Appendix: Stock Screening

This appendix provides a stock screener tool that will allow you to put everything we have learned in this book into practice. It addresses the most pressing issue for market participants: idea generation. We will build a screener across all the constituents of the S&P 500 index.

The sequence of events is as follows:

1. Download all the current constituents of the S&P 500 from its Wikipedia webpage.
2. Batch download OHLCV prices data from Yahoo Finance. We will drop the level to process each stock individually.
3. Calculate the rebased relative series.
4. Calculate regimes—breakout, turtle, moving averages (Simple Moving Average (SMA) and Exponential Moving Average (EMA)), and floor/ceiling—on both absolute and relative series. There will be an option to save each stock as a CSV file.
5. Create a dictionary with the last row of each stock and append a list, from which we will create a dataframe.
6. Sum up...