publish.xml 129 | *.pubxml 130 | 131 | # NuGet Packages Directory 132 | ## TODO: If you have NuGet Package Restore enabled, uncomment the next line 133 | #packages/ 134 | 135 | # Windows Azure Build Output 136 | csx 137 | *.build.csdef 138 | 139 | # Windows Store app package directory 140 | AppPackages/ 141 | 142 | # Others 143 | sql/ 144 | *.Cache 145 | ClientBin/ 146 | [Ss]tyle[Cc]op.* 147 | ~$* 148 | *~ 149 | *.dbmdl 150 | *.[Pp]ublish.xml 151 | *.pfx 152 | *.publishsettings 153 | 154 | # RIA/Silverlight projects 155 | Generated_Code/ 156 | 157 | # Backup & report files from converting an old project file to a newer 158 | # Visual Studio version. Backup files are not needed, because we have git ;-) 159 | _UpgradeReport_Files/ 160 | Backup*/ 161 | UpgradeLog*.XML 162 | UpgradeLog*.htm 163 | 164 | # SQL Server files 165 | App_Data/*.mdf 166 | App_Data/*.ldf 167 | 168 | ############# 169 | ## Windows detritus 170 | ############# 171 | 172 | # Windows image file caches 173 | Thumbs.db 174 | ehthumbs.db 175 | 176 | # Folder config file 177 | Desktop.ini 178 | 179 | # Recycle Bin used on file shares 180 | $RECYCLE.BIN/ 181 | 182 | # Mac crap 183 | .DS_Store 184 | 185 | 186 | ############# 187 | ## Python 188 | ############# 189 | 190 | *.py[co] 191 | 192 | # Packages 193 | *.egg 194 | *.egg-info 195 | dist/ 196 | build/ 197 | eggs/ 198 | parts/ 199 | var/ 200 | sdist/ 201 | develop-eggs/ 202 | .installed.cfg 203 | 204 | # Installer logs 205 | pip-log.txt 206 | 207 | # Unit test / coverage reports 208 | .coverage 209 | .tox 210 | 211 | #Translations 212 | *.mo 213 | 214 | #Mr Developer 215 | .mr.developer.cfg 216 | -------------------------------------------------------------------------------- /LICENSE.md: -------------------------------------------------------------------------------- 1 | GNU GENERAL PUBLIC LICENSE 2 | Version 2, June 1991 3 | 4 | Copyright (C) 1989, 1991 Free Software Foundation, Inc., 5 | 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA 6 | Everyone is permitted to copy and distribute verbatim copies 7 | of this license document, but changing it is not allowed. 8 | 9 | Preamble 10 | 11 | The licenses for most software are designed to take away your 12 | freedom to share and change it. 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If this is what you want to do, use the GNU Lesser General 339 | Public License instead of this License. 340 | -------------------------------------------------------------------------------- /README: -------------------------------------------------------------------------------- 1 | UPDATE 2016: don't use this, it's crap :) 2 | Hi! This is a model dependent equity statistical arbitrage backtest module for Python. Roughly speaking, the input is a universe of N stock prices over a selected time period, and the output is a mean reverting portfolio which can be used for trading. 3 | 4 | Please see a more complete introduction in the IPython Notebook file "PyArb Intro.ipynb". If you don't have IPython installed and/or want to just see the results, you can instead view the corresponding HTML version "PyArb Intro.html". Please note that just clicking the file in GitHub opens the raw version, so instead click the following link to see the actual notebook: 5 | 6 | https://rawgithub.com/harpone/PyArb/master/PyArb%20Intro.html 7 | 8 | Since this is only a backtest module, I've decided to do a "walk-forward" with the optimized parameters from this backtest. In practice this would be just another backtest but the rules are that the parameters cannot be changed to make sure there's no data snooping. Feel free to check out the progress at my homepage at http://www.heikkiarponen.net 9 | 10 | UPDATE: Walk forward cancelled: the code is a bit broken and the backtest results should not be trusted (as if they ever could)... and needs more work anyway... 11 | 12 | If you have any questions, drop me an email at heikki.a.arponen@gmail.com. 13 | 14 | NOTE: Unfortunately I can't include the data here because 1) The files are way too big and 2) I don't think I'm allowed to (I guess it's in the TOS/EULA somewhere...). So you have to get your own data. I got some free data at thebonnotgang.com, but their data seems to be pretty dirty. I also got some paid data from eoddata.com (data format is "3F VIP Trading"), which seems to be of higher quality that TBG's. If you want the same data I was using, send me an email and maybe I can send it to you e.g. via Dropbox/Google Drive etc. 15 | -------------------------------------------------------------------------------- /data/eoddata/nasdaq_techcompanylist.csv: -------------------------------------------------------------------------------- 1 | "Symbol","Name","LastSale","MarketCap","ADR TSO","IPOyear","Sector","Industry","Summary Quote", 2 | "VNET","21Vianet Group, Inc.","20.33","818024126.03","40237291","n/a","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/vnet", 3 | "JOBS","51job, Inc.","76.6","872382309.8","11388803","2004","Technology","Diversified Commercial Services","http://www.nasdaq.com/symbol/jobs", 4 | "ACCL","Accelrys, Inc.","9.65","535577094.05","n/a","1995","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/accl", 5 | "ACIW","ACI Worldwide, Inc.","55.99","2214064024.81","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/aciw", 6 | "ACTS","Actions Semiconductor Co., Ltd.","2.48","105100790.48","42379351","2005","Technology","Semiconductors","http://www.nasdaq.com/symbol/acts", 7 | "ATVI","Activision Blizzard, Inc","17.59","12230181794.55","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/atvi", 8 | "BIRT","Actuate Corporation","7.88","377762007.08","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/birt", 9 | "ACXM","Acxiom Corporation","32.47","2404734499.18","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/acxm", 10 | "ADEP","Adept Technology, Inc.","9.77","106940192.44","n/a","n/a","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/adep", 11 | "ADBE","Adobe Systems Incorporated","52.63","26309069914.75","n/a","1986","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/adbe", 12 | "ADVS","Advent Software, Inc.","32.87","1717658993.1","n/a","1995","Technology","EDP Services","http://www.nasdaq.com/symbol/advs", 13 | "AGYS","Agilysys, Inc.","12.18","273321477.66","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/agys", 14 | "AMCN","AirMedia Group Inc","2.23","96524990.27","43284749","1995","Technology","Advertising","http://www.nasdaq.com/symbol/amcn", 15 | "AIXG","Aixtron SE","14","137623836","9830274","n/a","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/aixg", 16 | "AFOP","Alliance Fiber Optic Products, Inc.","20.86","378048616.96","n/a","2000","Technology","Semiconductors","http://www.nasdaq.com/symbol/afop", 17 | "ALLT","Allot Communications Ltd.","13.47","439315388.79","n/a","2006","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/allt", 18 | "MDRX","Allscripts Healthcare Solutions, Inc.","14.95","2662045034.35","n/a","1999","Technology","EDP Services","http://www.nasdaq.com/symbol/mdrx", 19 | "AOSL","Alpha and Omega Semiconductor Limited","7.94","204042183.52","n/a","2010","Technology","Semiconductors","http://www.nasdaq.com/symbol/aosl", 20 | "ALTR","Altera Corporation","37.48","11973817906.08","n/a","1988","Technology","Semiconductors","http://www.nasdaq.com/symbol/altr", 21 | "AMBA","Ambarella, Inc.","21.63","596077268.85","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/amba", 22 | "AMSWA","American Software, Inc.","9.21","252521962.77","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/amswa", 23 | "AMKR","Amkor Technology, Inc.","4.68","1019568143.88","n/a","1998","Technology","Semiconductors","http://www.nasdaq.com/symbol/amkr", 24 | "ASYS","Amtech Systems, Inc.","8.27","78889465.18","n/a","n/a","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/asys", 25 | "ANAD","ANADIGICS, Inc.","2.1","175186701.9","n/a","1995","Technology","Semiconductors","http://www.nasdaq.com/symbol/anad", 26 | "ADI","Analog Devices, Inc.","47.66","14807615702.44","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/adi", 27 | "ANEN","Anaren, Inc.","25.68","342164480.16","n/a","1972","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/anen", 28 | "ANSS","ANSYS, Inc.","86.38","7984689488.3","n/a","1996","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/anss", 29 | "ATNY","API Technologies Corp.","3.1","170023018.5","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/atny", 30 | "AAPL","Apple Inc.","508.89","462325038330","n/a","1980","Technology","Computer Manufacturing","http://www.nasdaq.com/symbol/aapl", 31 | "AMAT","Applied Materials, Inc.","18.05","21711018090.35","n/a","1972","Technology","Semiconductors","http://www.nasdaq.com/symbol/amat", 32 | "AMCC","Applied Micro Circuits Corporation","14.14","1033797430.12","n/a","1997","Technology","Semiconductors","http://www.nasdaq.com/symbol/amcc", 33 | "AAOI","Applied Optoelectronics, Inc.","11.01","138773717.34","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/aaoi", 34 | "ARMH","ARM Holdings plc","49.62","6025323354.6","121429330","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/armh", 35 | "ARRS","ARRIS Group, Inc.","16.705","2307937692.385","n/a","1993","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/arrs", 36 | "ARUN","Aruba Networks, Inc.","18.75","2162260818.75","n/a","2007","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/arun", 37 | "ASTI","Ascent Solar Technologies, Inc.","0.97","52511541.7","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/asti", 38 | "ASIA","AsiaInfo-Linkage, Inc.","11.665","850105165.72","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/asia", 39 | "ASMI","ASM International N.V.","34.3565","150871278.849","4391346","n/a","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/asmi", 40 | "ASML","ASML Holding N.V.","92.842","9537682149.026","102730253","1995","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/asml", 41 | "AZPN","Aspen Technology, Inc.","34.9","3259211535","n/a","1994","Technology","EDP Services","http://www.nasdaq.com/symbol/azpn", 42 | "ATEA","Astea International, Inc.","3.13","11228245.87","n/a","1995","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/atea", 43 | "ALOT","Astro-Med, Inc.","11.43","85325075.73","n/a","1983","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/alot", 44 | "ASUR","Asure Software Inc","5.1","30237777.6","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/asur", 45 | "ATML","Atmel Corporation","7.3","3121308420.8","n/a","1991","Technology","Semiconductors","http://www.nasdaq.com/symbol/atml", 46 | "ATTU","Attunity Ltd.","10.41","114968976.9","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/attu", 47 | "ADNC","Audience, Inc.","12.56","269091946.08","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/adnc", 48 | "ADAT","Authentidate Holding Corp.","1.16","41017863.32","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/adat", 