Created
October 14, 2017 16:13
-
-
Save bartosh/e5f1b69ae401f58d194f0327e9be5b60 to your computer and use it in GitHub Desktop.
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
$ find ./csvdir | |
./csvdir | |
./csvdir/daily | |
./csvdir/daily/SSO.csv | |
$ CSVDIR=./csvdir zipline ingest -b csvdir | |
Loading custom pricing data: [####################################] 100%[2017-10-14 16:11:13.440816] DEBUG: zipline.data.bundles.csvdir: SSO: sid 0 | |
Loading custom pricing data: [####################################] 100% | |
Merging daily equity files: [####################################] | |
$ zipline run -f ./demo_.py --bundle csvdir --data-frequency daily --start 2017-8-1 --end 2017-9-1 | |
[2017-10-14 16:11:24.332115] WARNING: Loader: Refusing to download new benchmark data because a download succeeded at 2017-10-14 16:07:40+00:00. | |
[2017-10-14 16:11:24.402330] INFO: algo: initialize: newvar does not exist yet | |
[2017-10-14 16:11:24.402593] INFO: algo: TradingAlgorithm( | |
capital_base=10000000.0 | |
sim_params= | |
SimulationParameters( | |
start_session=2017-08-01 00:00:00+00:00, | |
end_session=2017-09-01 00:00:00+00:00, | |
capital_base=10000000.0, | |
data_frequency=daily, | |
emission_rate=daily, | |
first_open=2017-08-01 13:31:00+00:00, | |
last_close=2017-09-01 20:00:00+00:00, | |
trading_calendar=<zipline.utils.calendars.exchange_calendar_nyse.NYSEExchangeCalendar object at 0x105a8df50> | |
), | |
initialized=False, | |
slippage_models={<type 'zipline.assets._assets.Future'>: VolatilityVolumeShare(volume_limit=0.05, eta=<varies>), <type 'zipline.assets._assets.Equity'>: VolumeShareSlippage( | |
volume_limit=0.025, | |
price_impact=0.1)}, | |
commission_models={<type 'zipline.assets._assets.Future'>: PerContract(cost_per_contract=0.85, exchange_fee=<varies>, min_trade_cost=0), <type 'zipline.assets._assets.Equity'>: PerShare(cost_per_share=0.001, min_trade_cost=0)}, | |
blotter=Blotter( | |
slippage_models={<type 'zipline.assets._assets.Future'>: VolatilityVolumeShare(volume_limit=0.05, eta=<varies>), <type 'zipline.assets._assets.Equity'>: VolumeShareSlippage( | |
volume_limit=0.025, | |
price_impact=0.1)}, | |
commission_models={<type 'zipline.assets._assets.Future'>: PerContract(cost_per_contract=0.85, exchange_fee=<varies>, min_trade_cost=0), <type 'zipline.assets._assets.Equity'>: PerShare(cost_per_share=0.001, min_trade_cost=0)}, | |
open_orders=defaultdict(<type 'list'>, {}), | |
orders={}, | |
new_orders=[], | |
current_dt=2017-08-01 00:00:00+00:00), | |
recorded_vars={}) | |
[2017-10-14 16:11:24.403260] INFO: algo: initialize: new var is one | |
[2017-10-14 16:11:24.414027] INFO: algo: handle_data: last_traded=2017-08-01 00:00:00+00:00 price=93.33 OHLC=93.47/93.51/93.0/93.33 Volume=9284 | |
2017-07-26 00:00:00+00:00 93.76 | |
2017-07-27 00:00:00+00:00 93.91 | |
2017-07-28 00:00:00+00:00 93.18 | |
2017-07-31 00:00:00+00:00 93.50 | |
2017-08-01 00:00:00+00:00 93.51 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.417905] INFO: algo: handle_data: last_traded=2017-08-02 00:00:00+00:00 price=93.42 OHLC=93.49/93.58/92.65/93.42 Volume=14262 | |
2017-07-27 00:00:00+00:00 93.91 | |
2017-07-28 00:00:00+00:00 93.18 | |
2017-07-31 00:00:00+00:00 93.50 | |
2017-08-01 00:00:00+00:00 93.51 | |
2017-08-02 00:00:00+00:00 93.58 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.420824] INFO: algo: handle_data: last_traded=2017-08-03 00:00:00+00:00 price=93.13 OHLC=93.34/93.35/92.86/93.13 Volume=8153 | |
2017-07-28 00:00:00+00:00 93.18 | |
2017-07-31 00:00:00+00:00 93.50 | |
