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feat(config): benchmark Taiwan, Korea, Singapore and the main European exchanges (#1392)
- .TW, .TWO, .KS, .KQ, .SI, .DE, .PA, .AS, .SW and .MI tickers are measured against their regional index instead of SPY
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@@ -161,8 +161,18 @@ DEFAULT_CONFIG = _apply_env_overrides({
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".NS": "^NSEI", # NSE India (Nifty 50)
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".BO": "^BSESN", # BSE India (Sensex)
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".T": "^N225", # Tokyo (Nikkei 225)
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".TW": "^TWII", # Taiwan (TAIEX)
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".TWO": "^TWII", # Taipei OTC (TPEx has no Yahoo index; TAIEX)
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".KS": "^KS11", # Korea (KOSPI)
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".KQ": "^KQ11", # Korea (KOSDAQ)
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".HK": "^HSI", # Hong Kong (Hang Seng)
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".SI": "^STI", # Singapore (Straits Times)
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".L": "^FTSE", # London (FTSE 100)
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".DE": "^GDAXI", # Germany (DAX)
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".PA": "^FCHI", # Paris (CAC 40)
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".AS": "^AEX", # Amsterdam (AEX)
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".SW": "^SSMI", # Switzerland (SMI)
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".MI": "FTSEMIB.MI", # Milan (FTSE MIB)
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".TO": "^GSPTSE", # Toronto (TSX Composite)
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".AX": "^AXJO", # Australia (ASX 200)
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".SS": "000001.SS", # Shanghai (SSE Composite)
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@@ -16,10 +16,9 @@ def resolve_benchmark(ticker: str, config: dict) -> str:
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``config["benchmark_ticker"]`` overrides everything when set; otherwise
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the suffix map matches the ticker's exchange suffix (e.g. ``.T`` for
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Tokyo). US-listed tickers without a dotted suffix fall through to the
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empty-suffix entry (SPY by default). Unrecognised suffixes (including
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US tickers with dots like ``BRK.B``) also fall back to the empty-suffix
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entry, which is the right default because the alpha calculation works
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in USD.
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empty-suffix entry (SPY by default). Unrecognised suffixes, including
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US tickers with dots like ``BRK.B``, also take the empty-suffix entry.
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Returns are compared as percentages, each in its own currency.
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"""
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explicit = config.get("benchmark_ticker")
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