49 | "ABTL","Autobytel Inc.","8.28","73719812.52","n/a","1999","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/abtl", 50 | "ADSK","Autodesk, Inc.","40.28","8982440000","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/adsk", 51 | "ADP","Automatic Data Processing, Inc.","74.19","35628180087.87","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/adp", 52 | "AMAP","AutoNavi Holdings Limited","17.57","474678780.52","27016436","2010","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/amap", 53 | "AVGO","Avago Technologies Limited","46.06","11399565763.74","n/a","2000","Technology","Semiconductors","http://www.nasdaq.com/symbol/avgo", 54 | "AVNW","Aviat Networks, Inc.","2.19","136611409.41","n/a","n/a","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/avnw", 55 | "AWRE","Aware, Inc.","5.28","119173459.68","n/a","1996","Technology","Semiconductors","http://www.nasdaq.com/symbol/awre", 56 | "ACLS","Axcelis Technologies, Inc.","2.33","253659995.83","n/a","2000","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/acls", 57 | "AXTI","AXT Inc","2.29","74670998.67","n/a","1998","Technology","Semiconductors","http://www.nasdaq.com/symbol/axti", 58 | "BOSC","B.O.S. Better Online Solutions","3.99","4691019.06","n/a","n/a","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/bosc", 59 | "BIDU","Baidu, Inc.","165.91","45577434738","274711800","2005","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/bidu", 60 | "BBSI","Barrett Business Services, Inc.","76.015","541354581.215","n/a","1993","Technology","Professional Services","http://www.nasdaq.com/symbol/bbsi", 61 | "BV","Bazaarvoice, Inc.","10.25","764898029.5","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/bv", 62 | "BNFT","Benefitfocus, Inc.","48.6","1181565581.4","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/bnft", 63 | "BBOX","Black Box Corporation","30.74","493668200.02","n/a","n/a","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/bbox", 64 | "BLKB","Blackbaud, Inc.","40.1","1834570949.9","n/a","2004","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/blkb", 65 | "BCOR","Blucora, Inc.","24.53","1009410530.26","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/bcor", 66 | "BPHX","BluePhoenix Solutions, Ltd.","4.05","43246163.25","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/bphx", 67 | "EPAY","Bottomline Technologies, Inc.","31.03","1195770311.29","n/a","1999","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/epay", 68 | "BLIN ","Bridgeline Digital, Inc.","0.95","16788666.95","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/blin ", 69 | "BCOV","Brightcove Inc.","14.44","408942532.8","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/bcov", 70 | "BRCM","Broadcom Corporation","27.16","15725640000","n/a","1998","Technology","Semiconductors","http://www.nasdaq.com/symbol/brcm", 71 | "BSFT","BroadSoft, Inc.","36.87","1036644883.92","n/a","2010","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/bsft", 72 | "BVSN","BroadVision, Inc.","9.96","46974019.32","n/a","1996","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/bvsn", 73 | "BRCD","Brocade Communications Systems, Inc.","8.23","3639311579.94","n/a","1999","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/brcd", 74 | "BRKS","Brooks Automation, Inc.","9.5","631455414.5","n/a","1995","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/brks", 75 | "BTUI","BTU International, Inc.","3.78","36079585.92","n/a","1989","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/btui", 76 | "CA","CA Inc.","30.1","13714441117.3","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/ca", 77 | "CCMP","Cabot Microelectronics Corporation","40.54","944256342.18","n/a","2000","Technology","Semiconductors","http://www.nasdaq.com/symbol/ccmp", 78 | "CDNS","Cadence Design Systems, Inc.","14.48","4111472398.72","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/cdns", 79 | "CAMP","CalAmp Corp.","26","921932232","n/a","1983","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/camp", 80 | "CALD","Callidus Software, Inc.","10.57","401850989.33","n/a","2000","Technology","EDP Services","http://www.nasdaq.com/symbol/cald", 81 | "CSIQ","Canadian Solar Inc.","23.13","1066331603.97","n/a","2006","Technology","Semiconductors","http://www.nasdaq.com/symbol/csiq", 82 | "CARB","Carbonite, Inc.","15.53","406664029.71","n/a","1992","Technology","EDP Services","http://www.nasdaq.com/symbol/carb", 83 | "CAVM","Cavium, Inc.","40.44","2086167846.48","n/a","2007","Technology","Semiconductors","http://www.nasdaq.com/symbol/cavm", 84 | "CRNT","Ceragon Networks Ltd.","3.76","138394951.68","n/a","1991","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/crnt", 85 | "CERN","Cerner Corporation","57.77","19821357825.5","n/a","1986","Technology","EDP Services","http://www.nasdaq.com/symbol/cern", 86 | "CEVA","CEVA, Inc.","14.02","309328966.14","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/ceva", 87 | "CYOU","Changyou.com Limited","37.55","456419048.4","12154968","2009","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/cyou", 88 | "CHRM","Charm Communications Inc.","4.31","41269357.67","9575257","2010","Technology","Advertising","http://www.nasdaq.com/symbol/chrm", 89 | "CHKP","Check Point Software Technologies Ltd.","58.41","11473842705.93","n/a","1996","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/chkp", 90 | "CNIT","China Information Technology, Inc.","5.06","136658496.48","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/cnit", 91 | "CMGE","China Mobile Games and Entertainment Group Limited","15.3","26695700.1","1744817","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/cmge", 92 | "CSUN","China Sunergy Co., Ltd.","6.15","65976941.7","10727958","2007","Technology","Semiconductors","http://www.nasdaq.com/symbol/csun", 93 | "CCIH","ChinaCache International Holdings Ltd.","9.73","139428866.43","14329791","2010","Technology","EDP Services","http://www.nasdaq.com/symbol/ccih", 94 | "CNET","ChinaNet Online Holdings, Inc.","0.9078","20177253.012","n/a","1996","Technology","Advertising","http://www.nasdaq.com/symbol/cnet", 95 | "IMOS","ChipMOS TECHNOLOGIES (Bermuda) LTD.","17.51","589294619.97","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/imos", 96 | "CIMT","Cimatron, Limited","7.04","73194154.88","n/a","1996","Technology","EDP Services","http://www.nasdaq.com/symbol/cimt", 97 | "CRUS","Cirrus Logic, Inc.","24.7","1567332201.5","n/a","1989","Technology","Semiconductors","http://www.nasdaq.com/symbol/crus", 98 | "CSCO","Cisco Systems, Inc.","22.961","123632676365.613","n/a","1990","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/csco", 99 | "CTXS","Citrix Systems, Inc.","57.26","10729499446.82","n/a","1995","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/ctxs", 100 | "CLNT","Cleantech Solutions International, Inc.","6.27","21966957.54","n/a","1994","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/clnt", 101 | "CLRO","ClearOne, Inc.","8.43","76544905.8","n/a","n/a","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/clro", 102 | "CKSW","ClickSoftware Technologies Ltd.","6.5","206545677","n/a","2000","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/cksw", 103 | "COBR","Cobra Electronics Corporation","2.8208","18647124.064","n/a","n/a","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/cobr", 104 | "CCOI","Cogent Communications Group, Inc.","35.1","1660002446.7","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/ccoi", 105 | "CTSH","Cognizant Technology Solutions Corporation","85.77","25848392112.45","n/a","1998","Technology","EDP Services","http://www.nasdaq.com/symbol/ctsh", 106 | "CLRX","CollabRx, Inc.","4.43","8651612.8","n/a","n/a","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/clrx", 107 | "CVLT","CommVault Systems, Inc.","87.33","4081110537.81","n/a","2006","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/cvlt", 108 | "CPSI","Computer Programs and Systems, Inc.","60.49","670232950.38","n/a","2002","Technology","EDP Services","http://www.nasdaq.com/symbol/cpsi", 109 | "CTG","Computer Task Group, Incorporated","18.01","339051775.51","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/ctg", 110 | "CPWR","Compuware Corporation","10.86","2331084219.54","n/a","1992","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/cpwr", 111 | "CMTL","Comtech Telecommunications Corp.","28.95","476476209.45","n/a","1972","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/cmtl", 112 | "CNQR","Concur Technologies, Inc.","110.04","6165335315.16","n/a","1998","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/cnqr", 113 | "CCUR","Concurrent Computer Corporation","7.28","67216553.04","n/a","n/a","Technology","Computer Manufacturing","http://www.nasdaq.com/symbol/ccur", 114 | "CTCT","Constant Contact, Inc.","23.6","724063717.6","n/a","2007","Technology","Advertising","http://www.nasdaq.com/symbol/ctct", 115 | "CSOD","Cornerstone OnDemand, Inc.","51.98","2672312592","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/csod", 116 | "CRRS","Corporate Resource Services, Inc.","3.69","578027400.48","n/a","n/a","Technology","Professional Services","http://www.nasdaq.com/symbol/crrs", 117 | "COVS","Covisint Corporation","13.46","489984380","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/covs", 118 | "CRAY","Cray Inc","23.54","939332956.76","n/a","n/a","Technology","Computer Manufacturing","http://www.nasdaq.com/symbol/cray", 119 | "CREE","Cree, Inc.","73.862","8871875779.02","n/a","1993","Technology","Semiconductors","http://www.nasdaq.com/symbol/cree", 120 | "CCRN","Cross Country Healthcare, Inc.","6.02","187131531.44","n/a","2001","Technology","Professional Services","http://www.nasdaq.com/symbol/ccrn", 121 | "CRDS","Crossroads Systems, Inc.","0.94","11226331.64","n/a","1992","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/crds", 122 | "CSGS","CSG Systems International, Inc.","26.54","897067658.6","n/a","1996","Technology","EDP Services","http://www.nasdaq.com/symbol/csgs", 123 | "CSPI","CSP Inc.","6.89","24078420.99","n/a","1982","Technology","EDP Services","http://www.nasdaq.com/symbol/cspi", 124 | "CSRE","CSR plc","33.39","22975425.27","688093","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/csre", 125 | "CVV","CVD Equipment Corporation","10.26","62301233.7","n/a","n/a","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/cvv", 126 | "CY","Cypress Semiconductor Corporation","9.54","1423984589.28","n/a","1986","Technology","Semiconductors","http://www.nasdaq.com/symbol/cy", 127 | "DAEG","Daegis Inc","0.87","14254466.28","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/daeg", 128 | "DTLK","Datalink Corporation","13.92","315873795.36","n/a","1999","Technology","EDP Services","http://www.nasdaq.com/symbol/dtlk", 129 | "DRAM","Dataram Corporation","2.3899","4193466.7138","n/a","1984","Technology","Electronic Components","http://www.nasdaq.com/symbol/dram", 130 | "DWCH","Datawatch