2017-08-01 00:00:00+00:00 93.51 | |
2017-08-02 00:00:00+00:00 93.58 | |
2017-08-03 00:00:00+00:00 93.35 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.423559] INFO: algo: handle_data: last_traded=2017-08-04 00:00:00+00:00 price=93.42 OHLC=93.51/93.7/93.09/93.42 Volume=8793 | |
2017-07-31 00:00:00+00:00 93.50 | |
2017-08-01 00:00:00+00:00 93.51 | |
2017-08-02 00:00:00+00:00 93.58 | |
2017-08-03 00:00:00+00:00 93.35 | |
2017-08-04 00:00:00+00:00 93.70 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.426606] INFO: algo: handle_data: last_traded=2017-08-07 00:00:00+00:00 price=93.73 OHLC=93.46/93.76/93.38/93.73 Volume=6902 | |
2017-08-01 00:00:00+00:00 93.51 | |
2017-08-02 00:00:00+00:00 93.58 | |
2017-08-03 00:00:00+00:00 93.35 | |
2017-08-04 00:00:00+00:00 93.70 | |
2017-08-07 00:00:00+00:00 93.76 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.429469] INFO: algo: handle_data: last_traded=2017-08-08 00:00:00+00:00 price=93.33 OHLC=93.46/94.54/92.96/93.33 Volume=11872 | |
2017-08-02 00:00:00+00:00 93.58 | |
2017-08-03 00:00:00+00:00 93.35 | |
2017-08-04 00:00:00+00:00 93.70 | |
2017-08-07 00:00:00+00:00 93.76 | |
2017-08-08 00:00:00+00:00 94.54 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.432391] INFO: algo: handle_data: last_traded=2017-08-09 00:00:00+00:00 price=93.22 OHLC=92.65/93.31/92.37/93.22 Volume=11790 | |
2017-08-03 00:00:00+00:00 93.35 | |
2017-08-04 00:00:00+00:00 93.70 | |
2017-08-07 00:00:00+00:00 93.76 | |
2017-08-08 00:00:00+00:00 94.54 | |
2017-08-09 00:00:00+00:00 93.31 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.435149] INFO: algo: handle_data: last_traded=2017-08-10 00:00:00+00:00 price=90.67 OHLC=92.55/92.63/90.59/90.67 Volume=24617 | |
2017-08-04 00:00:00+00:00 93.70 | |
2017-08-07 00:00:00+00:00 93.76 | |
2017-08-08 00:00:00+00:00 94.54 | |
2017-08-09 00:00:00+00:00 93.31 | |
2017-08-10 00:00:00+00:00 92.63 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.438844] INFO: algo: handle_data: last_traded=2017-08-11 00:00:00+00:00 price=90.85 OHLC=90.83/91.38/90.61/90.85 Volume=16739 | |
2017-08-07 00:00:00+00:00 93.76 | |
2017-08-08 00:00:00+00:00 94.54 | |
2017-08-09 00:00:00+00:00 93.31 | |
2017-08-10 00:00:00+00:00 92.63 | |
2017-08-11 00:00:00+00:00 91.38 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.442655] INFO: algo: handle_data: last_traded=2017-08-14 00:00:00+00:00 price=92.68 OHLC=91.98/92.86/91.96/92.68 Volume=15408 | |
2017-08-08 00:00:00+00:00 94.54 | |
2017-08-09 00:00:00+00:00 93.31 | |
2017-08-10 00:00:00+00:00 92.63 | |
2017-08-11 00:00:00+00:00 91.38 | |
2017-08-14 00:00:00+00:00 92.86 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.450232] INFO: algo: handle_data: last_traded=2017-08-15 00:00:00+00:00 price=92.66 OHLC=93.0/93.0/92.38/92.66 Volume=11284 | |
2017-08-09 00:00:00+00:00 93.31 | |
2017-08-10 00:00:00+00:00 92.63 | |
2017-08-11 00:00:00+00:00 91.38 | |
2017-08-14 00:00:00+00:00 92.86 | |
2017-08-15 00:00:00+00:00 93.00 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.453123] INFO: algo: handle_data: last_traded=2017-08-16 00:00:00+00:00 price=92.95 OHLC=93.07/93.43/92.61/92.95 Volume=13907 | |
2017-08-10 00:00:00+00:00 92.63 | |
2017-08-11 00:00:00+00:00 91.38 | |
2017-08-14 00:00:00+00:00 92.86 | |
2017-08-15 00:00:00+00:00 93.00 | |
2017-08-16 00:00:00+00:00 93.43 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.455902] INFO: algo: handle_data: last_traded=2017-08-17 00:00:00+00:00 price=90.07 OHLC=92.44/92.7/90.07/90.07 Volume=25084 | |
2017-08-11 00:00:00+00:00 91.38 | |
