\n", " | period_open | \n", "period_close | \n", "short_value | \n", "long_exposure | \n", "benchmark_return | \n", "treasury_return | \n", "pnl | \n", "short_exposure | \n", "capital_used | \n", "returns | \n", "... | \n", "treasury_period_return | \n", "algorithm_period_return | \n", "alpha | \n", "beta | \n", "sharpe | \n", "sortino | \n", "max_drawdown | \n", "max_leverage | \n", "trading_days | \n", "period_label | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2019-01-02 13:30:00+08:00 | \n", "2019-01-02 09:01:00+08:00 | \n", "2019-01-02 13:30:00+08:00 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.00 | \n", "0.0 | \n", "0.00 | \n", "0.000000 | \n", "... | \n", "0.0 | \n", "0.000000 | \n", "None | \n", "None | \n", "NaN | \n", "NaN | \n", "0.000000 | \n", "0.000000 | \n", "1 | \n", "2019-01 | \n", "
2019-01-03 13:30:00+08:00 | \n", "2019-01-03 09:01:00+08:00 | \n", "2019-01-03 13:30:00+08:00 | \n", "0.0 | \n", "215500.0 | \n", "0.0 | \n", "0.0 | \n", "-2.85 | \n", "0.0 | \n", "-215502.85 | \n", "-0.000003 | \n", "... | \n", "0.0 | \n", "-0.000003 | \n", "None | \n", "None | \n", "-11.224972 | \n", "-11.224972 | \n", "-0.000003 | \n", "0.215501 | \n", "2 | \n", "2019-01 | \n", "
2019-01-04 13:30:00+08:00 | \n", "2019-01-04 09:01:00+08:00 | \n", "2019-01-04 13:30:00+08:00 | \n", "0.0 | \n", "208000.0 | \n", "0.0 | \n", "0.0 | \n", "-7500.00 | \n", "0.0 | \n", "0.00 | \n", "-0.007500 | \n", "... | \n", "0.0 | \n", "-0.007503 | \n", "None | \n", "None | \n", "-9.170376 | \n", "-9.168633 | \n", "-0.007503 | \n", "0.215501 | \n", "3 | \n", "2019-01 | \n", "
2019-01-07 13:30:00+08:00 | \n", "2019-01-07 09:01:00+08:00 | \n", "2019-01-07 13:30:00+08:00 | \n", "0.0 | \n", "213000.0 | \n", "0.0 | \n", "0.0 | \n", "5000.00 | \n", "0.0 | \n", "0.00 | \n", "0.005038 | \n", "... | \n", "0.0 | \n", "-0.002503 | \n", "None | \n", "None | \n", "-1.893153 | \n", "-2.608781 | \n", "-0.007503 | \n", "0.215501 | \n", "4 | \n", "2019-01 | \n", "
2019-01-08 13:30:00+08:00 | \n", "2019-01-08 09:01:00+08:00 | \n", "2019-01-08 13:30:00+08:00 | \n", "0.0 | \n", "211000.0 | \n", "0.0 | \n", "0.0 | \n", "-2000.00 | \n", "0.0 | \n", "0.00 | \n", "-0.002005 | \n", "... | \n", "0.0 | \n", "-0.004503 | \n", "None | \n", "None | \n", "-3.141155 | \n", "-4.087705 | \n", "-0.007503 | \n", "0.215501 | \n", "5 | \n", "2019-01 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
2023-05-22 13:30:00+08:00 | \n", "2023-05-22 09:01:00+08:00 | \n", "2023-05-22 13:30:00+08:00 | \n", "0.0 | \n", "531000.0 | \n", "0.0 | \n", "0.0 | \n", "-1000.00 | \n", "0.0 | \n", "0.00 | \n", "-0.000734 | \n", "... | \n", "0.0 | \n", "0.362247 | \n", "None | \n", "None | \n", "0.816172 | \n", "1.250657 | \n", "-0.202433 | \n", "0.455182 | \n", "1063 | \n", "2023-05 | \n", "
2023-05-23 13:30:00+08:00 | \n", "2023-05-23 09:01:00+08:00 | \n", "2023-05-23 13:30:00+08:00 | \n", "0.0 | \n", "530000.0 | \n", "0.0 | \n", "0.0 | \n", "-1000.00 | \n", "0.0 | \n", "0.00 | \n", "-0.000734 | \n", "... | \n", "0.0 | \n", "0.361247 | \n", "None | \n", "None | \n", "0.813954 | \n", "1.247253 | \n", "-0.202433 | \n", "0.455182 | \n", "1064 | \n", "2023-05 | \n", "
2023-05-24 13:30:00+08:00 | \n", "2023-05-24 09:01:00+08:00 | \n", "2023-05-24 13:30:00+08:00 | \n", "0.0 | \n", "525000.0 | \n", "0.0 | \n", "0.0 | \n", "-5000.00 | \n", "0.0 | \n", "0.00 | \n", "-0.003673 | \n", "... | \n", "0.0 | \n", "0.356247 | \n", "None | \n", "None | \n", "0.804283 | \n", "1.232180 | \n", "-0.202433 | \n", "0.455182 | \n", "1065 | \n", "2023-05 | \n", "
2023-05-25 13:30:00+08:00 | \n", "2023-05-25 09:01:00+08:00 | \n", "2023-05-25 13:30:00+08:00 | \n", "0.0 | \n", "543000.0 | \n", "0.0 | \n", "0.0 | \n", "18000.00 | \n", "0.0 | \n", "0.00 | \n", "0.013272 | \n", "... | \n", "0.0 | \n", "0.374247 | \n", "None | \n", "None | \n", "0.835019 | \n", "1.282067 | \n", "-0.202433 | \n", "0.455182 | \n", "1066 | \n", "2023-05 | \n", "
2023-05-26 13:30:00+08:00 | \n", "2023-05-26 09:01:00+08:00 | \n", "2023-05-26 13:30:00+08:00 | \n", "0.0 | \n", "566000.0 | \n", "0.0 | \n", "0.0 | \n", "23000.00 | \n", "0.0 | \n", "0.00 | \n", "0.016736 | \n", "... | \n", "0.0 | \n", "0.397247 | \n", "None | \n", "None | \n", "0.873009 | \n", "1.345075 | \n", "-0.202433 | \n", "0.455182 | \n", "1067 | \n", "2023-05 | \n", "
1067 rows × 42 columns
\n", "\n", " | trade_days | \n", "has_ordered | \n", "TSMC | \n", "
---|---|---|---|
2019-01-02 13:30:00+08:00 | \n", "1 | \n", "True | \n", "219.5 | \n", "
2019-01-03 13:30:00+08:00 | \n", "2 | \n", "True | \n", "215.5 | \n", "
2019-01-04 13:30:00+08:00 | \n", "3 | \n", "True | \n", "208.0 | \n", "
2019-01-07 13:30:00+08:00 | \n", "4 | \n", "True | \n", "213.0 | \n", "
2019-01-08 13:30:00+08:00 | \n", "5 | \n", "True | \n", "211.0 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "
2023-05-22 13:30:00+08:00 | \n", "1063 | \n", "True | \n", "531.0 | \n", "
2023-05-23 13:30:00+08:00 | \n", "1064 | \n", "True | \n", "530.0 | \n", "
2023-05-24 13:30:00+08:00 | \n", "1065 | \n", "True | \n", "525.0 | \n", "
2023-05-25 13:30:00+08:00 | \n", "1066 | \n", "True | \n", "543.0 | \n", "
2023-05-26 13:30:00+08:00 | \n", "1067 | \n", "True | \n", "566.0 | \n", "
1067 rows × 3 columns
\n", "