Corporation","28.74","188290196.22","n/a","1992","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/dwch", 131 | "TRAK","Dealertrack Technologies, Inc.","41.5","1815594912.5","n/a","2005","Technology","EDP Services","http://www.nasdaq.com/symbol/trak", 132 | "DELL","Dell Inc.","13.83","24329200792.83","n/a","1988","Technology","Computer Manufacturing","http://www.nasdaq.com/symbol/dell", 133 | "DGII","Digi International Inc.","9.99","256871741.13","n/a","1989","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/dgii", 134 | "DMRC","Digimarc Corporation","20.73","150572023.32","n/a","1999","Technology","EDP Services","http://www.nasdaq.com/symbol/dmrc", 135 | "DGLY","Digital Ally, Inc.","13.5","28830114","n/a","n/a","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/dgly", 136 | "DRIV","Digital River, Inc.","18.57","636048795.12","n/a","1998","Technology","Retail: Computer Software & Peripheral Equipment","http://www.nasdaq.com/symbol/driv", 137 | "DIOD","Diodes Incorporated","25.31","1179442431.29","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/diod", 138 | "DLHC","DLH Holdings Corp.","1.37","12765936.74","n/a","n/a","Technology","Professional Services","http://www.nasdaq.com/symbol/dlhc", 139 | "HILL","Dot Hill Systems Corporation","2.95","173945177.65","n/a","n/a","Technology","Electronic Components","http://www.nasdaq.com/symbol/hill", 140 | "DSPG","DSP Group, Inc.","7.4","166920934.2","n/a","1994","Technology","Semiconductors","http://www.nasdaq.com/symbol/dspg", 141 | "DRCO","Dynamics Research Corporation","7.46","78357631.84","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/drco", 142 | "EOPN","E2open, Inc.","22.28","590583089.6","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/eopn", 143 | "ELNK","EarthLink, Inc.","5.26","541776754.58","n/a","n/a","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/elnk", 144 | "EBIX","Ebix, Inc.","11.39","432435268.58","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/ebix", 145 | "ELON","Echelon Corporation","2.22","96001673.34","n/a","1998","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/elon", 146 | "SATS","EchoStar Corporation","47.97","4298764152.15","n/a","n/a","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/sats", 147 | "EDGW","Edgewater Technology, Inc.","5.84","63246732.8","n/a","n/a","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/edgw", 148 | "EFUT","eFuture Information Technology Inc.","4.87","19369066.27","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/efut", 149 | "EGAN","eGain Corporation","13.75","348028381.25","n/a","1999","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/egan", 150 | "ELRC","Electro Rent Corporation","19.22","461220917.72","n/a","n/a","Technology","Diversified Commercial Services","http://www.nasdaq.com/symbol/elrc", 151 | "EA","Electronic Arts Inc.","25.03","7674644885.62","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/ea", 152 | "EFII","Electronics for Imaging, Inc.","34.56","1604148364.8","n/a","1992","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/efii", 153 | "ELTK","Eltek Ltd.","1.28","8460936.96","n/a","1997","Technology","Electrical Products","http://www.nasdaq.com/symbol/eltk", 154 | "EMKR","EMCORE Corporation","5.45","163517412.75","n/a","1997","Technology","Semiconductors","http://www.nasdaq.com/symbol/emkr", 155 | "ERII","Energy Recovery, Inc.","6.69","341407866.54","n/a","2008","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/erii", 156 | "ENOC","EnerNOC, Inc.","16","483716368","n/a","2007","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/enoc", 157 | "ENPH","Enphase Energy, Inc.","8.84","369164711.76","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/enph", 158 | "ENTR","Entropic Communications, Inc.","4.43","403239739.96","n/a","1994","Technology","Semiconductors","http://www.nasdaq.com/symbol/entr", 159 | "ENVI","Envivio, Inc.","3.1","85595234.6","n/a","1987","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/envi", 160 | "EPIQ","EPIQ Systems, Inc.","14.03","509982418.72","n/a","1997","Technology","EDP Services","http://www.nasdaq.com/symbol/epiq", 161 | "PLUS","ePlus inc.","54.51","446977911.75","n/a","1996","Technology","Retail: Computer Software & Peripheral Equipment","http://www.nasdaq.com/symbol/plus", 162 | "ERIC","Ericsson","13.19","2589630397.02","196332858","n/a","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/eric", 163 | "EVOL","Evolving Systems, Inc.","10.72","122633165.92","n/a","1998","Technology","EDP Services","http://www.nasdaq.com/symbol/evol", 164 | "EXA","Exa Corporation","14.91","198874395.93","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/exa", 165 | "EXTR","Extreme Networks, Inc.","5.83","550738336.61","n/a","1999","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/extr", 166 | "EZCH","EZchip Semiconductor Limited","25.64","735521449.76","n/a","n/a","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/ezch", 167 | "FFIV","F5 Networks, Inc.","87.81","6875842716.21","n/a","1999","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/ffiv", 168 | "FB","Facebook, Inc.","54.22","132043048719.18","n/a","1994","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/fb", 169 | "FALC","FalconStor Software, Inc.","1.38","66283797.06","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/falc", 170 | "FNSR","Finisar Corporation","25.73","2465728773.97","n/a","1999","Technology","Semiconductors","http://www.nasdaq.com/symbol/fnsr", 171 | "FEYE","FireEye, Inc.","42.37","4977239872.13","n/a","n/a","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/feye", 172 | "FSLR","First Solar, Inc.","49.97","4879439228.81","n/a","2006","Technology","Semiconductors","http://www.nasdaq.com/symbol/fslr", 173 | "FISV","Fiserv, Inc.","104.62","13610058275.72","n/a","1986","Technology","EDP Services","http://www.nasdaq.com/symbol/fisv", 174 | "FLEX","Flextronics International Ltd.","9.205","5634674176.32","n/a","1994","Technology","Electrical Products","http://www.nasdaq.com/symbol/flex", 175 | "FORM","FormFactor, Inc.","6.42","350104537.14","n/a","1993","Technology","Semiconductors","http://www.nasdaq.com/symbol/form", 176 | "FORTY","Formula Systems (1985) Ltd.","25.89","19558419.27","755443","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/forty", 177 | "FTNT","Fortinet, Inc.","20.2","3284247643.4","n/a","2009","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/ftnt", 178 | "GIGM","GigaMedia Limited","1.06","53763174.56","n/a","n/a","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/gigm", 179 | "GILT","Gilat Satellite Networks Ltd.","4.88","205085635.6","n/a","n/a","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/gilt", 180 | "GCOM","Globecomm Systems Inc.","14.12","337037424.72","n/a","1997","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/gcom", 181 | "GLUU","Glu Mobile Inc.","3.3","257152041.3","n/a","2007","Technology","EDP Services","http://www.nasdaq.com/symbol/gluu", 182 | "GOOG","Google Inc.","1011.408","336820076259.984","n/a","2004","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/goog", 183 | "GRPN","Groupon, Inc.","10.65","7088057136.15","n/a","n/a","Technology","Advertising","http://www.nasdaq.com/symbol/grpn", 184 | "GSIT","GSI Technology, Inc.","7.31","201317473.1","n/a","2007","Technology","Semiconductors","http://www.nasdaq.com/symbol/gsit", 185 | "GTAT","GT Advanced Technologies, Inc.","8.63","1067019284.15","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/gtat", 186 | "GUID","Guidance Software, Inc.","9.22","264660100","n/a","2006","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/guid", 187 | "HSOL","Hanwha SolarOne Co., Ltd.","5.355","258637310.82","48298284","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/hsol", 188 | "HLIT","Harmonic Inc.","7.95","803922396.3","n/a","1995","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/hlit", 189 | "HAUP","Hauppauge Digital, Inc.","0.391","3957836.504","n/a","n/a","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/haup", 190 | "HSTM","HealthStream, Inc.","39.46","1058276003.76","n/a","2000","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/hstm", 191 | "HSII","Heidrick & Struggles International, Inc.","19.46","352344822.76","n/a","1999","Technology","Diversified Commercial Services","http://www.nasdaq.com/symbol/hsii", 192 | "HIMX","Himax Technologies, Inc.","10.69","1033995851.56","96725524","2006","Technology","Semiconductors","http://www.nasdaq.com/symbol/himx", 193 | "HITT","Hittite Microwave Corporation","66.05","2082194810.2","n/a","2005","Technology","Semiconductors","http://www.nasdaq.com/symbol/hitt", 194 | "AWAY","HomeAway, Inc.","28.24","2407626305.36","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/away", 195 | "HSON","Hudson Global, Inc.","3.36","111273220.8","n/a","n/a","Technology","Professional Services","http://www.nasdaq.com/symbol/hson", 196 | "INVE","Identive Group, Inc.","0.72","52918354.08","n/a","n/a","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/inve", 197 | "IGTE","iGATE Corporation","30.82","1785265820.84","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/igte", 198 | "IGOI","iGo, Inc","2.87","8456710.43","n/a","n/a","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/igoi", 199 | "IMMR","Immersion Corporation","13.74","392141015.22","n/a","1999","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/immr", 200 | "INFA","Informatica Corporation","37.59","4068628830","n/a","1999","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/infa", 201 | "INOD","Innodata Inc.","2.31","57865243.59","n/a","1993","Technology","EDP Services","http://www.nasdaq.com/symbol/inod", 202 | "ISSC","Innovative Solutions and Support, Inc.","7.94","133423934.68","n/a","2000","Technology","EDP Services","http://www.nasdaq.com/symbol/issc", 203 | "IDTI","Integrated Device Technology, Inc.","10.13","1518243707.79","n/a","1984","Technology","Semiconductors","http://www.nasdaq.com/symbol/idti", 204 | "ISSI","Integrated Silicon Solution, Inc.","11.75","340294170.5","n/a","1995","Technology","Semiconductors","http://www.nasdaq.com/symbol/issi", 205 | "INTC","Intel Corporation","23.875","118945250000","n/a","1971","Technology","Semiconductors","http://www.nasdaq.com/symbol/intc", 206 | "ININ","Interactive Intelligence Group, Inc.","61.83","1238844552.66","n/a","1995","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/inin", 207 | "IMI","Intermolecular, Inc.","6.12","276757703.64","n/a","1994","Technology","Semiconductors","http://www.nasdaq.com/symbol/imi", 208 | "INAP","Internap Network Services Corporation","6.89","370109468.56","n/a","1999","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/inap", 209 | "IIJI","Internet Initiative Japan, Inc.","14.16","34958066.4","2468790","n/a","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/iiji", 210 | "INPH","Interphase Corporation","4.3","30147927.8","n/a","1984","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/inph", 