2017-08-14 00:00:00+00:00 92.86 | |
2017-08-15 00:00:00+00:00 93.00 | |
2017-08-16 00:00:00+00:00 93.43 | |
2017-08-17 00:00:00+00:00 92.70 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.458752] INFO: algo: handle_data: last_traded=2017-08-18 00:00:00+00:00 price=89.76 OHLC=89.9/90.82/89.38/89.76 Volume=20185 | |
2017-08-14 00:00:00+00:00 92.86 | |
2017-08-15 00:00:00+00:00 93.00 | |
2017-08-16 00:00:00+00:00 93.43 | |
2017-08-17 00:00:00+00:00 92.70 | |
2017-08-18 00:00:00+00:00 90.82 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.463485] INFO: algo: handle_data: last_traded=2017-08-21 00:00:00+00:00 price=89.91 OHLC=89.67/90.11/89.11/89.91 Volume=11773 | |
2017-08-15 00:00:00+00:00 93.00 | |
2017-08-16 00:00:00+00:00 93.43 | |
2017-08-17 00:00:00+00:00 92.70 | |
2017-08-18 00:00:00+00:00 90.82 | |
2017-08-21 00:00:00+00:00 90.11 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.468974] INFO: algo: handle_data: last_traded=2017-08-22 00:00:00+00:00 price=91.7 OHLC=90.38/91.91/90.37/91.7 Volume=13439 | |
2017-08-16 00:00:00+00:00 93.43 | |
2017-08-17 00:00:00+00:00 92.70 | |
2017-08-18 00:00:00+00:00 90.82 | |
2017-08-21 00:00:00+00:00 90.11 | |
2017-08-22 00:00:00+00:00 91.91 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.474069] INFO: algo: handle_data: last_traded=2017-08-23 00:00:00+00:00 price=91.11 OHLC=90.94/91.46/90.8/91.11 Volume=8794 | |
2017-08-17 00:00:00+00:00 92.70 | |
2017-08-18 00:00:00+00:00 90.82 | |
2017-08-21 00:00:00+00:00 90.11 | |
2017-08-22 00:00:00+00:00 91.91 | |
2017-08-23 00:00:00+00:00 91.46 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.478050] INFO: algo: handle_data: last_traded=2017-08-24 00:00:00+00:00 price=90.7 OHLC=91.43/91.55/90.49/90.7 Volume=10599 | |
2017-08-18 00:00:00+00:00 90.82 | |
2017-08-21 00:00:00+00:00 90.11 | |
2017-08-22 00:00:00+00:00 91.91 | |
2017-08-23 00:00:00+00:00 91.46 | |
2017-08-24 00:00:00+00:00 91.55 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.481491] INFO: algo: handle_data: last_traded=2017-08-25 00:00:00+00:00 price=91.09 OHLC=91.36/91.86/90.97/91.09 Volume=12118 | |
2017-08-21 00:00:00+00:00 90.11 | |
2017-08-22 00:00:00+00:00 91.91 | |
2017-08-23 00:00:00+00:00 91.46 | |
2017-08-24 00:00:00+00:00 91.55 | |
2017-08-25 00:00:00+00:00 91.86 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.485391] INFO: algo: handle_data: last_traded=2017-08-28 00:00:00+00:00 price=91.13 OHLC=91.51/91.55/90.73/91.13 Volume=8549 | |
2017-08-22 00:00:00+00:00 91.91 | |
2017-08-23 00:00:00+00:00 91.46 | |
2017-08-24 00:00:00+00:00 91.55 | |
2017-08-25 00:00:00+00:00 91.86 | |
2017-08-28 00:00:00+00:00 91.55 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.489488] INFO: algo: handle_data: last_traded=2017-08-29 00:00:00+00:00 price=91.26 OHLC=89.97/91.5/89.86/91.26 Volume=11746 | |
2017-08-23 00:00:00+00:00 91.46 | |
2017-08-24 00:00:00+00:00 91.55 | |
2017-08-25 00:00:00+00:00 91.86 | |
2017-08-28 00:00:00+00:00 91.55 | |
2017-08-29 00:00:00+00:00 91.50 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.495076] INFO: algo: handle_data: last_traded=2017-08-30 00:00:00+00:00 price=92.14 OHLC=91.28/92.37/91.11/92.14 Volume=11304 | |
2017-08-24 00:00:00+00:00 91.55 | |
2017-08-25 00:00:00+00:00 91.86 | |
2017-08-28 00:00:00+00:00 91.55 | |
2017-08-29 00:00:00+00:00 91.50 | |
2017-08-30 00:00:00+00:00 92.37 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.500096] INFO: algo: handle_data: last_traded=2017-08-31 00:00:00+00:00 price=93.27 OHLC=92.66/93.45/92.59/93.27 Volume=12829 | |
