Markets & Data
==============

This page describes the markets available in Quantlens, how the price data is structured,
and how to choose the right timeframe for your strategy.

----

.. contents:: On this page
   :local:
   :depth: 1

----

Available markets
------------------

Quantlens provides access to **8 markets** on all plans.
The universe is drawn from liquid, exchange-listed instruments across three asset classes:

.. list-table::
   :header-rows: 1
   :widths: 20 20 60

   * - Asset class
     - Markets
     - Notes
   * - **Equities**
     - NASDAQ stocks
     - Large and mid-cap US-listed equities. Universe filtered by liquidity.
   * - **Crypto**
     - BTC/USD, ETH/USD, SOL/USD, BNB/USD
     - Spot prices from major exchanges.
   * - **ETFs / Indices**
     - SPY, QQQ, GLD
     - Broad market and sector ETFs. Useful for single-asset strategy testing.

.. note::
   All prices are adjusted for splits and dividends (for equities) and represent the spot price (for crypto).
   No futures or leverage data is included.

----

Data coverage
--------------

.. list-table::
   :header-rows: 1
   :widths: 30 25 45

   * - Market
     - Data from
     - Notes
   * - NASDAQ stocks
     - 1998
     - ~3,000 liquid symbols at peak. Older periods have fewer symbols.
   * - SPY
     - 1993
     - Full history since inception.
   * - QQQ
     - 1999
     - Full history since inception.
   * - GLD
     - 2004
     - Full history since inception.
   * - BTC/USD
     - 2013
     - From first reliable exchange data.
   * - ETH/USD
     - 2015
     - From first reliable exchange data.
   * - SOL/USD
     - 2020
     - Limited history — use with caution.
   * - BNB/USD
     - 2017
     - From Binance listing.

.. warning::
   Strategies tested on crypto assets have less than 10 years of history.
   Statistical conclusions drawn from short periods are less reliable.
   See :doc:`avoiding_overfitting` for guidance.

----

OHLCV data structure
---------------------

Every bar (candle) in the dataset contains five values:

.. list-table::
   :header-rows: 1
   :widths: 15 85

   * - Field
     - Description
   * - **Open**
     - First traded price of the bar period.
   * - **High**
     - Highest traded price during the bar period.
   * - **Low**
     - Lowest traded price during the bar period.
   * - **Close**
     - Last traded price of the bar period. Used by most indicators.
   * - **Volume**
     - Total shares (equities) or coins (crypto) traded during the bar period.

Most indicators in Quantlens compute on the **Close** price by default.
Volume-based indicators (:ref:`obv`, :ref:`mfi`, :ref:`cmf`, :ref:`adosc`, :ref:`vwma`) use both Close and Volume.
Volatility indicators (:ref:`atr`, :ref:`natr`) use High, Low, and Close.

----

Choosing a timeframe
---------------------

The timeframe (candle interval) determines how much historical data is visible
and how frequently your strategy can act.

.. list-table::
   :header-rows: 1
   :widths: 15 15 70

   * - Timeframe
     - Bars/year
     - Characteristics
   * - **1 min**
     - ~120,000
     - Very noisy. Requires fast execution. Not suited for daily-rebalance strategies.
   * - **5 min**
     - ~24,000
     - Still noisy. Intraday only.
   * - **15 min**
     - ~8,000
     - Better signal-to-noise than 1m/5m.
   * - **1 hour**
     - ~2,000
     - Good for intraday swing strategies.
   * - **4 hour**
     - ~500
     - Bridges intraday and daily.
   * - **1 day**
     - ~252
     - Most widely used for systematic strategies. Clean signal, good data availability.

**Recommendations for beginners:** Start with the **1-day** timeframe.
It has the most data history, the lowest noise, and the lowest transaction costs.

----

Equity universe filtering
--------------------------

Not all NASDAQ-listed stocks are included in the backtest universe.
The data provider applies liquidity filters to avoid micro-cap and illiquid stocks:

- Minimum average daily volume
- Minimum market capitalisation
- Listed on a major exchange (NASDAQ / NYSE)

This means the universe includes roughly **500–1,500 tradeable symbols** at any given time,
growing as more companies listed over the years.

.. note::
   Stocks that were delisted (due to bankruptcy, merger, or going private) are included
   in the data up to their delisting date. This partially mitigates survivorship bias.
   See :doc:`backtest_limitations` for a full discussion.

----

Index data
-----------

The :ref:`index_value`, :ref:`index_weekly_close`, and :ref:`index_weekly_quantile` blocks
draw from one of two benchmark indices, configurable in the :ref:`config` block:

.. list-table::
   :header-rows: 1
   :widths: 20 80

   * - Index
     - Description
   * - **NASDAQ**
     - NASDAQ Composite — broad measure of all NASDAQ-listed stocks.
       Good benchmark for tech-heavy strategies.
   * - **SPY**
     - S&P 500 ETF — 500 largest US companies by market cap.
       Better benchmark for diversified US equity strategies.

Use the index as a **market filter** to avoid holding positions during broad market downtrends.
A common rule: only hold positions when ``Index Value > SMA(200)``.