211 | "INTX","Intersections, Inc.","8.81","159442604.72","n/a","2004","Technology","EDP Services","http://www.nasdaq.com/symbol/intx", 212 | "ISIL","Intersil Corporation","11.07","1409238497.88","n/a","1972","Technology","Semiconductors","http://www.nasdaq.com/symbol/isil", 213 | "IVAC","Intevac, Inc.","4.97","118251895.86","n/a","1985","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/ivac", 214 | "INTU","Intuit Inc.","68.74","19433680552.86","n/a","1993","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/intu", 215 | "IPAS","iPass Inc.","1.96","125307796.04","n/a","2003","Technology","EDP Services","http://www.nasdaq.com/symbol/ipas", 216 | "IPGP","IPG Photonics Corporation","62.58","3225235774.32","n/a","2006","Technology","Semiconductors","http://www.nasdaq.com/symbol/ipgp", 217 | "IXYS","IXYS Corporation","10.95","340533677.7","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/ixys", 218 | "JCOM","j2 Global, Inc.","54.55","2524028990.95","n/a","1999","Technology","Telecommunications Equipment","http://www.nasdaq.com/symbol/jcom", 219 | "JASO","JA Solar Holdings, Co., Ltd.","10.47","300250085.07","28677181","2007","Technology","Semiconductors","http://www.nasdaq.com/symbol/jaso", 220 | "JKHY","Jack Henry & Associates, Inc.","54.4","4646964307.2","n/a","1985","Technology","EDP Services","http://www.nasdaq.com/symbol/jkhy", 221 | "JDSU","JDS Uniphase Corporation","15.55","3559809687.4","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/jdsu", 222 | "DATE","Jiayuan.com International Ltd.","7.03","83479042.58","11874686","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/date", 223 | "JIVE","Jive Software, Inc.","12.48","858146377.92","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/jive", 224 | "KELYA","Kelly Services, Inc.","20.66","828793791.56","n/a","n/a","Technology","Professional Services","http://www.nasdaq.com/symbol/kelya", 225 | "KELYB","Kelly Services, Inc.","20.1001","69836993.446","n/a","n/a","Technology","Professional Services","http://www.nasdaq.com/symbol/kelyb", 226 | "KTEC","Key Technology, Inc.","14.34","88460635.02","n/a","1993","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/ktec", 227 | "KTCC","Key Tronic Corporation","11.06","116305422.66","n/a","1983","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/ktcc", 228 | "KFRC","Kforce, Inc.","18","603569754","n/a","1995","Technology","Professional Services","http://www.nasdaq.com/symbol/kfrc", 229 | "KBALB","Kimball International, Inc.","11.41","434492092.58","n/a","1976","Technology","Electrical Products","http://www.nasdaq.com/symbol/kbalb", 230 | "KONE","Kingtone Wirelessinfo Solution Holding Ltd","3.01","2150268.75","714375","2010","Technology","EDP Services","http://www.nasdaq.com/symbol/kone", 231 | "KONG","KongZhong Corporation","10.63","253654962.77","23862179","2004","Technology","Telecommunications Equipment","http://www.nasdaq.com/symbol/kong", 232 | "KOPN","Kopin Corporation","4.09","273699217.16","n/a","1992","Technology","Semiconductors","http://www.nasdaq.com/symbol/kopn", 233 | "KLIC","Kulicke and Soffa Industries, Inc.","13.02","980113544.76","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/klic", 234 | "KVHI","KVH Industries, Inc.","13.97","217533296.2","n/a","1996","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/kvhi", 235 | "LRCX","Lam Research Corporation","53.85","8728703041.95","n/a","1984","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/lrcx", 236 | "LAMR","Lamar Advertising Company","46.99","4440241200.78","n/a","1996","Technology","Advertising","http://www.nasdaq.com/symbol/lamr", 237 | "LTRX","Lantronix, Inc.","1.42","20703264.88","n/a","2000","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/ltrx", 238 | "LSCC","Lattice Semiconductor Corporation","4.46","517792829.62","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/lscc", 239 | "LPTH","LightPath Technologies, Inc.","1.46","20134797.22","n/a","1996","Technology","Semiconductors","http://www.nasdaq.com/symbol/lpth", 240 | "LECO","Lincoln Electric Holdings, Inc.","70.01","5755128363.76","n/a","n/a","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/leco", 241 | "LLTC","Linear Technology Corporation","39.27","9366706161.12","n/a","1986","Technology","Semiconductors","http://www.nasdaq.com/symbol/lltc", 242 | "LTON","Linktone Ltd.","3.01","71899328.2","23886820","2004","Technology","Telecommunications Equipment","http://www.nasdaq.com/symbol/lton", 243 | "LIVE","LiveDeal, Inc.","3.09","10863448.11","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/live", 244 | "LPSN","LivePerson, Inc.","9.66","521976815.22","n/a","2000","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/lpsn", 245 | "LOGI","Logitech International S.A.","8.93","1427001114.01","n/a","1997","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/logi", 246 | "LOGM","LogMein, Inc.","31.23","757861782.84","n/a","2009","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/logm", 247 | "LOOK","LookSmart, Ltd.","0.7","12115641.3","n/a","1999","Technology","EDP Services","http://www.nasdaq.com/symbol/look", 248 | "LORL","Loral Space and Communications, Inc.","67.94","2100696986.9","n/a","n/a","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/lorl", 249 | "LSI","LSI Corporation","7.99","4371130296.69","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/lsi", 250 | "MTSI","M/A-COM Technology Solutions Holdings, Inc.","17.34","803401631.16","n/a","1992","Technology","Semiconductors","http://www.nasdaq.com/symbol/mtsi", 251 | "MGIC","Magic Software Enterprises Ltd.","6.43","236946046.55","n/a","1991","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/mgic", 252 | "MNGA","MagneGas Corporation","0.652","14912234.952","n/a","n/a","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/mnga", 253 | "COOL","Majesco Entertainment Company","0.6","27777581.4","n/a","1998","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/cool", 254 | "MAMS","MAM Software Group, Inc.","3.8976","56359962.4896","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/mams", 255 | "MANH","Manhattan Associates, Inc.","95.03","1835227342.52","n/a","1998","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/manh", 256 | "MNTX","Manitex International, Inc.","13.31","164850658.94","n/a","n/a","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/mntx", 257 | "MKTO","Marketo, Inc.","35.73","1323399682.62","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/mkto", 258 | "MRVL","Marvell Technology Group Ltd.","11.75","5784525000","n/a","2000","Technology","Semiconductors","http://www.nasdaq.com/symbol/mrvl", 259 | "MTSN","Mattson Technology, Inc.","2.85","168192561.9","n/a","1994","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/mtsn", 260 | "MXIM","Maxim Integrated Products, Inc.","29.969","8485749412.007","n/a","1988","Technology","Semiconductors","http://www.nasdaq.com/symbol/mxim", 261 | "MGRC","McGrath RentCorp","34.11","873986749.56","n/a","1984","Technology","Diversified Commercial Services","http://www.nasdaq.com/symbol/mgrc", 262 | "MDCA","MDC Partners Inc.","28.97","911556548.95","n/a","n/a","Technology","Advertising","http://www.nasdaq.com/symbol/mdca", 263 | "MDAS","MedAssets, Inc.","26.01","1591651284.21","n/a","2007","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/mdas", 264 | "MDSO","Medidata Solutions, Inc.","104.62","2790932360.86","n/a","2009","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/mdso", 265 | "MLNX","Mellanox Technologies, Ltd.","39.49","1714168216.97","n/a","2007","Technology","Semiconductors","http://www.nasdaq.com/symbol/mlnx", 266 | "MENT","Mentor Graphics Corporation","22.89","2593004791.02","n/a","1984","Technology","EDP Services","http://www.nasdaq.com/symbol/ment", 267 | "MRGE","Merge Healthcare Incorporated.","2.64","247273321.68","n/a","1998","Technology","EDP Services","http://www.nasdaq.com/symbol/mrge", 268 | "MERU","Meru Networks, Inc.","3.24","72783360","n/a","2010","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/meru", 269 | "MCRL","Micrel, Incorporated","9.36","541321194.96","n/a","1994","Technology","Semiconductors","http://www.nasdaq.com/symbol/mcrl", 270 | "MCHP","Microchip Technology Incorporated","40.3","7951381908.6","n/a","1993","Technology","Semiconductors","http://www.nasdaq.com/symbol/mchp", 271 | "MU","Micron Technology, Inc.","17.029","17684192682.248","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/mu", 272 | "MCRS","MICROS Systems, Inc.","51.71","3900436330.63","n/a","1981","Technology","EDP Services","http://www.nasdaq.com/symbol/mcrs", 273 | "MSCC","Microsemi Corporation","25.76","2400250957.44","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/mscc", 274 | "MSFT","Microsoft Corporation","34.96","292291601674.8","n/a","1986","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/msft", 275 | "MSTR","MicroStrategy Incorporated","100.18","1132137886.66","n/a","1992","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/mstr", 276 | "MNDO","MIND C.T.I. Ltd.","1.67","31364968.06","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/mndo", 277 | "MSPD","Mindspeed Technologies, Inc.","3.05","132340347.9","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/mspd", 278 | "MIND","Mitcham Industries, Inc.","16.54","212333507.04","n/a","1994","Technology","Diversified Commercial Services","http://www.nasdaq.com/symbol/mind", 279 | "MITK","Mitek Systems, Inc.","5.46","165705234.24","n/a","n/a","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/mitk", 280 | "MITL","Mitel Networks Corporation","5.75","309740706.75","n/a","n/a","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/mitl", 281 | "MPWR","Monolithic Power Systems, Inc.","30.77","1158087043.76","n/a","1998","Technology","Semiconductors","http://www.nasdaq.com/symbol/mpwr", 282 | "TYPE","Monotype Imaging Holdings Inc.","29","1124721558","n/a","2007","Technology","EDP Services","http://www.nasdaq.com/symbol/type", 283 | "MONT","Montage Technology Group Limited","14.61","386863201.23","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/mont", 284 | "MOSY","MoSys, Inc.","4.29","206265778.29","n/a","2001","Technology","Semiconductors","http://www.nasdaq.com/symbol/mosy", 285 | "MFLX","Multi-Fineline Electronix, Inc.","14.73","354251668.56","n/a","2004","Technology","Electrical Products","http://www.nasdaq.com/symbol/mflx", 286 | "NATI","National Instruments Corporation","30.49","3805115625.43","n/a","1995","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/nati", 287 | "NCIT","NCI, Inc.","5.22","67482150.3","n/a","2005","Technology","EDP Services","http://www.nasdaq.com/symbol/ncit", 288 | "NETE","Net Element International, Inc.","4.76","134057484.12","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/nete", 289 | "NTAP","NetApp, Inc.","41.37","14069696764.41","n/a","1995","Technology","Electronic Components","http://www.nasdaq.com/symbol/ntap", 290 | "NLST","Netlist, Inc.","0.86","27160878.62","n/a","2006","Technology","Semiconductors","http://www.nasdaq.com/symbol/nlst", 