2017-08-25 00:00:00+00:00 91.86 | |
2017-08-28 00:00:00+00:00 91.55 | |
2017-08-29 00:00:00+00:00 91.50 | |
2017-08-30 00:00:00+00:00 92.37 | |
2017-08-31 00:00:00+00:00 93.45 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.506611] INFO: algo: handle_data: last_traded=2017-09-01 00:00:00+00:00 price=93.56 OHLC=93.57/93.87/93.38/93.56 Volume=11685 | |
2017-08-28 00:00:00+00:00 91.55 | |
2017-08-29 00:00:00+00:00 91.50 | |
2017-08-30 00:00:00+00:00 92.37 | |
2017-08-31 00:00:00+00:00 93.45 | |
2017-09-01 00:00:00+00:00 93.87 | |
Freq: C, Name: Equity(0 [SSO]), dtype: float64 | |
[2017-10-14 16:11:24.508904] INFO: Performance: Simulated 24 trading days out of 24. | |
[2017-10-14 16:11:24.509012] INFO: Performance: first open: 2017-08-01 13:31:00+00:00 | |
[2017-10-14 16:11:24.509130] INFO: Performance: last close: 2017-09-01 20:00:00+00:00 | |
algo_volatility algorithm_period_return alpha \ | |
2017-08-01 20:00:00+00:00 NaN 0.0 NaN | |
2017-08-02 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-03 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-04 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-07 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-08 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-09 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-10 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-11 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-14 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-15 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-16 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-17 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-18 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-21 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-22 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-23 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-24 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-25 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-28 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-29 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-30 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-31 20:00:00+00:00 0.0 0.0 0.0 | |
2017-09-01 20:00:00+00:00 0.0 0.0 0.0 | |
benchmark_period_return benchmark_volatility \ | |
2017-08-01 20:00:00+00:00 0.002229 NaN | |
2017-08-02 20:00:00+00:00 0.002715 0.019572 | |
2017-08-03 20:00:00+00:00 0.000770 0.033235 | |
2017-08-04 20:00:00+00:00 0.002594 0.029841 | |
2017-08-07 20:00:00+00:00 0.004458 0.027234 | |
2017-08-08 20:00:00+00:00 0.001986 0.032639 | |
2017-08-09 20:00:00+00:00 0.001945 0.029879 | |
2017-08-10 20:00:00+00:00 -0.012198 0.085393 | |
2017-08-11 20:00:00+00:00 -0.010739 0.081437 | |
2017-08-14 20:00:00+00:00 -0.000932 0.094869 | |
2017-08-15 20:00:00+00:00 -0.001054 0.090001 | |
2017-08-16 20:00:00+00:00 0.000689 0.086219 | |
2017-08-17 20:00:00+00:00 -0.014913 0.107560 | |
2017-08-18 20:00:00+00:00 -0.016453 0.103357 | |
2017-08-21 20:00:00+00:00 -0.015683 0.099916 | |
2017-08-22 20:00:00+00:00 -0.005390 0.106760 | |
2017-08-23 20:00:00+00:00 -0.008956 0.104133 | |
2017-08-24 20:00:00+00:00 -0.011266 0.101253 | |
2017-08-25 20:00:00+00:00 -0.008956 0.098984 | |
2017-08-28 20:00:00+00:00 -0.008915 0.096360 | |
2017-08-29 20:00:00+00:00 -0.007781 0.094078 | |
2017-08-30 20:00:00+00:00 -0.003080 0.093415 | |
2017-08-31 20:00:00+00:00 0.002918 0.093502 | |
2017-09-01 20:00:00+00:00 0.004336 0.091540 | |
beta capital_used ending_cash ending_exposure \ | |
2017-08-01 20:00:00+00:00 NaN 0.0 10000000.0 0.0 | |
