{ "cells": [ { "cell_type": "markdown", "metadata": {}, "source": [ "# Creating and Backtesting EMA Strategies" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## Getting the Data" ] }, { "cell_type": "code", "execution_count": 1, "metadata": {}, "outputs": [], "source": [ "import pandas as pd\n", "import numpy as np\n", "import matplotlib.pyplot as plt\n", "plt.style.use(\"seaborn\")\n", "import yfinance as yf" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "[*********************100%***********************] 1 of 1 completed\n" ] } ], "source": [ "start1 = '2018-01-01'\n", "end1='2021-03-01'\n", "# looping over tickers and creating a dataframe with close prices\n", "stocks = yf.download('spy',start1,end1,interval='1d')\n", "stocks['price'] = stocks['Close']\n", "data =stocks.copy()" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## Defining an EMA Crossover Strategy" ] }, { "cell_type": "code", "execution_count": 120, "metadata": {}, "outputs": [], "source": [ "ema_s = 13\n", "ema_l = 21" ] }, { "cell_type": "code", "execution_count": 121, "metadata": {}, "outputs": [], "source": [ "data[\"EMA_\"] = data.price.ewm(span = ema_s, min_periods = ema_s).mean() " ] }, { "cell_type": "code", "execution_count": 122, "metadata": {}, "outputs": [], "source": [ "data[\"EMA_L\"] = data.price.ewm(span = ema_l, min_periods = ema_l).mean() " ] }, { "cell_type": "code", "execution_count": 123, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "price | \n", "EMA_S | \n", "EMA_L | \n", "
---|---|---|---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2018-01-02 | \n", "267.839996 | \n", "268.809998 | \n", "267.399994 | \n", "268.769989 | \n", "253.283142 | \n", "86655700 | \n", "268.769989 | \n", "NaN | \n", "NaN | \n", "
2018-01-03 | \n", "268.959991 | \n", "270.640015 | \n", "268.959991 | \n", "270.470001 | \n", "254.885162 | \n", "90070400 | \n", "270.470001 | \n", "NaN | \n", "NaN | \n", "
2018-01-04 | \n", "271.200012 | \n", "272.160004 | \n", "270.540009 | \n", "271.609985 | \n", "255.959488 | \n", "80636400 | \n", "271.609985 | \n", "NaN | \n", "NaN | \n", "
2018-01-05 | \n", "272.510010 | \n", "273.559998 | \n", "271.950012 | \n", "273.420013 | \n", "257.665283 | \n", "83524000 | \n", "273.420013 | \n", "NaN | \n", "NaN | \n", "
2018-01-08 | \n", "273.309998 | \n", "274.100006 | \n", "272.980011 | \n", "273.920013 | \n", "258.136414 | \n", "57319200 | \n", "273.920013 | \n", "NaN | \n", "NaN | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-02-22 | \n", "387.059998 | \n", "389.619995 | \n", "386.739990 | \n", "387.029999 | \n", "385.766510 | \n", "67414200 | \n", "387.029999 | \n", "388.352130 | \n", "386.161472 | \n", "
2021-02-23 | \n", "384.660004 | \n", "388.950012 | \n", "380.200012 | \n", "387.500000 | \n", "386.234985 | \n", "107284100 | \n", "387.500000 | \n", "388.230397 | \n", "386.283157 | \n", "
2021-02-24 | \n", "386.329987 | \n", "392.230011 | \n", "385.269989 | \n", "391.769989 | \n", "390.491028 | \n", "72433900 | \n", "391.769989 | \n", "388.736053 | \n", "386.781960 | \n", "
2021-02-25 | \n", "390.410004 | \n", "391.880005 | \n", "380.779999 | \n", "382.329987 | \n", "381.081848 | \n", "146670500 | \n", "382.329987 | \n", "387.820901 | \n", "386.377235 | \n", "
2021-02-26 | \n", "384.350006 | \n", "385.579987 | \n", "378.230011 | \n", "380.359985 | \n", "379.118286 | \n", "152701600 | \n", "380.359985 | \n", "386.755056 | \n", "385.830212 | \n", "
794 rows × 9 columns
\n", "\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "price | \n", "EMA_S | \n", "EMA_L | \n", "position | \n", "