291 | "NTCT","NetScout Systems, Inc.","29.32","1213049235.24","n/a","1999","Technology","EDP Services","http://www.nasdaq.com/symbol/ntct", 292 | "NTWK","NetSol Technologies Inc.","7.41","66585689.43","n/a","1994","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/ntwk", 293 | "NICE","NICE-Systems Limited","40.54","1557436896.06","38417289","n/a","Technology","Computer Manufacturing","http://www.nasdaq.com/symbol/nice", 294 | "NINE","Ninetowns Internet Technology Group Company Limited","1.78","55141381.12","30978304","1995","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/nine", 295 | "NUAN","Nuance Communications, Inc.","17.14","5319051726.46","n/a","2000","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/nuan", 296 | "NVEC","NVE Corporation","53.07","258049478.52","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/nvec", 297 | "NVDA","NVIDIA Corporation","15.81","9147634980.78","n/a","1999","Technology","Semiconductors","http://www.nasdaq.com/symbol/nvda", 298 | "NXPI","NXP Semiconductors N.V.","37.91","9543899365","n/a","2010","Technology","Semiconductors","http://www.nasdaq.com/symbol/nxpi", 299 | "OIIM","O2Micro International Limited","3.11","103281520.12","33209492","2000","Technology","Semiconductors","http://www.nasdaq.com/symbol/oiim", 300 | "OCLR","Oclaro, Inc.","2.17","201535097.89","n/a","1997","Technology","Semiconductors","http://www.nasdaq.com/symbol/oclr", 301 | "OCZ","OCZ Technology Group Inc","1.34","91397602.44","n/a","n/a","Technology","Electronic Components","http://www.nasdaq.com/symbol/ocz", 302 | "OMCL","Omnicell, Inc.","23.75","827465912.5","n/a","2001","Technology","Computer Manufacturing","http://www.nasdaq.com/symbol/omcl", 303 | "OVTI","OmniVision Technologies, Inc.","14.29","794341259.48","n/a","2000","Technology","Semiconductors","http://www.nasdaq.com/symbol/ovti", 304 | "ONNN","ON Semiconductor Corporation","7.16","3221068233.4","n/a","2000","Technology","Semiconductors","http://www.nasdaq.com/symbol/onnn", 305 | "OTIV","On Track Innovations Ltd","1.8","58060461.6","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/otiv", 306 | "OTEX","Open Text Corporation","74.98","4429243228.42","n/a","1996","Technology","EDP Services","http://www.nasdaq.com/symbol/otex", 307 | "OSIS","OSI Systems, Inc.","76.14","1526876383.32","n/a","1997","Technology","Semiconductors","http://www.nasdaq.com/symbol/osis", 308 | "OVRL","Overland Storage, Inc.","0.85","26450774.3","n/a","1997","Technology","Electronic Components","http://www.nasdaq.com/symbol/ovrl", 309 | "PFIN","P & F Industries, Inc.","7.59","28037224.71","n/a","n/a","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/pfin", 310 | "PACT ","Pactera Technology International Ltd","7.1","539810493.7","76029647","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/pact ", 311 | "PRKR","ParkerVision, Inc.","6.39","590577921.9","n/a","1993","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/prkr", 312 | "PCTI","PC-Tel, Inc.","8.9","164340947.5","n/a","1999","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/pcti", 313 | "PDFS","PDF Solutions, Inc.","23.09","691674619.28","n/a","2001","Technology","EDP Services","http://www.nasdaq.com/symbol/pdfs", 314 | "PRLS","Peerless Systems Corporation","3.67","10497774.43","n/a","1996","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/prls", 315 | "PEGA","Pegasystems Inc.","38.93","1476858796.45","n/a","1996","Technology","EDP Services","http://www.nasdaq.com/symbol/pega", 316 | "PSMI","Peregrine Semiconductor Corp.","8.73","282003601.14","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/psmi", 317 | "PRFT","Perficient, Inc.","20.25","669876277.5","n/a","1987","Technology","EDP Services","http://www.nasdaq.com/symbol/prft", 318 | "PTIX","Performance Technologies, Incorporated","2.85","31790980.5","n/a","1996","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/ptix", 319 | "PSEM","Pericom Semiconductor Corporation","7.31","166425490.75","n/a","1997","Technology","Semiconductors","http://www.nasdaq.com/symbol/psem", 320 | "PERI","Perion Network Ltd","13.42","167383862.14","n/a","1995","Technology","EDP Services","http://www.nasdaq.com/symbol/peri", 321 | "PLAB","Photronics, Inc.","8.81","540603721.91","n/a","1987","Technology","Semiconductors","http://www.nasdaq.com/symbol/plab", 322 | "PXLW","Pixelworks, Inc.","5.23","114350754.47","n/a","2000","Technology","Semiconductors","http://www.nasdaq.com/symbol/pxlw", 323 | "PLXS","Plexus Corp.","39.57","1335514249.32","n/a","n/a","Technology","Electrical Products","http://www.nasdaq.com/symbol/plxs", 324 | "PLXT","PLX Technology, Inc.","6.1","278477151.2","n/a","1999","Technology","Semiconductors","http://www.nasdaq.com/symbol/plxt", 325 | "PMCS","PMC - Sierra, Inc.","6.94","1418584642.46","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/pmcs", 326 | "PNTR","Pointer Telocation Ltd.","5.8243","32357236.4594","n/a","n/a","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/pntr", 327 | "POWI","Power Integrations, Inc.","53.57","1585886119.29","n/a","1997","Technology","Semiconductors","http://www.nasdaq.com/symbol/powi", 328 | "PKT","Procera Networks, Inc.","14.55","299561380.05","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/pkt", 329 | "IPDN","Professional Diversity Network, Inc.","5","31591135","n/a","n/a","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/ipdn", 330 | "PRGS","Progress Software Corporation","26.27","1363870308.16","n/a","1991","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/prgs", 331 | "PFPT","Proofpoint, Inc.","30.67","1083037472.67","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/pfpt", 332 | "PMTC","PTC Inc.","27.62","3288720001.18","n/a","1989","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/pmtc", 333 | "QADA","QAD Inc.","13.83","216623743.26","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/qada", 334 | "QADB","QAD Inc.","11.9","37445027.9","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/qadb", 335 | "QLIK","Qlik Technologies Inc.","33.3","2925749854.8","n/a","2010","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/qlik", 336 | "QLGC","QLogic Corporation","11.14","976855460","n/a","n/a","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/qlgc", 337 | "QCOM","QUALCOMM Incorporated","68.402","117338557555.258","n/a","1991","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/qcom", 338 | "QSII","Quality Systems, Inc.","23.15","1379483868.4","n/a","1982","Technology","EDP Services","http://www.nasdaq.com/symbol/qsii", 339 | "QBAK","Qualstar Corporation","1.3","15929052.1","n/a","2000","Technology","Electronic Components","http://www.nasdaq.com/symbol/qbak", 340 | "QLYS","Qualys, Inc.","22.14","708475682.7","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/qlys", 341 | "QUIK","QuickLogic Corporation","3.75","167843310","n/a","1986","Technology","Semiconductors","http://www.nasdaq.com/symbol/quik", 342 | "QUMU","Qumu Corporation","13.03","113024943.27","n/a","n/a","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/qumu", 343 | "RDCM","Radcom Ltd.","5.1","39429446.4","n/a","1997","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/rdcm", 344 | "RSYS","RadiSys Corporation","3.14","91112199.36","n/a","1995","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/rsys", 345 | "RMBS","Rambus, Inc.","9.485","1066687263.915","n/a","1997","Technology","Semiconductors","http://www.nasdaq.com/symbol/rmbs", 346 | "RCMT","RCM Technologies, Inc.","6.39","79010260.47","n/a","n/a","Technology","Professional Services","http://www.nasdaq.com/symbol/rcmt", 347 | "RDA","RDA Microelectronics, Inc.","14.98","363368991.16","24256942","1990","Technology","Semiconductors","http://www.nasdaq.com/symbol/rda", 348 | "RLOC","ReachLocal, Inc.","12.7","356305497.7","n/a","2010","Technology","Advertising","http://www.nasdaq.com/symbol/rloc", 349 | "RNWK","RealNetworks, Inc.","8.63","307874136.73","n/a","1997","Technology","EDP Services","http://www.nasdaq.com/symbol/rnwk", 350 | "RP","RealPage, Inc.","25.66","1976757616.4","n/a","1983","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/rp", 351 | "RCII","Rent-A-Center Inc.","35.89","1916085342.58","n/a","1995","Technology","Diversified Commercial Services","http://www.nasdaq.com/symbol/rcii", 352 | "MKTG","Responsys, Inc.","16.97","854412619.52","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/mktg", 353 | "RFMD","RF Micro Devices, Inc.","6.05","1701931398.75","n/a","1997","Technology","Semiconductors","http://www.nasdaq.com/symbol/rfmd", 354 | "RVBD","Riverbed Technology, Inc.","14.41","2366935689.47","n/a","2006","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/rvbd", 355 | "FUEL","Rocket Fuel Inc.","66.43","2158561606.11","n/a","1986","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/fuel", 356 | "RBCN","Rubicon Technology, Inc.","10.27","232466092.04","n/a","2007","Technology","Semiconductors","http://www.nasdaq.com/symbol/rbcn", 357 | "SNDK","SanDisk Corporation","68.73","16521976383.24","n/a","1995","Technology","Electronic Components","http://www.nasdaq.com/symbol/sndk", 358 | "SANM","Sanmina Corporation","17.4","1455179313","n/a","1993","Technology","Electrical Products","http://www.nasdaq.com/symbol/sanm", 359 | "SPNS","Sapiens International Corporation N.V.","6.64","259509141.28","n/a","1992","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/spns", 360 | "SAPE","Sapient Corporation","15.81","2210059410.24","n/a","1996","Technology","EDP Services","http://www.nasdaq.com/symbol/sape", 361 | "SCSC","ScanSource, Inc.","35.63","1000145715.38","n/a","n/a","Technology","Retail: Computer Software & Peripheral Equipment","http://www.nasdaq.com/symbol/scsc", 362 | "SGMS","Scientific Games Corp","18.42","1567287509.28","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/sgms", 363 | "SQI","SciQuest, Inc.","22.97","526006775.13","n/a","2010","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/sqi", 364 | "SEAC","SeaChange International, Inc.","13.72","450942017.68","n/a","1996","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/seac", 365 | "STX","Seagate Technology.","50.04","17867525043.96","n/a","1988","Technology","Electronic Components","http://www.nasdaq.com/symbol/stx", 366 | "SLTC","Selectica, Inc.","6.11","21355733.1","n/a","1980","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/sltc", 367 | "LEDS","SemiLEDS Corporation","1.29","35811406.2","n/a","2010","Technology","Semiconductors","http://www.nasdaq.com/symbol/leds", 368 | "SMTC","Semtech Corporation","31.03","2111691478.66","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/smtc", 369 | "SGOC","SGOCO Group, Ltd","3.52","62164453.12","n/a","2010","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/sgoc", 370 | "SWIR","Sierra Wireless, Inc.","19.2","590400096","n/a","n/a","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/swir", 371 | "SIFY","Sify Technologies