{ "cells": [ { "cell_type": "markdown", "metadata": {}, "source": [ "# Creating and Backtesting MACD Strategies" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## Getting the Data" ] }, { "cell_type": "code", "execution_count": 52, "metadata": {}, "outputs": [], "source": [ "import pandas as pd\n", "import numpy as np\n", "import matplotlib.pyplot as plt\n", "plt.style.use(\"seaborn\")" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [ "data = pd.read_csv(\"eurusd.csv\", parse_dates = [\"Date\"], index_col = \"Date\")" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [ "data" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [ "data.info()" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [ "data.plot(figsize = (12, 8), title = \"EUR/USD\", fontsize = 12)\n", "plt.show()" ] }, { "cell_type": "code", "execution_count": 53, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "[*********************100%***********************] 1 of 1 completed\n" ] } ], "source": [ "plt.style.use('fivethirtyeight')\n", "plt.rcParams['figure.figsize'] = (15, 8)\n", "import yfinance as yf\n", " \n", "start1 = '2020-01-01'\n", "end1='2021-03-01'\n", "# looping over tickers and creating a dataframe with close prices\n", "stocks = yf.download('AAPL',start1,end1,interval='1d')\n" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## Defining an MACD Strategy (Part 1)" ] }, { "cell_type": "code", "execution_count": 54, "metadata": {}, "outputs": [], "source": [ "data = stocks.copy()\n" ] }, { "cell_type": "code", "execution_count": 4, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "
---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2020-01-02 | \n", "74.059998 | \n", "75.150002 | \n", "73.797501 | \n", "75.087502 | \n", "74.207466 | \n", "135480400 | \n", "
2020-01-03 | \n", "74.287498 | \n", "75.144997 | \n", "74.125000 | \n", "74.357498 | \n", "73.486023 | \n", "146322800 | \n", "
2020-01-06 | \n", "73.447502 | \n", "74.989998 | \n", "73.187500 | \n", "74.949997 | \n", "74.071579 | \n", "118387200 | \n", "
2020-01-07 | \n", "74.959999 | \n", "75.224998 | \n", "74.370003 | \n", "74.597504 | \n", "73.723213 | \n", "108872000 | \n", "
2020-01-08 | \n", "74.290001 | \n", "76.110001 | \n", "74.290001 | \n", "75.797501 | \n", "74.909149 | \n", "132079200 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-02-22 | \n", "128.009995 | \n", "129.720001 | \n", "125.599998 | \n", "126.000000 | \n", "125.786346 | \n", "103916400 | \n", "
2021-02-23 | \n", "123.760002 | \n", "126.709999 | \n", "118.389999 | \n", "125.860001 | \n", "125.646584 | \n", "158273000 | \n", "
2021-02-24 | \n", "124.940002 | \n", "125.559998 | \n", "122.230003 | \n", "125.349998 | \n", "125.137444 | \n", "111039900 | \n", "
2021-02-25 | \n", "124.680000 | \n", "126.459999 | \n", "120.540001 | \n", "120.989998 | \n", "120.784836 | \n", "148199500 | \n", "
2021-02-26 | \n", "122.589996 | \n", "124.849998 | \n", "121.199997 | \n", "121.260002 | \n", "121.054382 | \n", "164560400 | \n", "
291 rows × 6 columns
\n", "\n", " | Close | \n", "EMA_S | \n", "EMA_L | \n", "
---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " |
2020-01-02 | \n", "75.087502 | \n", "NaN | \n", "NaN | \n", "
2020-01-03 | \n", "74.357498 | \n", "NaN | \n", "NaN | \n", "
2020-01-06 | \n", "74.949997 | \n", "NaN | \n", "NaN | \n", "
2020-01-07 | \n", "74.597504 | \n", "NaN | \n", "NaN | \n", "
2020-01-08 | \n", "75.797501 | \n", "NaN | \n", "NaN | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "
2020-12-24 | \n", "131.970001 | \n", "127.699314 | \n", "124.375841 | \n", "
2020-12-28 | \n", "136.690002 | \n", "129.082497 | \n", "125.288001 | \n", "
