| starmine {backtest} | R Documentation |
StarMine rankings of some stocks in 1995, with corresponding returns and other data.
data(starmine)
A data frame containing 57767 observations on the following 13 variables.
dateidcountrysectornamecap.usdsizesmiret.0.1.mret.0.5.dret.15.45.dret.0.6.mret.1.12.m
starmine contains selected attributes such as sector, market
capitalisation, country, and various measures of return for a universe
of approximately 6,000 stocks. The data is on a monthly frequency from
January 31, 1995 to November 30, 1995.
Columns containing total returns, such as ret.0.1.m and
ret.15.45.d, have names of the form ret.n.m.u, where
n is the start instant, m is the end instant, and
u specifies the instants' calendar units. The instants
n and m are relative to the end of the period
expressed by the observation date. For example, the one month forward
return ret.0.1.m for date 1995-11-30 should be read
"the total return from 0 months from 1995-11-30 to 1 month from
1995-11-30", that is, the return for the month of December, 1995.
Similarly, ret.15.45.d for date 1995-11-30 contains the
30-calendar-day return from the close of business on 1995-12-15 to
close of business on 1996-01-14.
We would like to thank StarMine Corporation for allowing us to use their data.
Documentation contributed by Daniel Gerlanc.
data(starmine) head(starmine)