Limited","2.26","56680974.02","25080077","n/a","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/sify", 372 | "SIGM","Sigma Designs, Inc.","5.6","193580564.8","n/a","1986","Technology","Semiconductors","http://www.nasdaq.com/symbol/sigm", 373 | "SGMA","SigmaTron International, Inc.","5.27","20875692.64","n/a","1972","Technology","Electrical Products","http://www.nasdaq.com/symbol/sgma", 374 | "SILC","Silicom Ltd","36.34","258559572.42","n/a","n/a","Technology","Computer Communications Equipment","http://www.nasdaq.com/symbol/silc", 375 | "SGI","Silicon Graphics International Corp","14.5","496969853.5","n/a","n/a","Technology","Computer Manufacturing","http://www.nasdaq.com/symbol/sgi", 376 | "SLAB","Silicon Laboratories, Inc.","43.66","1864873287.38","n/a","1996","Technology","Semiconductors","http://www.nasdaq.com/symbol/slab", 377 | "SIMO","Silicon Motion Technology Corporation","12.89","422254757.69","32758321","2005","Technology","Semiconductors","http://www.nasdaq.com/symbol/simo", 378 | "SPIL","Siliconware Precision Industries Company, Ltd.","6.03","402640195.05","66772835","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/spil", 379 | "SLP","Simulations Plus, Inc.","4.82","77268909.08","n/a","1985","Technology","EDP Services","http://www.nasdaq.com/symbol/slp", 380 | "SINA","Sina Corporation","91.07","6068818920.99","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/sina", 381 | "MOBI","Sky-mobi Limited","4.99","51884198.65","10397635","1998","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/mobi", 382 | "SWKS","Skyworks Solutions, Inc.","24.92","4678440130.56","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/swks", 383 | "SMT","SMART Technologies Inc.","2.8","117633278","n/a","1994","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/smt", 384 | "SMSI","Smith Micro Software, Inc.","0.8437","31253401.8368","n/a","1984","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/smsi", 385 | "SMTX","SMTC Corporation","2.06","33703373.66","n/a","2000","Technology","Electrical Products","http://www.nasdaq.com/symbol/smtx", 386 | "SOHU","Sohu.com Inc.","86.06","3294264147.46","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/sohu", 387 | "SOFO","Sonic Foundry, Inc.","9","35850609","n/a","n/a","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/sofo", 388 | "SONS","Sonus Networks, Inc.","3.47","955928331.43","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/sons", 389 | "SPDC","Speed Commerce, Inc.","3.56","202466804.88","n/a","n/a","Technology","Retail: Computer Software & Peripheral Equipment","http://www.nasdaq.com/symbol/spdc", 390 | "SPLK","Splunk Inc.","61.882","6547137320.582","n/a","1981","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/splk", 391 | "SPRD","Spreadtrum Communications, Inc.","30.54","1296650858.94","42457461","2007","Technology","Semiconductors","http://www.nasdaq.com/symbol/sprd", 392 | "SPSC","SPS Commerce, Inc.","77.98","1180870401.06","n/a","2010","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/spsc", 393 | "SSNC","SS&C Technologies Holdings, Inc.","38.83","3189847495.01","n/a","1996","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/ssnc", 394 | "SSYS","Stratasys, Ltd.","110.85","5362308891","n/a","1994","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/ssys", 395 | "STRM","Streamline Health Solutions, Inc.","8.35","109535876.15","n/a","1992","Technology","EDP Services","http://www.nasdaq.com/symbol/strm", 396 | "SPWR","SunPower Corporation","33.57","4070484728.37","n/a","2005","Technology","Semiconductors","http://www.nasdaq.com/symbol/spwr", 397 | "SMCI","Super Micro Computer, Inc.","14.24","608085095.2","n/a","1996","Technology","Computer Manufacturing","http://www.nasdaq.com/symbol/smci", 398 | "SPCB","SuperCom, Ltd.","4.5405","42346346.661","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/spcb", 399 | "SCON","Superconductor Technologies Inc.","1.835","19217879.765","n/a","1993","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/scon", 400 | "SUPX","Supertex, Inc.","24.29","280822713.92","n/a","1983","Technology","Semiconductors","http://www.nasdaq.com/symbol/supx", 401 | "SPRT","support.com, Inc.","5.6","290916253.6","n/a","2000","Technology","EDP Services","http://www.nasdaq.com/symbol/sprt", 402 | "SYKE","Sykes Enterprises, Incorporated","19.04","838628281.12","n/a","1996","Technology","EDP Services","http://www.nasdaq.com/symbol/syke", 403 | "SYMC","Symantec Corporation","25.39","17757735963.63","n/a","1989","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/symc", 404 | "SYNC","Synacor, Inc.","2.45","66958220.7","n/a","1996","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/sync", 405 | "SYNA","Synaptics Incorporated","54.05","1807918179.75","n/a","2002","Technology","EDP Services","http://www.nasdaq.com/symbol/syna", 406 | "SNCR","Synchronoss Technologies, Inc.","37.74","1515437698.68","n/a","2006","Technology","EDP Services","http://www.nasdaq.com/symbol/sncr", 407 | "SNPS","Synopsys, Inc.","38.19","5896854771.93","n/a","1992","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/snps", 408 | "SYNT","Syntel, Inc.","87.02","3647892671.28","n/a","1986","Technology","EDP Services","http://www.nasdaq.com/symbol/synt", 409 | "TTWO","Take-Two Interactive Software, Inc.","17.22","1599382114.26","n/a","1997","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/ttwo", 410 | "TNGO","Tangoe, Inc.","25.34","951189911.28","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/tngo", 411 | "TECD","Tech Data Corporation","50.56","1909174166.4","n/a","1986","Technology","Retail: Computer Software & Peripheral Equipment","http://www.nasdaq.com/symbol/tecd", 412 | "TCCO","Technical Communications Corporation","6.731","12376397.396","n/a","n/a","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/tcco", 413 | "TSYS","TeleCommunication Systems, Inc.","2.485","145790422.33","n/a","2000","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/tsys", 414 | "TTEC","TeleTech Holdings, Inc.","25.85","1314517142.95","n/a","1996","Technology","Professional Services","http://www.nasdaq.com/symbol/ttec", 415 | "TSRA","Tessera Technologies, Inc.","19.61","1056767741.47","n/a","2003","Technology","Semiconductors","http://www.nasdaq.com/symbol/tsra", 416 | "TXN","Texas Instruments Incorporated","40.71","44828744850.84","n/a","n/a","Technology","Semiconductors","http://www.nasdaq.com/symbol/txn", 417 | "DSGX","The Descartes Systems Group Inc.","11.77","738293729.8","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/dsgx", 418 | "KEYW","The KEYW Holding Corporation","13","476703474","n/a","2010","Technology","EDP Services","http://www.nasdaq.com/symbol/keyw", 419 | "MIDD","The Middleby Corporation","223.08","4262090186.64","n/a","n/a","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/midd", 420 | "ULTI","The Ultimate Software Group, Inc.","148.4","4130783154.4","n/a","1998","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/ulti", 421 | "TIBX","TIBCO Software, Inc.","25.97","4234431691.21","n/a","1999","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/tibx", 422 | "TIGR","TigerLogic Corporation","1.93","57986666.65","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/tigr", 423 | "TISA","Top Image Systems, Ltd.","3.886","45388083.628","n/a","1996","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/tisa", 424 | "TSEM","Tower Semiconductor Ltd.","5.06","242206863.14","n/a","1994","Technology","Semiconductors","http://www.nasdaq.com/symbol/tsem", 425 | "TACT","TransAct Technologies Incorporated","13.94","121155397.7","n/a","1996","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/tact", 426 | "TZOO","Travelzoo Inc.","21.81","335042450.13","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/tzoo", 427 | "TRIP","TripAdvisor, Inc.","71.866","10275799751.898","n/a","1993","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/trip", 428 | "TQNT","TriQuint Semiconductor, Inc.","8.455","1323359926.74","n/a","1993","Technology","Semiconductors","http://www.nasdaq.com/symbol/tqnt", 429 | "TBOW","Trunkbow International Holdings Ltd.","1.11","40855853.25","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/tbow", 430 | "TSRI","TSR, Inc.","3.62","7102664.44","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/tsri", 431 | "TTMI","TTM Technologies, Inc.","10.68","882467552.64","n/a","2000","Technology","Electrical Products","http://www.nasdaq.com/symbol/ttmi", 432 | "TWIN","Twin Disc, Incorporated","26.94","303223681.86","n/a","1990","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/twin", 433 | "UBIC","UBIC, Inc.","8.01","2157493.5","269350","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/ubic", 434 | "UBNT","Ubiquiti Networks, Inc.","41.11","3601795054.89","n/a","n/a","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/ubnt", 435 | "UCTT","Ultra Clean Holdings, Inc.","7.11","202308281.28","n/a","2004","Technology","Semiconductors","http://www.nasdaq.com/symbol/uctt", 436 | "UTEK","Ultratech, Inc.","25.48","707685877.08","n/a","1993","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/utek", 437 | "UNTD","United Online, Inc.","8.37","774491249.7","n/a","n/a","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/untd", 438 | "UNTDV","United Online, Inc.","13.37","0","n/a","n/a","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/untdv", 439 | "UPIP","Unwired Planet, Inc.","1.85","199591998.95","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/upip", 440 | "VCLK","ValueClick, Inc.","19.89","1477808482.41","n/a","2000","Technology","Advertising","http://www.nasdaq.com/symbol/vclk", 441 | "VDSI","VASCO Data Security International, Inc.","7.53","297237292.32","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/vdsi", 442 | "VECO","Veeco Instruments Inc.","34.44","1348554474.96","n/a","1994","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/veco", 443 | "VELT","Velti plc","0.26","23607002.12","n/a","2011","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/velt", 444 | "VRNT","Verint Systems Inc.","37.85","2018179486.7","n/a","2002","Technology","EDP Services","http://www.nasdaq.com/symbol/vrnt", 445 | "VRSN","VeriSign, Inc.","53.08","7621270244.08","n/a","1998","Technology","EDP Services","http://www.nasdaq.com/symbol/vrsn", 446 | "VRSK","Verisk Analytics, Inc.","68.69","11534111917.05","n/a","2009","Technology","EDP Services","http://www.nasdaq.com/symbol/vrsk", 447 | "VSAT","ViaSat, Inc.","66.66","3029031066.6","n/a","1996","Technology","Radio And Television Broadcasting And Communications Equipment","http://www.nasdaq.com/symbol/vsat", 448 | "VIAS","Viasystems Group, Inc.","15.11","313745702.1","n/a","1995","Technology","Electrical Products","http://www.nasdaq.com/symbol/vias", 449 | "VIMC","Vimicro International Corporation","2.19","50763571.47","23179713","2005","Technology","Semiconductors","http://www.nasdaq.com/symbol/vimc", 450 | "VRTU","Virtusa Corporation","31.92","836734153.92","n/a","2007","Technology","EDP