2020-12-29 | \n", "134.869995 | \n", "129.972881 | \n", "125.997778 | \n", "
2020-12-30 | \n", "133.720001 | \n", "130.549361 | \n", "126.569795 | \n", "
2020-12-31 | \n", "132.690002 | \n", "130.878691 | \n", "127.023144 | \n", "
253 rows × 3 columns
\n", "\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "EMA_S | \n", "EMA_L | \n", "MACD | \n", "
---|---|---|---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2020-01-02 | \n", "74.059998 | \n", "75.150002 | \n", "73.797501 | \n", "75.087502 | \n", "74.207466 | \n", "135480400 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "
2020-01-03 | \n", "74.287498 | \n", "75.144997 | \n", "74.125000 | \n", "74.357498 | \n", "73.486023 | \n", "146322800 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "
2020-01-06 | \n", "73.447502 | \n", "74.989998 | \n", "73.187500 | \n", "74.949997 | \n", "74.071579 | \n", "118387200 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "
2020-01-07 | \n", "74.959999 | \n", "75.224998 | \n", "74.370003 | \n", "74.597504 | \n", "73.723213 | \n", "108872000 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "
2020-01-08 | \n", "74.290001 | \n", "76.110001 | \n", "74.290001 | \n", "75.797501 | \n", "74.909149 | \n", "132079200 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-02-22 | \n", "128.009995 | \n", "129.720001 | \n", "125.599998 | \n", "126.000000 | \n", "125.786346 | \n", "103916400 | \n", "132.122755 | \n", "132.843039 | \n", "-0.720284 | \n", "
2021-02-23 | \n", "123.760002 | \n", "126.709999 | \n", "118.389999 | \n", "125.860001 | \n", "125.646584 | \n", "158273000 | \n", "131.159255 | \n", "132.325777 | \n", "-1.166523 | \n", "
2021-02-24 | \n", "124.940002 | \n", "125.559998 | \n", "122.230003 | \n", "125.349998 | \n", "125.137444 | \n", "111039900 | \n", "130.265523 | \n", "131.809053 | \n", "-1.543530 | \n", "
2021-02-25 | \n", "124.680000 | \n", "126.459999 | \n", "120.540001 | \n", "120.989998 | \n", "120.784836 | \n", "148199500 | \n", "128.838519 | \n", "131.007641 | \n", "-2.169122 | \n", "
2021-02-26 | \n", "122.589996 | \n", "124.849998 | \n", "121.199997 | \n", "121.260002 | \n", "121.054382 | \n", "164560400 | \n", "127.672593 | \n", "130.285594 | \n", "-2.613001 | \n", "
291 rows × 9 columns
\n", "\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "EMA_S | \n", "EMA_L | \n", "MACD | \n", "MACD_Signal | \n", "
---|---|---|---|---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2020-01-02 | \n", "74.059998 | \n", "75.150002 | \n", "73.797501 | \n", "75.087502 | \n", "74.207466 | \n", "135480400 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "
2020-01-03 | \n", "74.287498 | \n", "75.144997 | \n", "74.125000 | \n", "74.357498 | \n", "73.486023 | \n", "146322800 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "
2020-01-06 | \n", "73.447502 | \n", "74.989998 | \n", "73.187500 | \n", "74.949997 | \n", "74.071579 | \n", "118387200 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "
2020-01-07 | \n", "74.959999 | \n", "75.224998 | \n", "74.370003 | \n", "74.597504 | \n", "73.723213 | \n", "108872000 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "
2020-01-08 | \n", "74.290001 | \n", "76.110001 | \n", "74.290001 | \n", "75.797501 | \n", "74.909149 | \n", "132079200 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-02-22 | \n", "128.009995 | \n", "129.720001 | \n", "125.599998 | \n", "126.000000 | \n", "125.786346 | \n", "103916400 | \n", "132.122755 | \n", "132.843039 | \n", "-0.720284 | \n", "0.604696 | \n", "