---|---|---|---|---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2018-01-02 | \n", "267.839996 | \n", "268.809998 | \n", "267.399994 | \n", "268.769989 | \n", "253.283142 | \n", "86655700 | \n", "268.769989 | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2018-01-03 | \n", "268.959991 | \n", "270.640015 | \n", "268.959991 | \n", "270.470001 | \n", "254.885162 | \n", "90070400 | \n", "270.470001 | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2018-01-04 | \n", "271.200012 | \n", "272.160004 | \n", "270.540009 | \n", "271.609985 | \n", "255.959488 | \n", "80636400 | \n", "271.609985 | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2018-01-05 | \n", "272.510010 | \n", "273.559998 | \n", "271.950012 | \n", "273.420013 | \n", "257.665283 | \n", "83524000 | \n", "273.420013 | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2018-01-08 | \n", "273.309998 | \n", "274.100006 | \n", "272.980011 | \n", "273.920013 | \n", "258.136414 | \n", "57319200 | \n", "273.920013 | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-02-22 | \n", "387.059998 | \n", "389.619995 | \n", "386.739990 | \n", "387.029999 | \n", "385.766510 | \n", "67414200 | \n", "387.029999 | \n", "388.352130 | \n", "386.161472 | \n", "1 | \n", "
2021-02-23 | \n", "384.660004 | \n", "388.950012 | \n", "380.200012 | \n", "387.500000 | \n", "386.234985 | \n", "107284100 | \n", "387.500000 | \n", "388.230397 | \n", "386.283157 | \n", "1 | \n", "
2021-02-24 | \n", "386.329987 | \n", "392.230011 | \n", "385.269989 | \n", "391.769989 | \n", "390.491028 | \n", "72433900 | \n", "391.769989 | \n", "388.736053 | \n", "386.781960 | \n", "1 | \n", "
2021-02-25 | \n", "390.410004 | \n", "391.880005 | \n", "380.779999 | \n", "382.329987 | \n", "381.081848 | \n", "146670500 | \n", "382.329987 | \n", "387.820901 | \n", "386.377235 | \n", "1 | \n", "
2021-02-26 | \n", "384.350006 | \n", "385.579987 | \n", "378.230011 | \n", "380.359985 | \n", "379.118286 | \n", "152701600 | \n", "380.359985 | \n", "386.755056 | \n", "385.830212 | \n", "1 | \n", "
794 rows × 10 columns
\n", "\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "price | \n", "EMA_S | \n", "EMA_L | \n", "position | \n", "
---|---|---|---|---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2018-01-02 | \n", "267.839996 | \n", "268.809998 | \n", "267.399994 | \n", "268.769989 | \n", "253.283142 | \n", "86655700 | \n", "268.769989 | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2018-01-03 | \n", "268.959991 | \n", "270.640015 | \n", "268.959991 | \n", "270.470001 | \n", "254.885162 | \n", "90070400 | \n", "270.470001 | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2018-01-04 | \n", "271.200012 | \n", "272.160004 | \n", "270.540009 | \n", "271.609985 | \n", "255.959488 | \n", "80636400 | \n", "271.609985 | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2018-01-05 | \n", "272.510010 | \n", "273.559998 | \n", "271.950012 | \n", "273.420013 | \n", "257.665283 | \n", "83524000 | \n", "273.420013 | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2018-01-08 | \n", "273.309998 | \n", "274.100006 | \n", "272.980011 | \n", "273.920013 | \n", "258.136414 | \n", "57319200 | \n", "273.920013 | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-02-22 | \n", "387.059998 | \n", "389.619995 | \n", "386.739990 | \n", "387.029999 | \n", "385.766510 | \n", "67414200 | \n", "387.029999 | \n", "388.352130 | \n", "386.161472 | \n", "1 | \n", "
2021-02-23 | \n", "384.660004 | \n", "388.950012 | \n", "380.200012 | \n", "387.500000 | \n", "386.234985 | \n", "107284100 | \n", "387.500000 | \n", "388.230397 | \n", "386.283157 | \n", "1 | \n", "