2017-08-02 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-03 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-04 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-07 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-08 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-09 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-10 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-11 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-14 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-15 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-16 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-17 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-18 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-21 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-22 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-23 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-24 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-25 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-28 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-29 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-30 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-31 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-09-01 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
ending_value ... \ | |
2017-08-01 20:00:00+00:00 0.0 ... | |
2017-08-02 20:00:00+00:00 0.0 ... | |
2017-08-03 20:00:00+00:00 0.0 ... | |
2017-08-04 20:00:00+00:00 0.0 ... | |
2017-08-07 20:00:00+00:00 0.0 ... | |
2017-08-08 20:00:00+00:00 0.0 ... | |
2017-08-09 20:00:00+00:00 0.0 ... | |
2017-08-10 20:00:00+00:00 0.0 ... | |
2017-08-11 20:00:00+00:00 0.0 ... | |
2017-08-14 20:00:00+00:00 0.0 ... | |
2017-08-15 20:00:00+00:00 0.0 ... | |
2017-08-16 20:00:00+00:00 0.0 ... | |
2017-08-17 20:00:00+00:00 0.0 ... | |
2017-08-18 20:00:00+00:00 0.0 ... | |
2017-08-21 20:00:00+00:00 0.0 ... | |
2017-08-22 20:00:00+00:00 0.0 ... | |
2017-08-23 20:00:00+00:00 0.0 ... | |
2017-08-24 20:00:00+00:00 0.0 ... | |
2017-08-25 20:00:00+00:00 0.0 ... | |
2017-08-28 20:00:00+00:00 0.0 ... | |
2017-08-29 20:00:00+00:00 0.0 ... | |
2017-08-30 20:00:00+00:00 0.0 ... | |
2017-08-31 20:00:00+00:00 0.0 ... | |
2017-09-01 20:00:00+00:00 0.0 ... | |
short_exposure short_value shorts_count sortino \ | |
2017-08-01 20:00:00+00:00 0 0 0 None | |
2017-08-02 20:00:00+00:00 0 0 0 None | |
2017-08-03 20:00:00+00:00 0 0 0 None | |
2017-08-04 20:00:00+00:00 0 0 0 None | |
2017-08-07 20:00:00+00:00 0 0 0 None | |
2017-08-08 20:00:00+00:00 0 0 0 None | |
2017-08-09 20:00:00+00:00 0 0 0 None | |
2017-08-10 20:00:00+00:00 0 0 0 None | |
2017-08-11 20:00:00+00:00 0 0 0 None | |
2017-08-14 20:00:00+00:00 0 0 0 None | |
2017-08-15 20:00:00+00:00 0 0 0 None | |
2017-08-16 20:00:00+00:00 0 0 0 None | |
2017-08-17 20:00:00+00:00 0 0 0 None | |
2017-08-18 20:00:00+00:00 0 0 0 None | |
2017-08-21 20:00:00+00:00 0 0 0 None | |
2017-08-22 20:00:00+00:00 0 0 0 None | |
2017-08-23 20:00:00+00:00 0 0 0 None | |
2017-08-24 20:00:00+00:00 0 0 0 None | |
2017-08-25 20:00:00+00:00 0 0 0 None | |
2017-08-28 20:00:00+00:00 0 0 0 None | |
2017-08-29 20:00:00+00:00 0 0 0 None | |
2017-08-30 20:00:00+00:00 0 0 0 None | |
2017-08-31 20:00:00+00:00 0 0 0 None | |
2017-09-01 20:00:00+00:00 0 0 0 None | |
starting_cash starting_exposure starting_value \ | |