2021-02-23 | \n", "123.760002 | \n", "126.709999 | \n", "118.389999 | \n", "125.860001 | \n", "125.646584 | \n", "158273000 | \n", "131.159255 | \n", "132.325777 | \n", "-1.166523 | \n", "0.250452 | \n", "
2021-02-24 | \n", "124.940002 | \n", "125.559998 | \n", "122.230003 | \n", "125.349998 | \n", "125.137444 | \n", "111039900 | \n", "130.265523 | \n", "131.809053 | \n", "-1.543530 | \n", "-0.108344 | \n", "
2021-02-25 | \n", "124.680000 | \n", "126.459999 | \n", "120.540001 | \n", "120.989998 | \n", "120.784836 | \n", "148199500 | \n", "128.838519 | \n", "131.007641 | \n", "-2.169122 | \n", "-0.520500 | \n", "
2021-02-26 | \n", "122.589996 | \n", "124.849998 | \n", "121.199997 | \n", "121.260002 | \n", "121.054382 | \n", "164560400 | \n", "127.672593 | \n", "130.285594 | \n", "-2.613001 | \n", "-0.939000 | \n", "
291 rows × 10 columns
\n", "\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "EMA_S | \n", "EMA_L | \n", "MACD | \n", "MACD_Signal | \n", "
---|---|---|---|---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2020-01-02 | \n", "74.059998 | \n", "75.150002 | \n", "73.797501 | \n", "75.087502 | \n", "74.207466 | \n", "135480400 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "
2020-01-03 | \n", "74.287498 | \n", "75.144997 | \n", "74.125000 | \n", "74.357498 | \n", "73.486023 | \n", "146322800 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "
2020-01-06 | \n", "73.447502 | \n", "74.989998 | \n", "73.187500 | \n", "74.949997 | \n", "74.071579 | \n", "118387200 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "
2020-01-07 | \n", "74.959999 | \n", "75.224998 | \n", "74.370003 | \n", "74.597504 | \n", "73.723213 | \n", "108872000 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "
2020-01-08 | \n", "74.290001 | \n", "76.110001 | \n", "74.290001 | \n", "75.797501 | \n", "74.909149 | \n", "132079200 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2020-12-24 | \n", "131.320007 | \n", "133.460007 | \n", "131.100006 | \n", "131.970001 | \n", "131.549637 | \n", "54930100 | \n", "127.699314 | \n", "124.375841 | \n", "3.323474 | \n", "2.665410 | \n", "
2020-12-28 | \n", "133.990005 | \n", "137.339996 | \n", "133.509995 | \n", "136.690002 | \n", "136.254608 | \n", "124486200 | \n", "129.082497 | \n", "125.288001 | \n", "3.794496 | \n", "2.891227 | \n", "
2020-12-29 | \n", "138.050003 | \n", "138.789993 | \n", "134.339996 | \n", "134.869995 | \n", "134.440399 | \n", "121047300 | \n", "129.972881 | \n", "125.997778 | \n", "3.975103 | \n", "3.108002 | \n", "
2020-12-30 | \n", "135.580002 | \n", "135.990005 | \n", "133.399994 | \n", "133.720001 | \n", "133.294067 | \n", "96452100 | \n", "130.549361 | \n", "126.569795 | \n", "3.979567 | \n", "3.282315 | \n", "
2020-12-31 | \n", "134.080002 | \n", "134.740005 | \n", "131.720001 | \n", "132.690002 | \n", "132.267349 | \n", "99116600 | \n", "130.878691 | \n", "127.023144 | \n", "3.855547 | \n", "3.396961 | \n", "
253 rows × 10 columns
\n", "\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "EMA_S | \n", "EMA_L | \n", "MACD | \n", "MACD_Signal | \n", "position | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2020-01-02 | \n", "74.059998 | \n", "75.150002 | \n", "73.797501 | \n", "75.087502 | \n", "74.207466 | \n", "135480400 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2020-01-03 | \n", "74.287498 | \n", "75.144997 | \n", "74.125000 | \n", "74.357498 | \n", "73.486023 | \n", "146322800 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2020-01-06 | \n", "73.447502 | \n", "74.989998 | \n", "73.187500 | \n", "74.949997 | \n", "74.071579 | \n", "118387200 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2020-01-07 | \n", "74.959999 | \n", "75.224998 | \n", "74.370003 | \n", "74.597504 | \n", "73.723213 | \n", "108872000 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2020-01-08 | \n", "74.290001 | \n", "76.110001 | \n", "74.290001 | \n", "75.797501 | \n", "74.909149 | \n", "132079200 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-02-22 | \n", "128.009995 | \n", "129.720001 | \n", "125.599998 | \n", "126.000000 | \n", "125.786346 | \n", "103916400 | \n", "132.122755 | \n", "132.843039 | \n", "-0.720284 | \n", "0.604696 | \n", "-1 | \n", "