Services","http://www.nasdaq.com/symbol/vrtu", 451 | "VISN","VisionChina Media, Inc.","10.25","32692559.5","3189518","1993","Technology","Advertising","http://www.nasdaq.com/symbol/visn", 452 | "VTSS","Vitesse Semiconductor Corporation","3.06","176049921.24","n/a","1991","Technology","Semiconductors","http://www.nasdaq.com/symbol/vtss", 453 | "VOCS","Vocus, Inc.","10.57","223253715.93","n/a","2005","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/vocs", 454 | "WAVX","Wave Systems Corp.","1.29","41673330.03","n/a","1994","Technology","Computer peripheral equipment","http://www.nasdaq.com/symbol/wavx", 455 | "WSTG","Wayside Technology Group, Inc.","13.35","62472032.55","n/a","n/a","Technology","Retail: Computer Software & Peripheral Equipment","http://www.nasdaq.com/symbol/wstg", 456 | "WWWW","Web.com Group, Inc.","30.91","1559520034.16","n/a","n/a","Technology","Computer Software: Prepackaged Software","http://www.nasdaq.com/symbol/wwww", 457 | "WDC","Western Digital Corporation","71.76","16923711629.76","n/a","1972","Technology","Electronic Components","http://www.nasdaq.com/symbol/wdc", 458 | "WPPGY","WPP plc","103.96","1065306916.92","10247277","n/a","Technology","Advertising","http://www.nasdaq.com/symbol/wppgy", 459 | "WSCI","WSI Industries Inc.","6.06","17601748.74","n/a","n/a","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/wsci", 460 | "XLNX","Xilinx, Inc.","45.5","12116539890","n/a","1990","Technology","Semiconductors","http://www.nasdaq.com/symbol/xlnx", 461 | "XPLR","Xplore Technologies Corp","4.0325","33850591.3975","n/a","n/a","Technology","Computer Manufacturing","http://www.nasdaq.com/symbol/xplr", 462 | "XRSC","XRS Corporation","2.48","26979835.68","n/a","n/a","Technology","Computer Manufacturing","http://www.nasdaq.com/symbol/xrsc", 463 | "XRTX","Xyratex Ltd.","10.76","296524080","n/a","2004","Technology","Electronic Components","http://www.nasdaq.com/symbol/xrtx", 464 | "YHOO","Yahoo! Inc.","33.431","34110357535.735","n/a","1996","Technology","EDP Services","http://www.nasdaq.com/symbol/yhoo", 465 | "YNDX","Yandex N.V.","40.805","13319127691.635","n/a","n/a","Technology","Computer Software: Programming, Data Processing","http://www.nasdaq.com/symbol/yndx", 466 | "YY","YY Inc.","54.98","1039419221.88","18905406","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/yy", 467 | "ZBRA","Zebra Technologies Corporation","47.9","2431825759.5","n/a","1991","Technology","Industrial Machinery/Components","http://www.nasdaq.com/symbol/zbra", 468 | "ZIXI","Zix Corporation","4.83","299454493.8","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/zixi", 469 | "ZNGA","Zynga Inc.","3.67","2951947379.45","n/a","n/a","Technology","EDP Services","http://www.nasdaq.com/symbol/znga", 470 | -------------------------------------------------------------------------------- /pyarb.py: -------------------------------------------------------------------------------- 1 | """ PyArb: Statistical Arbitrage with Python 2 | Copyright (c) Heikki Arponen 3 | 4 | Distributed under the terms of the GNU GENERAL PUBLIC LICENSE Version 2. 5 | 6 | The full license is in the file LICENSE.md, distributed with this software. 7 | """ 8 | 9 | 10 | 11 | #----------------------------------------------------------------------------- 12 | #IMPORTS: 13 | #----------------------------------------------------------------------------- 14 | from __future__ import division 15 | from __future__ import print_function 16 | import numpy as np 17 | import pandas as pd 18 | import glob 19 | import matplotlib.pyplot as plt 20 | import os 21 | 22 | #----------------------------------------------------------------------------- 23 | # Some helper functions 24 | #----------------------------------------------------------------------------- 25 | 26 | def diffdata(dataframe): 27 | """Acts on a dataframe (time*space). Returns the 28 | 1 min time difference. 29 | """ 30 | dim = len(dataframe.values[0]) 31 | temp_df = dataframe.shift(-1)-dataframe 32 | temp_df.iloc[-1] = temp_df.iloc[-2] # Otherwise uses the first value! 33 | return temp_df 34 | 35 | #----------------------------------------------------------------------------- 36 | # Data import for The Bonnot Gang 37 | #(thebonnotgang.com) 1 min bar data 38 | #----------------------------------------------------------------------------- 39 | 40 | class PrepareData_TBG: 41 | """Prepare data downloaded from 42 | The Bonnot Gang. 43 | """ 44 | def __init__(self): 45 | self.pricedata = [] 46 | self.numberofdays = None 47 | self.dim = None 48 | self.baddayslist = [] 49 | self.normalized = None 50 | self.read_data() 51 | 52 | def read_file(datafile): 53 | """Uses Pandas read_csv. Change the parameters 54 | according to data used! Uses only the closing 55 | prices for the time being... 56 | """ 57 | return pd.read_csv(datafile,sep=';',decimal=',',\ 58 | usecols=['timestamp','close'],index_col = [0], parse_dates=True) 59 | 60 | def read_data(self): 61 | """Reads a csv file from the current directory, 62 | resamples and adjusts dates and times. 63 | 64 | NOTE: assumes 1 min data!! 65 | 66 | """ 67 | prices = self.pricedata 68 | #read data: 69 | for datafile in glob.glob("*.csv"): 70 | prices.append(pd.read_csv(datafile,sep=';',decimal=',',\ 71 | usecols=['timestamp','close'],index_col = [0], parse_dates=True)) 72 | #use filename as label: 73 | prices[-1] = prices[-1].rename(columns={'close' : \ 74 | os.path.split(datafile)[1].split('.')[0]}) 75 | #concatenate together, sort, resample to 1 min: 76 | prices = pd.concat(prices, axis = 1, join = 'outer').sort_index(axis=0)\ 77 | .resample('min',how='mean') 78 | #remove weekends and nights: 79 | prices = prices[prices.index.dayofweek < 5] 80 | prices = prices.between_time('09:30:00', '16:00:00') 81 | 82 | prices = prices.ix['2011-09-22':]# REMOVE THIS!!! 83 | 84 | self.pricedata = prices 85 | self.numberofdays = int(np.floor(len(self.pricedata)/391)) 86 | self.dim = len(self.pricedata.iloc[0]) 87 | 88 | def normalize(self): 89 | """Normalizes the stock prices to start with 1. 90 | """ 91 | self.normalized = self.pricedata/self.pricedata.iloc[0] 92 | 93 | def clean(self, tolerance = .5): 94 | """Finds days with more than tolerance*datapoints NaNs 95 | and returns new price data with those days removed. 96 | Also interpolates rest of missing data. 97 | """ 98 | baddayslist = [] 99 | for n in xrange(0,self.numberofdays): 100 | if np.isnan(self.pricedata.iloc[n*391:(n+1)*391].values).sum() \ 101 | > tolerance*391*self.dim: 102 | baddayslist.append(n) 103 | self.baddayslist = baddayslist 104 | #Remove bad days and get rid of NaNs by interpolation: 105 | indexlist = [] 106 | cleandata = self.pricedata 107 | for n in xrange(0,len(baddayslist)): 108 | ran = [i for i in xrange(baddayslist[n]*391,(baddayslist[n]+1)*391)] 109 | indexlist.append(ran) 110 | indexlist = np.array(indexlist) 111 | indexlist = indexlist.flatten() 112 | cleandata = self.pricedata.drop(self.pricedata.index[indexlist]) 113 | cleandata = cleandata.apply(pd.Series.interpolate) 114 | #Update pricedata and number of days: 115 | self.pricedata = cleandata 116 | self.numberofdays = int(np.floor(len(self.pricedata)/391)) 117 | 118 | def get_X(self): 119 | """Gets the price data (array X). Just restricts with 120 | between_time to force the array to be same size 121 | as dX. 122 | """ 123 | return self.pricedata.between_time('09:30:00', '15:59:00') 124 | 125 | def get_dX(self): 126 | """Gets the price time difference data (array dX). 127 | """ 128 | return diffdata(self.pricedata).between_time('09:30:00', '15:59:00') 129 | 130 | 131 | 132 | 133 | #----------------------------------------------------------------------------- 134 | # Child class for data import from eoddata.com 135 | # NOTE!! The data is assumed to be in the form 136 | # "3F VIP Trading" 137 | #----------------------------------------------------------------------------- 138 | 139 | class PrepareData_eoddata(PrepareData_TBG): 140 | """Class for the data from eoddata.com 141 | in "3F VIP Trading" format. 142 | """ 143 | 144 | def __init__(self, symbols =['AAPL','GOOG','FB']): 145 | self.symbollist = symbols 146 | self.pricedata = [] 147 | self.numberofdays = None 148 | self.dim = None 149 | self.baddayslist = [] 150 | self.normalized = None 151 | self.read_data() 152 | 153 | def read_data(self): 154 | """ 155 | NOTE: assumes 1 min data!! 156 | 157 | """ 158 | prices = self.pricedata 159 | #read data: 160 | counter = 0 161 | for datafile in glob.glob("stock/*.txt"): # Note that the files are .txt instead of .csv! 162 | daydata = pd.read_csv(datafile,usecols=['','',''],dtype = {'':str}) 163 | daydata = daydata.pivot_table(values='', rows='', cols='') 164 | daydata.index = pd.to_datetime(daydata.index) 165 | #daydata.index = pd.date_range(start = str(min(daydata.index)), end = str(max(daydata.index)), freq='T') 166 | daydata = daydata[self.symbollist] 167 | daydata = daydata.between_time('09:30:00', '16:00:00') 168 | daydata = daydata.fillna(method='pad') 169 | daydata = daydata.fillna(method='bfill') # takes care of possible first NaNs 170 | prices.append(daydata) 171 | counter += 1 172 | print(counter, end=',') 173 | #concatenate: 174 | prices = pd.concat(prices, axis = 0) 175 | self.pricedata = prices 176 | self.numberofdays = int(np.floor(len(self.pricedata)/391)) 177 | self.dim = len(self.pricedata.iloc[0]) 178 | 179 | 180 | 181 | #----------------------------------------------------------------------------- 182 | # Vector Geometric Brownian Motion (VGBM) simulation: 183 | #----------------------------------------------------------------------------- 184 | 185 | A_default = .1*np.array([[-2,1,1],[1,-2,1],[1,1,-2]]) 186 | rho_default = .0001*np.array([[1,0,0],[0,1,0],[0,0,1]]) 187 | def VGBM(A = A_default, rho = rho_default, N=390, T=1, init = np.array([1,1,1])): 188 | """ Simulates VGBM for number of days T and 189 | minute level time steps 1/N. 190 | ------------------------------------------- 191 | - A is the drift/interaction matrix 192 | - rho is the noise correlation matrix 193 | - init is the initial condition 194 | """ 195 | dt = 1/N 196 | dim = len(init) 197 | W_indep = np.random.randn(T*N,dim) 198 | L_W = np.linalg.cholesky(rho) 199 | W = np.einsum('ij,kj', L_W, W_indep).T 200 | X = np.ones((T*N,dim)) 201 | X[0,:] = init 202 | for t in xrange(1,T*N): 203 | for d in xrange(0,dim): 204 | X[t,d]=X[t-1,d]+np.einsum('ij,j',A,X[t-1,:])[d]*dt+\ 205 | X[t-1,d]*W[t-1,d]*np.sqrt(dt) 206 | return X 207 | 208 | 209 | 210 | 211 | 212 | #----------------------------------------------------------------------------- 213 | # VGBM parameter estimation 214 | #----------------------------------------------------------------------------- 215 | 216 | def VGBM_moment(X_data,dX_data):#data is DataFrame i.e. time*space 217 | ''' This is a simple and extremely efficient "moment 218 | method" estimation method, which is actually 219 | equivalent to the "multivariate least squares" method 220 | (look it up on Wikipedia). 