2017-08-01 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-02 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-03 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-04 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-07 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-08 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-09 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-10 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-11 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-14 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-15 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-16 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-17 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-18 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-21 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-22 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-23 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-24 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-25 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-28 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-29 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-30 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-31 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-09-01 20:00:00+00:00 10000000.0 0.0 0.0 | |
trading_days transactions treasury_period_return | |
2017-08-01 20:00:00+00:00 1 [] 0.0 | |
2017-08-02 20:00:00+00:00 2 [] 0.0 | |
2017-08-03 20:00:00+00:00 3 [] 0.0 | |
2017-08-04 20:00:00+00:00 4 [] 0.0 | |
2017-08-07 20:00:00+00:00 5 [] 0.0 | |
2017-08-08 20:00:00+00:00 6 [] 0.0 | |
2017-08-09 20:00:00+00:00 7 [] 0.0 | |
2017-08-10 20:00:00+00:00 8 [] 0.0 | |
2017-08-11 20:00:00+00:00 9 [] 0.0 | |
2017-08-14 20:00:00+00:00 10 [] 0.0 | |
2017-08-15 20:00:00+00:00 11 [] 0.0 | |
2017-08-16 20:00:00+00:00 12 [] 0.0 | |
2017-08-17 20:00:00+00:00 13 [] 0.0 | |
2017-08-18 20:00:00+00:00 14 [] 0.0 | |
2017-08-21 20:00:00+00:00 15 [] 0.0 | |
2017-08-22 20:00:00+00:00 16 [] 0.0 | |
2017-08-23 20:00:00+00:00 17 [] 0.0 | |
2017-08-24 20:00:00+00:00 18 [] 0.0 | |
2017-08-25 20:00:00+00:00 19 [] 0.0 | |
2017-08-28 20:00:00+00:00 20 [] 0.0 | |
2017-08-29 20:00:00+00:00 21 [] 0.0 | |
2017-08-30 20:00:00+00:00 22 [] 0.0 | |
2017-08-31 20:00:00+00:00 23 [] 0.0 | |
2017-09-01 20:00:00+00:00 24 [] 0.0 | |
[24 rows x 37 columns] | |
algo_volatility algorithm_period_return alpha \ | |
2017-08-01 20:00:00+00:00 NaN 0.0 NaN | |
2017-08-02 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-03 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-04 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-07 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-08 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-09 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-10 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-11 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-14 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-15 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-16 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-17 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-18 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-21 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-22 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-23 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-24 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-25 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-28 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-29 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-30 20:00:00+00:00 0.0 0.0 0.0 | |
2017-08-31 20:00:00+00:00 0.0 0.0 0.0 | |
2017-09-01 20:00:00+00:00 0.0 0.0 0.0 | |