2021-02-24 | \n", "386.329987 | \n", "392.230011 | \n", "385.269989 | \n", "391.769989 | \n", "390.491028 | \n", "72433900 | \n", "391.769989 | \n", "388.736053 | \n", "386.781960 | \n", "1 | \n", "
2021-02-25 | \n", "390.410004 | \n", "391.880005 | \n", "380.779999 | \n", "382.329987 | \n", "381.081848 | \n", "146670500 | \n", "382.329987 | \n", "387.820901 | \n", "386.377235 | \n", "1 | \n", "
2021-02-26 | \n", "384.350006 | \n", "385.579987 | \n", "378.230011 | \n", "380.359985 | \n", "379.118286 | \n", "152701600 | \n", "380.359985 | \n", "386.755056 | \n", "385.830212 | \n", "1 | \n", "
794 rows × 10 columns
\n", "\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "price | \n", "EMA_S | \n", "EMA_L | \n", "position | \n", "returns | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2018-01-31 | \n", "282.730011 | \n", "283.299988 | \n", "280.679993 | \n", "281.899994 | \n", "265.656616 | \n", "108364800 | \n", "281.899994 | \n", "281.652772 | \n", "280.671457 | \n", "1 | \n", "0.000497 | \n", "
2018-02-01 | \n", "281.070007 | \n", "283.059998 | \n", "280.679993 | \n", "281.579987 | \n", "265.354980 | \n", "90102500 | \n", "281.579987 | \n", "281.642012 | \n", "280.765618 | \n", "1 | \n", "-0.001136 | \n", "
2018-02-02 | \n", "280.079987 | \n", "280.230011 | \n", "275.410004 | \n", "275.450012 | \n", "259.578278 | \n", "173174800 | \n", "275.450012 | \n", "280.731158 | \n", "280.221629 | \n", "1 | \n", "-0.022010 | \n", "
2018-02-05 | \n", "273.450012 | \n", "275.850006 | \n", "263.309998 | \n", "263.929993 | \n", "248.722015 | \n", "294681800 | \n", "263.929993 | \n", "278.270123 | \n", "278.573215 | \n", "-1 | \n", "-0.042722 | \n", "
2018-02-06 | \n", "259.940002 | \n", "269.700012 | \n", "258.700012 | \n", "269.130005 | \n", "253.622482 | \n", "355026800 | \n", "269.130005 | \n", "276.936111 | \n", "277.627451 | \n", "-1 | \n", "0.019511 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-02-22 | \n", "387.059998 | \n", "389.619995 | \n", "386.739990 | \n", "387.029999 | \n", "385.766510 | \n", "67414200 | \n", "387.029999 | \n", "388.352130 | \n", "386.161472 | \n", "1 | \n", "-0.007721 | \n", "
2021-02-23 | \n", "384.660004 | \n", "388.950012 | \n", "380.200012 | \n", "387.500000 | \n", "386.234985 | \n", "107284100 | \n", "387.500000 | \n", "388.230397 | \n", "386.283157 | \n", "1 | \n", "0.001214 | \n", "
2021-02-24 | \n", "386.329987 | \n", "392.230011 | \n", "385.269989 | \n", "391.769989 | \n", "390.491028 | \n", "72433900 | \n", "391.769989 | \n", "388.736053 | \n", "386.781960 | \n", "1 | \n", "0.010959 | \n", "
2021-02-25 | \n", "390.410004 | \n", "391.880005 | \n", "380.779999 | \n", "382.329987 | \n", "381.081848 | \n", "146670500 | \n", "382.329987 | \n", "387.820901 | \n", "386.377235 | \n", "1 | \n", "-0.024391 | \n", "
2021-02-26 | \n", "384.350006 | \n", "385.579987 | \n", "378.230011 | \n", "380.359985 | \n", "379.118286 | \n", "152701600 | \n", "380.359985 | \n", "386.755056 | \n", "385.830212 | \n", "1 | \n", "-0.005166 | \n", "
774 rows × 11 columns
\n", "\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "price | \n", "EMA_S | \n", "EMA_L | \n", "position | \n", "returns | \n", "strategy | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2018-01-31 | \n", "282.730011 | \n", "283.299988 | \n", "280.679993 | \n", "281.899994 | \n", "265.656616 | \n", "108364800 | \n", "281.899994 | \n", "281.652772 | \n", "280.671457 | \n", "1 | \n", "0.000497 | \n", "NaN | \n", "