221 | ------------------------------------------------------ 222 | X_data = price DataFrame 223 | dX_data = dprice DataFrame 224 | Assumes between_time Pandas method for 09:00..15:59 225 | Outs rho, A of the VGBM model. 226 | ''' 227 | dt = 1/390 228 | NT=len(X_data) 229 | #Take values & switch to space*time: 230 | X = X_data.values.T 231 | dim = len(X[:,0]) 232 | dX = dX_data.values.T # time differential, first index is space, second time 233 | R = np.zeros((dim,dim)) 234 | C = np.zeros((dim,dim)) 235 | Q = np.zeros((dim,dim)) 236 | for i in xrange(0,dim): 237 | for j in xrange(0,dim): 238 | R[i,j] = sum(dX[i]*dX[j])/NT/dt 239 | C[i,j] = sum(X[i]*X[j])/NT 240 | Q[i,j] = sum(dX[i]*X[j])/NT/dt 241 | return R/C, einsum('ij,jk',Q,linalg.inv(C)) 242 | 243 | 244 | 245 | 246 | #----------------------------------------------------------------------------- 247 | # Functions to extract the eigenvalues of matrix A: 248 | #----------------------------------------------------------------------------- 249 | 250 | def min_eigvec(Amat): 251 | """Sorts the eigenvalues from smallest to largest 252 | and sorts the eigenvectors in same order. Returns 253 | the smallest eigenvector if the corresponding 254 | eigenvalue is real, or the real part if it is 255 | complex valued (could take the Im part too). 256 | """ 257 | 258 | eigvals, eigvecs = np.linalg.eig(Amat.T) #LEFT eigenvectors since phi = xi.S 259 | ind = argsort(eigvals) 260 | eigvals = eigvals[ind] 261 | eigvecs = eigvecs[:, ind] # second axis !! 262 | 263 | #Get rid of sign flips: 264 | neutralmode = np.real(eigvecs[:,0])*sign(np.real(eigvecs[0,0])) 265 | #Note that the real part of an eigenvector is NOT an eigenvector! 266 | 267 | return neutralmode 268 | 269 | def eigvecs_sorted(Amat): 270 | """Sorts the eigenvalues from smallest to largest 271 | and sorts the eigenvectors in same order. Returns 272 | the real parts if complex valued (could take 273 | the Im part too). Although the real parts of eigs 274 | are NOT eigs, the corresponding portfolios can 275 | be shown to still be mean reverting. 276 | """ 277 | eigvals, eigvecs = np.linalg.eig(Amat.T) # LEFT eigenvectors, since phi = xi.X 278 | ind = np.argsort(eigvals) 279 | eigvals = eigvals[ind] 280 | eigvecs = np.real(eigvecs[:, ind]) # second axis !! 281 | 282 | # Normalize s.t. 1st component is positive: 283 | first_components_sign = np.sign(eigvecs[0]) 284 | eigvecs = np.multiply(eigvecs, first_components_sign) 285 | 286 | return eigvecs 287 | 288 | 289 | 290 | #----------------------------------------------------------------------------- 291 | # Compute the dynamical eigenvectors etc. for all of the data 292 | #----------------------------------------------------------------------------- 293 | 294 | def compute_modes(X_data, dX_data, day1, day2, caldays): 295 | """Computes & returns the time dependent eigen- 296 | modes, the portfolio's standard deviation, the 297 | eigenvector and the portfolio value as a function 298 | of t. 299 | ---------------------------------------------- 300 | Returns phi = array((time,dimension)), 301 | pf_std = array((time,dimension)), 302 | xi = array((time,dimension,dimension)), 303 | phi_val array((time,dimension))= 304 | """ 305 | 306 | # Initialize data 307 | X = X_data.iloc[(day1-caldays)*390:390*(day2)].values # NOTE: time*space! 308 | dX = dX_data.iloc[(day1-caldays)*390:390*(day2)].values 309 | X_init = X_data.iloc[(day1-caldays)*390:390*(day1)].values 310 | dX_init = dX_data.iloc[(day1-caldays)*390:390*(day1)].values 311 | 312 | dim = len(X[0]) 313 | NT = 390*caldays 314 | C = np.zeros((dim,dim)) 315 | Q = np.zeros((dim,dim)) 316 | phi = np.zeros(((day2-day1)*390,dim)) 317 | phi_val = np.zeros(((day2-day1)*390,dim)) 318 | pf_std = np.zeros(((day2-day1)*390,dim)) 319 | xi = np.zeros(((day2-day1)*390,dim,dim)) # Last dim is the eigenvalue index! 320 | for i in xrange(0,dim): 321 | for j in xrange(0,dim): # Note time*space below!! 322 | C[i,j] = sum(X_init[:,i]*X_init[:,j])/NT 323 | Q[i,j] = sum(dX_init[:,i]*X_init[:,j])/caldays 324 | for t in xrange(0,(day2-day1)*390): 325 | for i in xrange(0,dim): 326 | for j in xrange(0,dim): 327 | C[i,j] += (X[390*caldays+t,i]*X[390*caldays+t,j] -X[t,i]*X[t,j])/NT 328 | Q[i,j] += (dX[390*caldays+t,i]*X[390*caldays+t,j] -dX[t,i]*X[t,j])/caldays 329 | A = np.einsum('ij,jk',Q,np.linalg.inv(C)) 330 | xi[t] = eigvecs_sorted(A) 331 | phi[t] = np.dot(X[390*caldays+t],xi[t]) 332 | phi_val[t] = np.dot(X[390*caldays+t],abs(xi[t])) 333 | pf_std[t] = np.sqrt(np.diagonal(np.dot(xi[t].T,np.dot(C,xi[t])))) 334 | return phi, pf_std, xi, phi_val 335 | 336 | 337 | 338 | 339 | 340 | #----------------------------------------------------------------------------- 341 | # The main backtest class 342 | #----------------------------------------------------------------------------- 343 | 344 | class VGBM_backtest: 345 | def __init__(self, X_data, dX_data, day1=50, day2=51, caldays=4): 346 | self.day1, self.day2, self.caldays = day1, day2, caldays 347 | self.Xdata, self.dXdata = X_data, dX_data 348 | 349 | #All data to be used: 350 | self.Xvec = X_data.iloc[(day1-caldays)*390:390*(day2)] 351 | self.dXvec = dX_data.iloc[(day1-caldays)*390:390*(day2)] 352 | 353 | #Initial values for rho, A and the neutral mode: 354 | #self.rho_init, self.A_init = VGBM_moment(self.Xvec[0:caldays*390],self.dXvec[0:caldays*390]) 355 | #self.nmode_init = min_eigvec(self.A_init) 356 | self.dim = len(self.Xvec.T) 357 | self.oos_mins = len(self.Xvec[0:(day2-day1)*390]) 358 | 359 | #Initialize modes(t), pf_std(t): 360 | self.modes = None 361 | self.modes_val = None 362 | self.pf_std = None 363 | self.xi = None 364 | 365 | def compute(self): 366 | """ Computes all the modes and stds, calls outside 367 | compute_modes. 368 | """ 369 | self.modes = \ 370 | compute_modes(self.Xdata,self.dXdata,self.day1,self.day2,self.caldays)[0] 371 | self.pf_std\ 372 | = compute_modes(self.Xdata,self.dXdata,self.day1,self.day2,self.caldays)[1] 373 | self.xi\ 374 | = compute_modes(self.Xdata,self.dXdata,self.day1,self.day2,self.caldays)[2] 375 | self.modes_val\ 376 | = compute_modes(self.Xdata,self.dXdata,self.day1,self.day2,self.caldays)[3] 377 | 378 | 379 | # This pnl function closes all positions at the end of day. 380 | # 381 | def pnl(self, mode = 0, cls = .15, exit = 50., \ 382 | opn = 1., wait = 0, tr_percent = 0, tr_pershare = 0): 383 | """Calculates the cumulative p&l for given 384 | *mode* over the 385 | entire range of dates. The portfolio will 386 | be continuously readjusted until the pf 387 | crosses the trade open band at 388 | opn*standard deviation. The pf will then 389 | be locked & tracked until it hits the 390 | cls*std band (winning trade) or the 391 | exit*std band (losing trade) or at the 392 | end of day. 393 | ------------------------------------------ 394 | - cls: Close position/ cash out at +- cls*std 395 | - exit: Close position/ cut losses 396 | - opn: Open long/short position 397 | - wait: Wait n minutes at the beginning of 398 | each trading day before starting to trade 399 | - tr_percent: Transaction costs in percent 400 | - tr_pershare: Transaction costs in price 401 | per share 402 | """ 403 | self.cls, self.exit, self.opn = cls, exit, opn 404 | X = self.Xdata.iloc[self.day1*390:390*self.day2].values 405 | phi = self.modes[:,mode] 406 | phi_val = self.modes_val[:,mode] 407 | xi = self.xi[:,:,mode] 408 | tr_fac = 1-tr_percent/100 409 | eps = tr_pershare 410 | 411 | opn = self.opn*self.pf_std[:,mode] 412 | cls = self.cls*self.pf_std[:,mode] 413 | exit = self.exit*self.pf_std[:,mode] 414 | 415 | pf_pos = None 416 | #lims = np.zeros((self.oos_mins,7)) 417 | openval = 1E-10 418 | openprice = 0 419 | openxi = np.ones(self.dim) 420 | self.capital = np.ones(self.oos_mins) 421 | #poslist = [] # for debugging 422 | #open_at = [] # for debugging 423 | #close_at = [] # for debugging 424 | numberofdays = int(np.floor(self.oos_mins/390)) 425 | tradetime = np.concatenate([np.arange(wait+n*390,390+n*390)\ 426 | for n in xrange(0,numberofdays)]) 427 | self.numberoftrades = 0 428 | 429 | for t in xrange(0,self.oos_mins): 430 | self.capital[t] = self.capital[t-1] 431 | if t in tradetime: 432 | if pf_pos == None and exit[t]>phi[t]>opn[t]: # short 433 | pf_pos = -1 434 | openprice = phi[t] 435 | openval = phi_val[t] 436 | openxi = xi[t] 437 | #poslist.append(pf_pos) 438 | #open_at.append(t) 439 | self.numberoftrades +=1 440 | if pf_pos == None and -exit[t]-cls[t]: # close long 449 | self.capital[t] =\ 450 | tr_fac*self.capital[t - 1]*(1+pf_pos*(np.dot(X[t],openxi)-openprice)/openval\ 451 | -2*eps*np.sum(abs(openxi))/openval) 452 | pf_pos = None 453 | #close_at.append(t) 454 | self.numberoftrades +=1 455 | if pf_pos == -1 and np.dot(X[t],openxi)phi[t]>opn[t]: # short 614 | pf_pos = -1 615 | openprice = phi[t] 616 | openval = phi_val[t] 617 | openxi = xi[t] 618 | #poslist.append(pf_pos) 619 | open_at.append(t) 620 | #self.numberoftrades +=1 621 | if pf_pos == None and -exit[t]-cls[t]: # close long 630 | self.capital[t] =\ 631 | tr_fac*self.capital[t - 1]*(1+pf_pos*(np.dot(X[t],openxi)-openprice)/openval\ 632 | -2*eps*np.sum(abs(openxi))/openval) 633 | pf_pos = None 634 | #close_at.append(t) 635 | #self.numberoftrades +=1 636 | if pf_pos == -1 and np.dot(X[t],openxi) close_after and (pf_pos == 1 or pf_pos == -1): 644 | self.capital[t] =\ 645 | tr_fac*self.capital[t - 1]*(1+pf_pos*(np.dot(X[t],openxi)-openprice)/openval\ 646 | -2*eps*np.sum(abs(openxi))/openval) 647 | pf_pos = None 648 | #close_at.append(t) 649 | #self.numberoftrades +=1 650 | #self.averagereturn = (self.capital[-1]/self.capital[0])**(1/self.numberoftrades) 651 | return self.capital#, open_at, close_at 652 | #, openprice, openval, openxi, poslist, np.dot(X,openxi) 653 | 654 | 655 | #----------------------------------------------------------------------------- 656 | # Sharpe ratio: 657 | #----------------------------------------------------------------------------- 658 | 659 | def sharpe(data,bm = 1.02):#data is array, 1 min data. return is annualized 660 | """ Data is an array of 1 min data. 661 | benchmark is an effective interest rate. 662 | Return is annualized. 663 | """ 664 | rets = np.delete((np.roll(data,-1)-data),-1) 665 | bm_rets = np.ones(len(rets))*(bm**(1/97500)-1) 666 | diff = rets-bm_rets 667 | return np.sqrt(97500)*np.mean(diff)/np.std(diff) 668 | 669 | 670 | #----------------------------------------------------------------------------- 671 | # Max drawdown: 672 | #----------------------------------------------------------------------------- 673 | 674 | def max_drawdown(pnl): 675 | peak = -9999 676 | MDD = 0 677 | for value in pnl: 678 | if value > peak: 679 | peak = value 680 | DD = 100.*(peak-value)/peak 681 | if DD > MDD: 682 | MDD = DD 683 | 684 | return MDD 685 | 686 | 687 | 688 | 689 | 690 | 691 | 692 | 693 | --------------------------------------------------------------------------------