2021-02-23 | \n", "123.760002 | \n", "126.709999 | \n", "118.389999 | \n", "125.860001 | \n", "125.646584 | \n", "158273000 | \n", "131.159255 | \n", "132.325777 | \n", "-1.166523 | \n", "0.250452 | \n", "-1 | \n", "
2021-02-24 | \n", "124.940002 | \n", "125.559998 | \n", "122.230003 | \n", "125.349998 | \n", "125.137444 | \n", "111039900 | \n", "130.265523 | \n", "131.809053 | \n", "-1.543530 | \n", "-0.108344 | \n", "-1 | \n", "
2021-02-25 | \n", "124.680000 | \n", "126.459999 | \n", "120.540001 | \n", "120.989998 | \n", "120.784836 | \n", "148199500 | \n", "128.838519 | \n", "131.007641 | \n", "-2.169122 | \n", "-0.520500 | \n", "-1 | \n", "
2021-02-26 | \n", "122.589996 | \n", "124.849998 | \n", "121.199997 | \n", "121.260002 | \n", "121.054382 | \n", "164560400 | \n", "127.672593 | \n", "130.285594 | \n", "-2.613001 | \n", "-0.939000 | \n", "-1 | \n", "
291 rows × 11 columns
\n", "\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "EMA_S | \n", "EMA_L | \n", "MACD | \n", "MACD_Signal | \n", "position | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2020-01-02 | \n", "74.059998 | \n", "75.150002 | \n", "73.797501 | \n", "75.087502 | \n", "74.207466 | \n", "135480400 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2020-01-03 | \n", "74.287498 | \n", "75.144997 | \n", "74.125000 | \n", "74.357498 | \n", "73.486023 | \n", "146322800 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2020-01-06 | \n", "73.447502 | \n", "74.989998 | \n", "73.187500 | \n", "74.949997 | \n", "74.071579 | \n", "118387200 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2020-01-07 | \n", "74.959999 | \n", "75.224998 | \n", "74.370003 | \n", "74.597504 | \n", "73.723213 | \n", "108872000 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
2020-01-08 | \n", "74.290001 | \n", "76.110001 | \n", "74.290001 | \n", "75.797501 | \n", "74.909149 | \n", "132079200 | \n", "NaN | \n", "NaN | \n", "NaN | \n", "NaN | \n", "-1 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-02-22 | \n", "128.009995 | \n", "129.720001 | \n", "125.599998 | \n", "126.000000 | \n", "125.786346 | \n", "103916400 | \n", "132.122755 | \n", "132.843039 | \n", "-0.720284 | \n", "0.604696 | \n", "-1 | \n", "
2021-02-23 | \n", "123.760002 | \n", "126.709999 | \n", "118.389999 | \n", "125.860001 | \n", "125.646584 | \n", "158273000 | \n", "131.159255 | \n", "132.325777 | \n", "-1.166523 | \n", "0.250452 | \n", "-1 | \n", "
2021-02-24 | \n", "124.940002 | \n", "125.559998 | \n", "122.230003 | \n", "125.349998 | \n", "125.137444 | \n", "111039900 | \n", "130.265523 | \n", "131.809053 | \n", "-1.543530 | \n", "-0.108344 | \n", "-1 | \n", "
2021-02-25 | \n", "124.680000 | \n", "126.459999 | \n", "120.540001 | \n", "120.989998 | \n", "120.784836 | \n", "148199500 | \n", "128.838519 | \n", "131.007641 | \n", "-2.169122 | \n", "-0.520500 | \n", "-1 | \n", "
2021-02-26 | \n", "122.589996 | \n", "124.849998 | \n", "121.199997 | \n", "121.260002 | \n", "121.054382 | \n", "164560400 | \n", "127.672593 | \n", "130.285594 | \n", "-2.613001 | \n", "-0.939000 | \n", "-1 | \n", "
291 rows × 11 columns
