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Market stats data sources
2 messages · Dan Avery, Brian G. Peterson
Dan Avery wrote:
I'm interested in finding historical data on market stats - new highs, new lows, advances,declines, unchanged, advancing volume, declining volume and unchanged for the NYSE, AMEX and NASDAQ. This is the data in the Market Diary of the WSJ. Anyone know of a souce that could be accessed using something like:
library(quantmod)
getSymbols(c("list of symbols for data above"), from='1970-01-01')
Normally I would calculate the stats you are talking about from the price history. Both 'quantmod' and 'PerformanceAnalytics' have a number of functions to pull out trends, runs, and drawdown periods from a time series of prices or returns. Regards, - Brian