Resampling Daily Stock Bars to Weekly Data and Retrieving Financial Statements

Summary

This Chinese-language forum post addresses two data needs in quantitative stock research: constructing weekly bars from daily observations and obtaining historical quarterly financial measures such as return on equity. It outlines grouping daily data by instrument and aggregating each week’s opening price, closing price, high, and low to form weekly records.

For historical financial data, the response points readers to a financial-statement dataset for Chinese A-shares. It does not explain how to select or align multiple quarterly ROE values with trading dates, nor does it provide a complete workflow for combining the financial and price data. The weekly aggregation example is a practical starting point, while the financial-data guidance is limited to identifying a source; researchers must still handle reporting delays and avoid look-ahead bias when using fundamentals in signals.

Key ideas

• Daily stock observations can be grouped by instrument and aggregated into weekly bars.
• The suggested weekly fields include the first open, last close, highest high, and lowest low.
• Historical quarterly financial figures are available through a financial-statement dataset for Chinese A-shares.
• The post does not show how to align multiple quarters of ROE with dates or prevent look-ahead bias.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.