\n", "\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "EMA_S | \n", "EMA_L | \n", "MACD | \n", "MACD_Signal | \n", "position | \n", "returns | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2020-02-20 | \n", "80.657501 | \n", "81.162498 | \n", "79.552498 | \n", "80.074997 | \n", "79.324333 | \n", "100566000 | \n", "80.329424 | \n", "79.839493 | \n", "0.489931 | \n", "0.553302 | \n", "-1 | \n", "-0.010312 | \n", "
2020-02-21 | \n", "79.654999 | \n", "80.112503 | \n", "77.625000 | \n", "78.262497 | \n", "77.528809 | \n", "129554000 | \n", "80.010514 | \n", "79.714204 | \n", "0.296309 | \n", "0.495721 | \n", "-1 | \n", "-0.022895 | \n", "
2020-02-24 | \n", "74.315002 | \n", "76.044998 | \n", "72.307503 | \n", "74.544998 | \n", "73.846161 | \n", "222195200 | \n", "79.167605 | \n", "79.305719 | \n", "-0.138114 | \n", "0.357041 | \n", "-1 | \n", "-0.048666 | \n", "
2020-02-25 | \n", "75.237503 | \n", "75.632500 | \n", "71.532501 | \n", "72.019997 | \n", "71.344841 | \n", "230673600 | \n", "78.065694 | \n", "78.732816 | \n", "-0.667122 | \n", "0.137094 | \n", "-1 | \n", "-0.034459 | \n", "
2020-02-26 | \n", "71.632500 | \n", "74.470001 | \n", "71.625000 | \n", "73.162498 | \n", "72.476631 | \n", "198054800 | \n", "77.310033 | \n", "78.296789 | \n", "-0.986756 | \n", "-0.100752 | \n", "-1 | \n", "0.015739 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-02-22 | \n", "128.009995 | \n", "129.720001 | \n", "125.599998 | \n", "126.000000 | \n", "125.786346 | \n", "103916400 | \n", "132.122755 | \n", "132.843039 | \n", "-0.720284 | \n", "0.604696 | \n", "-1 | \n", "-0.030252 | \n", "
2021-02-23 | \n", "123.760002 | \n", "126.709999 | \n", "118.389999 | \n", "125.860001 | \n", "125.646584 | \n", "158273000 | \n", "131.159255 | \n", "132.325777 | \n", "-1.166523 | \n", "0.250452 | \n", "-1 | \n", "-0.001112 | \n", "
2021-02-24 | \n", "124.940002 | \n", "125.559998 | \n", "122.230003 | \n", "125.349998 | \n", "125.137444 | \n", "111039900 | \n", "130.265523 | \n", "131.809053 | \n", "-1.543530 | \n", "-0.108344 | \n", "-1 | \n", "-0.004060 | \n", "
2021-02-25 | \n", "124.680000 | \n", "126.459999 | \n", "120.540001 | \n", "120.989998 | \n", "120.784836 | \n", "148199500 | \n", "128.838519 | \n", "131.007641 | \n", "-2.169122 | \n", "-0.520500 | \n", "-1 | \n", "-0.035402 | \n", "
2021-02-26 | \n", "122.589996 | \n", "124.849998 | \n", "121.199997 | \n", "121.260002 | \n", "121.054382 | \n", "164560400 | \n", "127.672593 | \n", "130.285594 | \n", "-2.613001 | \n", "-0.939000 | \n", "-1 | \n", "0.002229 | \n", "
258 rows × 12 columns
\n", "\n", " | Open | \n", "High | \n", "Low | \n", "Close | \n", "Adj Close | \n", "Volume | \n", "EMA_S | \n", "EMA_L | \n", "MACD | \n", "MACD_Signal | \n", "position | \n", "returns | \n", "strategy | \n", "trades | \n", "strategy_net | \n", "creturns | \n", "cstrategy | \n", "cstrategy_net | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2020-02-21 | \n", "79.654999 | \n", "80.112503 | \n", "77.625000 | \n", "78.262497 | \n", "77.528809 | \n", "129554000 | \n", "80.010514 | \n", "79.714204 | \n", "0.296309 | \n", "0.495721 | \n", "-1 | \n", "-0.022895 | \n", "0.022895 | \n", "0.0 | \n", "0.022895 | \n", "0.977365 | \n", "1.023159 | \n", "1.023159 | \n", "
2020-02-24 | \n", "74.315002 | \n", "76.044998 | \n", "72.307503 | \n", "74.544998 | \n", "73.846161 | \n", "222195200 | \n", "79.167605 | \n", "79.305719 | \n", "-0.138114 | \n", "0.357041 | \n", "-1 | \n", "-0.048666 | \n", "0.048666 | \n", "0.0 | \n", "0.048666 | \n", "0.930940 | \n", "1.074183 | \n", "1.074183 | \n", "