benchmark_period_return benchmark_volatility \ | |
2017-08-01 20:00:00+00:00 0.002229 NaN | |
2017-08-02 20:00:00+00:00 0.002715 0.019572 | |
2017-08-03 20:00:00+00:00 0.000770 0.033235 | |
2017-08-04 20:00:00+00:00 0.002594 0.029841 | |
2017-08-07 20:00:00+00:00 0.004458 0.027234 | |
2017-08-08 20:00:00+00:00 0.001986 0.032639 | |
2017-08-09 20:00:00+00:00 0.001945 0.029879 | |
2017-08-10 20:00:00+00:00 -0.012198 0.085393 | |
2017-08-11 20:00:00+00:00 -0.010739 0.081437 | |
2017-08-14 20:00:00+00:00 -0.000932 0.094869 | |
2017-08-15 20:00:00+00:00 -0.001054 0.090001 | |
2017-08-16 20:00:00+00:00 0.000689 0.086219 | |
2017-08-17 20:00:00+00:00 -0.014913 0.107560 | |
2017-08-18 20:00:00+00:00 -0.016453 0.103357 | |
2017-08-21 20:00:00+00:00 -0.015683 0.099916 | |
2017-08-22 20:00:00+00:00 -0.005390 0.106760 | |
2017-08-23 20:00:00+00:00 -0.008956 0.104133 | |
2017-08-24 20:00:00+00:00 -0.011266 0.101253 | |
2017-08-25 20:00:00+00:00 -0.008956 0.098984 | |
2017-08-28 20:00:00+00:00 -0.008915 0.096360 | |
2017-08-29 20:00:00+00:00 -0.007781 0.094078 | |
2017-08-30 20:00:00+00:00 -0.003080 0.093415 | |
2017-08-31 20:00:00+00:00 0.002918 0.093502 | |
2017-09-01 20:00:00+00:00 0.004336 0.091540 | |
beta capital_used ending_cash ending_exposure \ | |
2017-08-01 20:00:00+00:00 NaN 0.0 10000000.0 0.0 | |
2017-08-02 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-03 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-04 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-07 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-08 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-09 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-10 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-11 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-14 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-15 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-16 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-17 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-18 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-21 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-22 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-23 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-24 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-25 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-28 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-29 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-30 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-08-31 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
2017-09-01 20:00:00+00:00 0.0 0.0 10000000.0 0.0 | |
ending_value ... \ | |
2017-08-01 20:00:00+00:00 0.0 ... | |
2017-08-02 20:00:00+00:00 0.0 ... | |
2017-08-03 20:00:00+00:00 0.0 ... | |
2017-08-04 20:00:00+00:00 0.0 ... | |
2017-08-07 20:00:00+00:00 0.0 ... | |
2017-08-08 20:00:00+00:00 0.0 ... | |
2017-08-09 20:00:00+00:00 0.0 ... | |
2017-08-10 20:00:00+00:00 0.0 ... | |
2017-08-11 20:00:00+00:00 0.0 ... | |
2017-08-14 20:00:00+00:00 0.0 ... | |
2017-08-15 20:00:00+00:00 0.0 ... | |
2017-08-16 20:00:00+00:00 0.0 ... | |
2017-08-17 20:00:00+00:00 0.0 ... | |
2017-08-18 20:00:00+00:00 0.0 ... | |
2017-08-21 20:00:00+00:00 0.0 ... | |
2017-08-22 20:00:00+00:00 0.0 ... | |
2017-08-23 20:00:00+00:00 0.0 ... | |
2017-08-24 20:00:00+00:00 0.0 ... | |
2017-08-25 20:00:00+00:00 0.0 ... | |
2017-08-28 20:00:00+00:00 0.0 ... | |
2017-08-29 20:00:00+00:00 0.0 ... | |
2017-08-30 20:00:00+00:00 0.0 ... | |
2017-08-31 20:00:00+00:00 0.0 ... | |