2018-02-01 | \n", "281.070007 | \n", "283.059998 | \n", "280.679993 | \n", "281.579987 | \n", "265.354980 | \n", "90102500 | \n", "281.579987 | \n", "281.642012 | \n", "280.765618 | \n", "1 | \n", "-0.001136 | \n", "-0.001136 | \n", "
2018-02-02 | \n", "280.079987 | \n", "280.230011 | \n", "275.410004 | \n", "275.450012 | \n", "259.578278 | \n", "173174800 | \n", "275.450012 | \n", "280.731158 | \n", "280.221629 | \n", "1 | \n", "-0.022010 | \n", "-0.022010 | \n", "
2018-02-05 | \n", "273.450012 | \n", "275.850006 | \n", "263.309998 | \n", "263.929993 | \n", "248.722015 | \n", "294681800 | \n", "263.929993 | \n", "278.270123 | \n", "278.573215 | \n", "-1 | \n", "-0.042722 | \n", "-0.042722 | \n", "
2018-02-06 | \n", "259.940002 | \n", "269.700012 | \n", "258.700012 | \n", "269.130005 | \n", "253.622482 | \n", "355026800 | \n", "269.130005 | \n", "276.936111 | \n", "277.627451 | \n", "-1 | \n", "0.019511 | \n", "-0.019511 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-02-22 | \n", "387.059998 | \n", "389.619995 | \n", "386.739990 | \n", "387.029999 | \n", "385.766510 | \n", "67414200 | \n", "387.029999 | \n", "388.352130 | \n", "386.161472 | \n", "1 | \n", "-0.007721 | \n", "-0.007721 | \n", "
2021-02-23 | \n", "384.660004 | \n", "388.950012 | \n", "380.200012 | \n", "387.500000 | \n", "386.234985 | \n", "107284100 | \n", "387.500000 | \n", "388.230397 | \n", "386.283157 | \n", "1 | \n", "0.001214 | \n", "0.001214 | \n", "
2021-02-24 | \n", "386.329987 | \n", "392.230011 | \n", "385.269989 | \n", "391.769989 | \n", "390.491028 | \n", "72433900 | \n", "391.769989 | \n", "388.736053 | \n", "386.781960 | \n", "1 | \n", "0.010959 | \n", "0.010959 | \n", "
2021-02-25 | \n", "390.410004 | \n", "391.880005 | \n", "380.779999 | \n", "382.329987 | \n", "381.081848 | \n", "146670500 | \n", "382.329987 | \n", "387.820901 | \n", "386.377235 | \n", "1 | \n", "-0.024391 | \n", "-0.024391 | \n", "
2021-02-26 | \n", "384.350006 | \n", "385.579987 | \n", "378.230011 | \n", "380.359985 | \n", "379.118286 | \n", "152701600 | \n", "380.359985 | \n", "386.755056 | \n", "385.830212 | \n", "1 | \n", "-0.005166 | \n", "-0.005166 | \n", "
774 rows × 12 columns
\n", "\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "price | \n", "EMA_S | \n", "EMA_L | \n", "position | \n", "returns | \n", "strategy | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2018-02-01 | \n", "281.070007 | \n", "283.059998 | \n", "280.679993 | \n", "281.579987 | \n", "265.354980 | \n", "90102500 | \n", "281.579987 | \n", "281.642012 | \n", "280.765618 | \n", "1 | \n", "-0.001136 | \n", "-0.001136 | \n", "
2018-02-02 | \n", "280.079987 | \n", "280.230011 | \n", "275.410004 | \n", "275.450012 | \n", "259.578278 | \n", "173174800 | \n", "275.450012 | \n", "280.731158 | \n", "280.221629 | \n", "1 | \n", "-0.022010 | \n", "-0.022010 | \n", "
2018-02-05 | \n", "273.450012 | \n", "275.850006 | \n", "263.309998 | \n", "263.929993 | \n", "248.722015 | \n", "294681800 | \n", "263.929993 | \n", "278.270123 | \n", "278.573215 | \n", "-1 | \n", "-0.042722 | \n", "-0.042722 | \n", "
2018-02-06 | \n", "259.940002 | \n", "269.700012 | \n", "258.700012 | \n", "269.130005 | \n", "253.622482 | \n", "355026800 | \n", "269.130005 | \n", "276.936111 | \n", "277.627451 | \n", "-1 | \n", "0.019511 | \n", "-0.019511 | \n", "
2018-02-07 | \n", "268.500000 | \n", "272.359985 | \n", "267.579987 | \n", "267.670013 | \n", "252.246567 | \n", "167376100 | \n", "267.670013 | \n", "275.587884 | \n", "276.639320 | \n", "-1 | \n", "-0.005440 | \n", "0.005440 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-02-22 | \n", "387.059998 | \n", "389.619995 | \n", "386.739990 | \n", "387.029999 | \n", "385.766510 | \n", "67414200 | \n", "387.029999 | \n", "388.352130 | \n", "386.161472 | \n", "1 | \n", "-0.007721 | \n", "-0.007721 | \n", "