2020-02-25 | \n", "75.237503 | \n", "75.632500 | \n", "71.532501 | \n", "72.019997 | \n", "71.344841 | \n", "230673600 | \n", "78.065694 | \n", "78.732816 | \n", "-0.667122 | \n", "0.137094 | \n", "-1 | \n", "-0.034459 | \n", "0.034459 | \n", "0.0 | \n", "0.034459 | \n", "0.899407 | \n", "1.111844 | \n", "1.111844 | \n", "
2020-02-26 | \n", "71.632500 | \n", "74.470001 | \n", "71.625000 | \n", "73.162498 | \n", "72.476631 | \n", "198054800 | \n", "77.310033 | \n", "78.296789 | \n", "-0.986756 | \n", "-0.100752 | \n", "-1 | \n", "0.015739 | \n", "-0.015739 | \n", "0.0 | \n", "-0.015739 | \n", "0.913675 | \n", "1.094481 | \n", "1.094481 | \n", "
2020-02-27 | \n", "70.275002 | \n", "71.500000 | \n", "68.239998 | \n", "68.379997 | \n", "67.738968 | \n", "320605600 | \n", "75.934144 | \n", "77.523783 | \n", "-1.589639 | \n", "-0.412228 | \n", "-1 | \n", "-0.067603 | \n", "0.067603 | \n", "0.0 | \n", "0.067603 | \n", "0.853949 | \n", "1.171030 | \n", "1.171030 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2021-02-22 | \n", "128.009995 | \n", "129.720001 | \n", "125.599998 | \n", "126.000000 | \n", "125.786346 | \n", "103916400 | \n", "132.122755 | \n", "132.843039 | \n", "-0.720284 | \n", "0.604696 | \n", "-1 | \n", "-0.030252 | \n", "0.030252 | \n", "0.0 | \n", "0.030252 | \n", "1.573525 | \n", "1.422489 | \n", "1.418908 | \n", "
2021-02-23 | \n", "123.760002 | \n", "126.709999 | \n", "118.389999 | \n", "125.860001 | \n", "125.646584 | \n", "158273000 | \n", "131.159255 | \n", "132.325777 | \n", "-1.166523 | \n", "0.250452 | \n", "-1 | \n", "-0.001112 | \n", "0.001112 | \n", "0.0 | \n", "0.001112 | \n", "1.571777 | \n", "1.424071 | \n", "1.420487 | \n", "
2021-02-24 | \n", "124.940002 | \n", "125.559998 | \n", "122.230003 | \n", "125.349998 | \n", "125.137444 | \n", "111039900 | \n", "130.265523 | \n", "131.809053 | \n", "-1.543530 | \n", "-0.108344 | \n", "-1 | \n", "-0.004060 | \n", "0.004060 | \n", "0.0 | \n", "0.004060 | \n", "1.565407 | \n", "1.429865 | \n", "1.426266 | \n", "
2021-02-25 | \n", "124.680000 | \n", "126.459999 | \n", "120.540001 | \n", "120.989998 | \n", "120.784836 | \n", "148199500 | \n", "128.838519 | \n", "131.007641 | \n", "-2.169122 | \n", "-0.520500 | \n", "-1 | \n", "-0.035402 | \n", "0.035402 | \n", "0.0 | \n", "0.035402 | \n", "1.510959 | \n", "1.481392 | \n", "1.477663 | \n", "
2021-02-26 | \n", "122.589996 | \n", "124.849998 | \n", "121.199997 | \n", "121.260002 | \n", "121.054382 | \n", "164560400 | \n", "127.672593 | \n", "130.285594 | \n", "-2.613001 | \n", "-0.939000 | \n", "-1 | \n", "0.002229 | \n", "-0.002229 | \n", "0.0 | \n", "-0.002229 | \n", "1.514330 | \n", "1.478093 | \n", "1.474373 | \n", "
257 rows × 18 columns
\n", "\n", " | Date | \n", "AUDEUR=X | \n", "EURUSD=X | \n", "USDGBP=X | \n", "
---|---|---|---|---|
0 | \n", "2004-01-01 | \n", "0.59780 | \n", "1.258194 | \n", "0.56016 | \n", "
1 | \n", "2004-01-02 | \n", "0.60314 | \n", "1.258194 | \n", "0.55751 | \n", "
2 | \n", "2004-01-05 | \n", "0.60467 | \n", "1.268698 | \n", "0.55334 | \n", "
3 | \n", "2004-01-06 | \n", "0.60350 | \n", "1.272103 | \n", "0.54906 | \n", "
4 | \n", "2004-01-07 | \n", "0.60728 | \n", "1.264095 | \n", "0.55012 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
4290 | \n", "2020-06-24 | \n", "0.61349 | \n", "1.131235 | \n", "0.79841 | \n", "
4291 | \n", "2020-06-25 | \n", "0.60938 | \n", "1.125087 | \n", "0.80561 | \n", "
4292 | \n", "2020-06-26 | \n", "0.61373 | \n", "1.122208 | \n", "0.80480 | \n", "
4293 | \n", "2020-06-29 | \n", "0.61128 | \n", "1.122586 | \n", "0.81023 | \n", "
4294 | \n", "2020-06-30 | \n", "0.61097 | \n", "1.124720 | \n", "0.81231 | \n", "
4295 rows × 4 columns
\n", "