momentum factor

nhirschey · Dec 1, 2023 · 600ae88 · 600ae88
1 parent b93cc12
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diff --git a/src/NovaSBE.Finance/CHANGELOG.md b/src/NovaSBE.Finance/CHANGELOG.md
@@ -1,5 +1,11 @@
 # Changelog
 
+## 0.5.0 - 2023-12-01
+
+### Added
+
+* NovaSBE.Finance added momentum factors.
+
 ## 0.4.1 - 2023-12-01
 
 ### Fixed

diff --git a/src/NovaSBE.Finance/French.fs b/src/NovaSBE.Finance/French.fs
@@ -25,13 +25,20 @@ type FF5Obs =
       Rf : float 
       Frequency : Frequency } 
 
+type WMLObs = 
+    { Date : DateTime 
+      WML : float
+      Frequency : Frequency }
+
 module internal Utils =
     type FF3Csv = CsvProvider<"Date (string),Mkt-RF,SMB,HML,RF
         19260701,    0.10,   -0.24,   -0.28,   0.009">
 
     type FF5Csv = CsvProvider<"Date (string),Mkt-RF,SMB,HML,RMW,CMA,RF
         19260701,    0.10,   -0.24,   -0.28,0.0,1.2,  0.009">
 
+    type WMLCsv = CsvProvider<"Date (string),Mom (float)">
+
     let frenchDay x = 
         DateTime.ParseExact(x,
             "yyyyMMdd",
@@ -107,3 +114,20 @@ let getFF5 frequency =
           Cma = float parsedLine.CMA / 100.0
           Rf = float parsedLine.RF / 100.0 
           Frequency = frequency })
+
+let getWML frequency =
+    let (dataset, dateParser) =
+        match frequency with
+        | Monthly -> "F-F_Momentum_Factor_CSV", frenchMonth
+        | Daily -> "F-F_Momentum_Factor_daily_CSV", frenchDay
+    let data = new StringReader(getData dataset)
+    [| while data.Peek() <> -1 do
+            data.ReadLine() |]
+    |> Array.skipWhile(fun line -> not (line.StartsWith(",Mom")))
+    |> Array.skip 1
+    |> Array.takeWhile(fun line -> line <> "")
+    |> Array.map(fun line -> 
+        let parsedLine = WMLCsv.ParseRows(line).[0] 
+        { Date = dateParser parsedLine.Date
+          WML = float parsedLine.Mom / 100.0
+          Frequency = frequency })
diff --git a/tests/NovaSBE.Finance.Tests/French.fs b/tests/NovaSBE.Finance.Tests/French.fs
@@ -26,3 +26,12 @@ let ``Can do ff5 monthly`` () =
     let ff5m = getFF5 Frequency.Monthly
     ff5m.Length |> shouldBeGreaterThan 10
 
+[<Fact>]
+let ``Can do wml daily`` () =
+    let wmld = getWML Frequency.Daily
+    wmld.Length |> shouldBeGreaterThan 10
+
+[<Fact>]
+let ``Can do wml monthly`` () =
+    let wmlm = getWML Frequency.Monthly
+    wmlm.Length |> shouldBeGreaterThan 10