2021-02-23 | \n", "384.660004 | \n", "388.950012 | \n", "380.200012 | \n", "387.500000 | \n", "386.234985 | \n", "107284100 | \n", "387.500000 | \n", "388.230397 | \n", "386.283157 | \n", "1 | \n", "0.001214 | \n", "0.001214 | \n", "
2021-02-24 | \n", "386.329987 | \n", "392.230011 | \n", "385.269989 | \n", "391.769989 | \n", "390.491028 | \n", "72433900 | \n", "391.769989 | \n", "388.736053 | \n", "386.781960 | \n", "1 | \n", "0.010959 | \n", "0.010959 | \n", "
2021-02-25 | \n", "390.410004 | \n", "391.880005 | \n", "380.779999 | \n", "382.329987 | \n", "381.081848 | \n", "146670500 | \n", "382.329987 | \n", "387.820901 | \n", "386.377235 | \n", "1 | \n", "-0.024391 | \n", "-0.024391 | \n", "
2021-02-26 | \n", "384.350006 | \n", "385.579987 | \n", "378.230011 | \n", "380.359985 | \n", "379.118286 | \n", "152701600 | \n", "380.359985 | \n", "386.755056 | \n", "385.830212 | \n", "1 | \n", "-0.005166 | \n", "-0.005166 | \n", "
773 rows × 12 columns
\n", "\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "price | \n", "EMA_S | \n", "EMA_L | \n", "position | \n", "returns | \n", "strategy | \n", "creturns | \n", "cstrategy | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2018-02-01 | \n", "281.070007 | \n", "283.059998 | \n", "280.679993 | \n", "281.579987 | \n", "265.354980 | \n", "90102500 | \n", "281.579987 | \n", "281.642012 | \n", "280.765618 | \n", "1 | \n", "-0.001136 | \n", "-0.001136 | \n", "0.998865 | \n", "0.998865 | \n", "
2018-02-02 | \n", "280.079987 | \n", "280.230011 | \n", "275.410004 | \n", "275.450012 | \n", "259.578278 | \n", "173174800 | \n", "275.450012 | \n", "280.731158 | \n", "280.221629 | \n", "1 | \n", "-0.022010 | \n", "-0.022010 | \n", "0.977120 | \n", "0.977120 | \n", "
2018-02-05 | \n", "273.450012 | \n", "275.850006 | \n", "263.309998 | \n", "263.929993 | \n", "248.722015 | \n", "294681800 | \n", "263.929993 | \n", "278.270123 | \n", "278.573215 | \n", "-1 | \n", "-0.042722 | \n", "-0.042722 | \n", "0.936254 | \n", "0.936254 | \n", "
2018-02-06 | \n", "259.940002 | \n", "269.700012 | \n", "258.700012 | \n", "269.130005 | \n", "253.622482 | \n", "355026800 | \n", "269.130005 | \n", "276.936111 | \n", "277.627451 | \n", "-1 | \n", "0.019511 | \n", "-0.019511 | \n", "0.954700 | \n", "0.918164 | \n", "
2018-02-07 | \n", "268.500000 | \n", "272.359985 | \n", "267.579987 | \n", "267.670013 | \n", "252.246567 | \n", "167376100 | \n", "267.670013 | \n", "275.587884 | \n", "276.639320 | \n", "-1 | \n", "-0.005440 | \n", "0.005440 | \n", "0.949521 | \n", "0.923172 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-02-22 | \n", "387.059998 | \n", "389.619995 | \n", "386.739990 | \n", "387.029999 | \n", "385.766510 | \n", "67414200 | \n", "387.029999 | \n", "388.352130 | \n", "386.161472 | \n", "1 | \n", "-0.007721 | \n", "-0.007721 | \n", "1.372934 | \n", "1.035997 | \n", "
2021-02-23 | \n", "384.660004 | \n", "388.950012 | \n", "380.200012 | \n", "387.500000 | \n", "386.234985 | \n", "107284100 | \n", "387.500000 | \n", "388.230397 | \n", "386.283157 | \n", "1 | \n", "0.001214 | \n", "0.001214 | \n", "1.374601 | \n", "1.037255 | \n", "
2021-02-24 | \n", "386.329987 | \n", "392.230011 | \n", "385.269989 | \n", "391.769989 | \n", "390.491028 | \n", "72433900 | \n", "391.769989 | \n", "388.736053 | \n", "386.781960 | \n", "1 | \n", "0.010959 | \n", "0.010959 | \n", "1.389748 | \n", "1.048685 | \n", "
2021-02-25 | \n", "390.410004 | \n", "391.880005 | \n", "380.779999 | \n", "382.329987 | \n", "381.081848 | \n", "146670500 | \n", "382.329987 | \n", "387.820901 | \n", "386.377235 | \n", "1 | \n", "-0.024391 | \n", "-0.024391 | \n", "1.356261 | \n", "1.023416 | \n", "
2021-02-26 | \n", "384.350006 | \n", "385.579987 | \n", "378.230011 | \n", "380.359985 | \n", "379.118286 | \n", "152701600 | \n", "380.359985 | \n", "386.755056 | \n", "385.830212 | \n", "1 | \n", "-0.005166 | \n", "-0.005166 | \n", "1.349273 | \n", "1.018143 | \n", "
773 rows × 14 columns
\n", "\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "price | \n", "EMA_S | \n", "EMA_L | \n", "position | \n", "returns | \n", "strategy | \n", "creturns | \n", "cstrategy | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2018-02-01 | \n", "281.070007 | \n", "283.059998 | \n", "280.679993 | \n", "281.579987 | \n", "265.354980 | \n", "90102500 | \n", "281.579987 | \n", "281.642012 | \n", "280.765618 | \n", "1 | \n", "-0.001136 | \n", "-0.001136 | \n", "0.998865 | \n", "0.998865 | \n", "
2018-02-02 | \n", "280.079987 | \n", "280.230011 | \n", "275.410004 | \n", "275.450012 | \n", "259.578278 | \n", "173174800 | \n", "275.450012 | \n", "280.731158 | \n", "280.221629 | \n", "1 | \n", "-0.022010 | \n", "-0.022010 | \n", "0.977120 | \n", "0.977120 | \n", "
2018-02-05 | \n", "273.450012 | \n", "275.850006 | \n", "263.309998 | \n", "263.929993 | \n", "248.722015 | \n", "294681800 | \n", "263.929993 | \n", "278.270123 | \n", "278.573215 | \n", "-1 | \n", "-0.042722 | \n", "-0.042722 | \n", "0.936254 | \n", "0.936254 | \n", "
2018-02-06 | \n", "259.940002 | \n", "269.700012 | \n", "258.700012 | \n", "269.130005 | \n", "253.622482 | \n", "355026800 | \n", "269.130005 | \n", "276.936111 | \n", "277.627451 | \n", "-1 | \n", "0.019511 | \n", "-0.019511 | \n", "0.954700 | \n", "0.918164 | \n", "
2018-02-07 | \n", "268.500000 | \n", "272.359985 | \n", "267.579987 | \n", "267.670013 | \n", "252.246567 | \n", "167376100 | \n", "267.670013 | \n", "275.587884 | \n", "276.639320 | \n", "-1 | \n", "-0.005440 | \n", "0.005440 | \n", "0.949521 | \n", "0.923172 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-02-22 | \n", "387.059998 | \n", "389.619995 | \n", "386.739990 | \n", "387.029999 | \n", "385.766510 | \n", "67414200 | \n", "387.029999 | \n", "388.352130 | \n", "386.161472 | \n", "1 | \n", "-0.007721 | \n", "-0.007721 | \n", "1.372934 | \n", "1.035997 | \n", "
2021-02-23 | \n", "384.660004 | \n", "388.950012 | \n", "380.200012 | \n", "387.500000 | \n", "386.234985 | \n", "107284100 | \n", "387.500000 | \n", "388.230397 | \n", "386.283157 | \n", "1 | \n", "0.001214 | \n", "0.001214 | \n", "1.374601 | \n", "1.037255 | \n", "
2021-02-24 | \n", "386.329987 | \n", "392.230011 | \n", "385.269989 | \n", "391.769989 | \n", "390.491028 | \n", "72433900 | \n", "391.769989 | \n", "388.736053 | \n", "386.781960 | \n", "1 | \n", "0.010959 | \n", "0.010959 | \n", "1.389748 | \n", "1.048685 | \n", "
2021-02-25 | \n", "390.410004 | \n", "391.880005 | \n", "380.779999 | \n", "382.329987 | \n", "381.081848 | \n", "146670500 | \n", "382.329987 | \n", "387.820901 | \n", "386.377235 | \n", "1 | \n", "-0.024391 | \n", "-0.024391 | \n", "1.356261 | \n", "1.023416 | \n", "
2021-02-26 | \n", "384.350006 | \n", "385.579987 | \n", "378.230011 | \n", "380.359985 | \n", "379.118286 | \n", "152701600 | \n", "380.359985 | \n", "386.755056 | \n", "385.830212 | \n", "1 | \n", "-0.005166 | \n", "-0.005166 | \n", "1.349273 | \n", "1.018143 | \n", "
773 rows × 14 columns
\n", "