2017-09-01 20:00:00+00:00 0.0 ... | |
short_exposure short_value shorts_count sortino \ | |
2017-08-01 20:00:00+00:00 0 0 0 None | |
2017-08-02 20:00:00+00:00 0 0 0 None | |
2017-08-03 20:00:00+00:00 0 0 0 None | |
2017-08-04 20:00:00+00:00 0 0 0 None | |
2017-08-07 20:00:00+00:00 0 0 0 None | |
2017-08-08 20:00:00+00:00 0 0 0 None | |
2017-08-09 20:00:00+00:00 0 0 0 None | |
2017-08-10 20:00:00+00:00 0 0 0 None | |
2017-08-11 20:00:00+00:00 0 0 0 None | |
2017-08-14 20:00:00+00:00 0 0 0 None | |
2017-08-15 20:00:00+00:00 0 0 0 None | |
2017-08-16 20:00:00+00:00 0 0 0 None | |
2017-08-17 20:00:00+00:00 0 0 0 None | |
2017-08-18 20:00:00+00:00 0 0 0 None | |
2017-08-21 20:00:00+00:00 0 0 0 None | |
2017-08-22 20:00:00+00:00 0 0 0 None | |
2017-08-23 20:00:00+00:00 0 0 0 None | |
2017-08-24 20:00:00+00:00 0 0 0 None | |
2017-08-25 20:00:00+00:00 0 0 0 None | |
2017-08-28 20:00:00+00:00 0 0 0 None | |
2017-08-29 20:00:00+00:00 0 0 0 None | |
2017-08-30 20:00:00+00:00 0 0 0 None | |
2017-08-31 20:00:00+00:00 0 0 0 None | |
2017-09-01 20:00:00+00:00 0 0 0 None | |
starting_cash starting_exposure starting_value \ | |
2017-08-01 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-02 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-03 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-04 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-07 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-08 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-09 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-10 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-11 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-14 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-15 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-16 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-17 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-18 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-21 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-22 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-23 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-24 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-25 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-28 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-29 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-30 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-08-31 20:00:00+00:00 10000000.0 0.0 0.0 | |
2017-09-01 20:00:00+00:00 10000000.0 0.0 0.0 | |
trading_days transactions treasury_period_return | |
2017-08-01 20:00:00+00:00 1 [] 0.0 | |
2017-08-02 20:00:00+00:00 2 [] 0.0 | |
2017-08-03 20:00:00+00:00 3 [] 0.0 | |
2017-08-04 20:00:00+00:00 4 [] 0.0 | |
2017-08-07 20:00:00+00:00 5 [] 0.0 | |
2017-08-08 20:00:00+00:00 6 [] 0.0 | |
2017-08-09 20:00:00+00:00 7 [] 0.0 | |
2017-08-10 20:00:00+00:00 8 [] 0.0 | |
2017-08-11 20:00:00+00:00 9 [] 0.0 | |
2017-08-14 20:00:00+00:00 10 [] 0.0 | |
2017-08-15 20:00:00+00:00 11 [] 0.0 | |
2017-08-16 20:00:00+00:00 12 [] 0.0 | |
2017-08-17 20:00:00+00:00 13 [] 0.0 | |
2017-08-18 20:00:00+00:00 14 [] 0.0 | |
2017-08-21 20:00:00+00:00 15 [] 0.0 | |
2017-08-22 20:00:00+00:00 16 [] 0.0 | |
2017-08-23 20:00:00+00:00 17 [] 0.0 | |
2017-08-24 20:00:00+00:00 18 [] 0.0 | |
2017-08-25 20:00:00+00:00 19 [] 0.0 | |
2017-08-28 20:00:00+00:00 20 [] 0.0 | |
2017-08-29 20:00:00+00:00 21 [] 0.0 | |
2017-08-30 20:00:00+00:00 22 [] 0.0 | |
2017-08-31 20:00:00+00:00 23 [] 0.0 | |
2017-09-01 20:00:00+00:00 24 [] 0.0 | |
[24 rows x 37 columns] |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment