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Table 10 The 60 financial and economical features of the raw data

From: Predicting the daily return direction of the stock market using hybrid machine learning algorithms

Group Name Description Source/Calculation
  Date_SPY trading dates considered finance.yahoo.com
Close_SPY closing prices of SPY on the trading days finance.yahoo.com
SPY return in current and three previous days
  SPYt The return of the SPDR S&P 500 ETF (SPY) in day t. finance.yahoo.com / (p(t) - p(t-1))/p(t-1)
SPYt1 The return of the SPY in day t-1. finance.yahoo.com / (p(t-1) - p(t-2))/p(t-2)
SPYt2 The return of the SPY in day t-2. finance.yahoo.com / (p(t-2) - p(t-3))/p(t-3)
SPYt3 The return of the SPY in day t-3. finance.yahoo.com / (p(t-3) - p(t-4))/p(t-4)
Relative difference in percentage of the SPY return
  RDP5 The 5-day relative difference in percentage of the SPY. (p(t) - p(t-5))/p(t-5) * 100
RDP10 The 10-day relative difference in percentage of the SPY. (p(t) - p(t-10))/p(t-10) * 100
RDP15 The 15-day relative difference in percentage of the SPY. (p(t) - p(t-15))/p(t-15) * 100
RDP20 The 20-day relative difference in percentage of the SPY. (p(t) - p(t-20))/p(t-20) * 100
Exponential moving averages of the SPY return
  EMA10 The 10-day exponential moving average of the SPY. p(t) * (2/(10+1)) + EMA10 (t-1) * (1-2/(10+1))
EMA20 The 20-day exponential moving average of the SPY. p(t) * (2/(20+1)) + EMA20 (t-1) * (1-2/(20+1))
EMA50 The 50-day exponential moving average of the SPY. p(t) * (2/(50+1)) + EMA50 (t-1) * (1-2/(50+1))
EMA200 The 200-day exponential moving average of the SPY. p(t) * (2/(200+1)) + EMA200 (t-1) * (1-2/(200+1))
T-bill rates (in day t)
  T1 1-month T-bill rate, secondary market, business days, discount basis. H. 15 Release - Federal Reserve Board of Governors (https://research.stlouisfed.org/fred2/series/DGS5/downloaddata)
T3 3-month T-bill rate, secondary market, business days, discount basis. H. 15 Release - Federal Reserve Board of Governors (https://research.stlouisfed.org/fred2/series/DGS5/downloaddata)
T6 6-month T-bill rate, secondary market, business days, discount basis. H. 15 Release - Federal Reserve Board of Governors (https://research.stlouisfed.org/fred2/series/DGS5/downloaddata)
T60 5-year T-bill constant maturity rate, secondary market, business days. H. 15 Release - Federal Reserve Board of Governors (https://research.stlouisfed.org/fred2/series/DGS5/downloaddata)
T120 10-year T-bill constant maturity rate, secondary market, business days. H. 15 Release - Federal Reserve Board of Governors(https://research.stlouisfed.org/fred2/series/DGS10?catbc=1&utm_expid=19978471-Srcl7QpGidAURO4vg_Q.1&utm_referrer=https%3A%2F%2Fresearch.stlouisfed.org%2Ffred2%2Frelease%3Frid%3D18)
Certificate of deposit rates (in day t)
  CD1 Average rate on 1-month neogtiable certificates of deposit (secondary market), quoted on an investment basis. H. 15 Release - Federal Reserve Board of Governors
CD3 Average rate on 3-month neogtiable certificates of deposit (secondary market), quoted on an investment basis. H. 15 Release - Federal Reserve Board of Governors
CD6 Average rate on 6-month neogtiable certificates of deposit (secondary market), quoted on an investment basis. H. 15 Release - Federal Reserve Board of Governors
Financial and economical indicators (in day t)
  Oil Relative change in the price of the crude oil (Cushing, OK WTI Spot Price FOB (dollars per barrel)). Energy Inormation Administration, http://tonto.eia.doe.gov/dnav/pet/hist/rwtcd.htm (work on cleaning the price column first using the SPY dates as control, then cal the relative change)
Gold Relative change in the gold price usagold.com (use FireFox to Select All, then copy and paste to an Excel file) (the dates used by USAGOLD are not matching with the SPY prices from yahoo.finance. For example, after 06/09/2004. We still clean/make up/delete the gold prices based on the dates of SPY prices from finance.yahoo.com. Use the same procedure in the whole data set: Take the average of the two closest data with the missing one in the middle. Then delete the mismatching one, and cal the relatvie difference as before. Another example, the data in 2011, all Friday's prices were recorded as Sunday's prices, so we estimated Friday's prices with the average of Thursday and Sunday's prices. Then deleted Sunday's prices. If there are n continuous values missing, then take the average of the n available values on each side of these n missing values, use the average for all n missing values)
CTB3M Change in the market yield on US Treasury securities at 3-month constant maturity, quoted on investment basis. H. 15 Release - Federal Reserve Board of Governors
CTB6M Change in the market yield on US Treasury securities at 6-month constant maturity, quoted on investment basis. H. 15 Release - Federal Reserve Board of Governors
CTB1Y Change in the market yield on US Treasury securities at 1-year constant maturity, quoted on investment basis. H. 15 Release - Federal Reserve Board of Governors
CTB5Y Change in the market yield on US Treasury securities at 5-year constant maturity, quoted on investment basis. H. 15 Release - Federal Reserve Board of Governors
CTB10Y Change in the market yield on US Treasury securities at 10-year constant maturity, quoted on investment basis. H. 15 Release - Federal Reserve Board of Governors
AAA Change in the Moody's yield on seasoned corporate bonds - all industries, Aaa. H. 15 Release - Federal Reserve Board of Governors
BAA Change in the Moody's yield on seasoned corporate bonds - all industries, Baa. H. 15 Release - Federal Reserve Board of Governors
The term and default spreads
  TE1 Term spread between T120 and T1. TE1 = T120 - T1
TE2 Term spread between T120 and T3. TE2 = T120 - T3
TE3 Term spread between T120 and T6. TE3 = T120 - T6
TE5 Term spread between T3 and T1. TE5 = T3 - T1
TE6 Term spread between T6 and T1. TE6 = T6 - T1
DE1 Default spread between BAA and AAA. DE1 = BAA - AAA
DE2 Default spread between BAA and T120. DE2 = BAA - T120
DE4 Default spread between BAA and T6. DE4 = BAA - T6
DE5 Default spread between BAA and T3. DE5 = BAA - T3
DE6 Default spread between BAA and T1. DE6 = BAA - T1
DE7 Default spread between CD6 and T6. DE7 = CD6 - T6
Exchange rate between USD and four other currencies (in day t)
  USD_Y Relative change in the exchange rate between US dollar and Japanese yen. http://www.investing.com/currencies/usd-jpy-historical-data
USD_GBP Relative change in the exchange rate between US dollar and British pound. http://www.investing.com/currencies/gbp-usd-historical-data (then, take the opposites to the changes)
USD_CAD Relative change in the exchange rate between US dollar and Canadian dollar. http://www.investing.com/currencies/usd-cad-historical-data
USD_CNY Relative change in the exchange rate between US dollar and Chinese Yuan (Renminbi). http://www.investing.com/currencies/usd-cny-historical-data
The return of the other seven world major indices (in day t)
  HSI Hang Seng index return in day t. finance.yahoo.com
SSE Composite Shang Hai Stock Exchange Composite index return in day t. finance.yahoo.com
FCHI CAC 40 index return in day t. finance.yahoo.com
FTSE FTSE 100 index return in day t. finance.yahoo.com
GDAXI DAX index return in day t. finance.yahoo.com
DJI Dow Jones Industrial Average index return in day t. finance.yahoo.com(no download function for this one); measuringworth.com/datasets/DJA/result.php
IXIC NASDAQ Composite index return in day t. finance.yahoo.com
SPY trading volume (in day t) V Relative change in the trading volume of S&P 500 index (SPY) finance.yahoo.com
The return of the eight big companies in S&P 500 (in day t)
  AAPL Apple Inc stock return in day t. finance.yahoo.com
MSFT Microsoft stock return in day t. finance.yahoo.com
XOM Exxon Mobil stock return in day t. finance.yahoo.com
GE General Electric stock return in day t. finance.yahoo.com
JNJ Johnson and Johnson stock return in day t. finance.yahoo.com
WFC Wells Fargo stock return in day t. finance.yahoo.com
AMZN Amazon.com Inc stock return in day t. finance.yahoo.com
JPM JPMorgan Chase & Co stock return in day t. finance.yahoo.com