{ "cells": [ { "cell_type": "markdown", "id": "d2c5955d", "metadata": {}, "source": [ "# Pairs Trading Enhancements\n", "\n", "By Sam Galita and James Zhang | Smith Investment Fund | Spring 2023\n", "\n", "
\n", " | return | \n", "sharpe | \n", "sortino | \n", "drawdown | \n", "turnover | \n", "long count | \n", "short count | \n", "
---|---|---|---|---|---|---|---|
year | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2000 | \n", "0.207453 | \n", "1.174563 | \n", "1.963932 | \n", "0.121765 | \n", "0.239281 | \n", "7.619048 | \n", "6.619048 | \n", "
2001 | \n", "0.202416 | \n", "1.374860 | \n", "2.528090 | \n", "0.156398 | \n", "0.213678 | \n", "6.915323 | \n", "5.915323 | \n", "
2002 | \n", "0.022599 | \n", "0.220045 | \n", "0.370776 | \n", "0.116316 | \n", "0.160217 | \n", "7.829365 | \n", "6.829365 | \n", "
2003 | \n", "0.160865 | \n", "2.250688 | \n", "4.028547 | \n", "0.050209 | \n", "0.209675 | \n", "7.317460 | \n", "6.317460 | \n", "
2004 | \n", "0.026769 | \n", "0.496959 | \n", "0.735897 | \n", "0.065530 | \n", "0.178387 | \n", "7.583333 | \n", "6.583333 | \n", "
2005 | \n", "0.041413 | \n", "0.748246 | \n", "1.100838 | \n", "0.045135 | \n", "0.149815 | \n", "7.674603 | \n", "6.674603 | \n", "
2006 | \n", "0.048512 | \n", "0.864765 | \n", "1.408391 | \n", "0.050609 | \n", "0.204894 | \n", "7.179283 | \n", "6.179283 | \n", "
2007 | \n", "-0.069959 | \n", "-1.340977 | \n", "-1.981438 | \n", "0.119681 | \n", "0.169850 | \n", "8.027888 | \n", "7.027888 | \n", "
2008 | \n", "0.052613 | \n", "0.341559 | \n", "0.554229 | \n", "0.134916 | \n", "0.174796 | \n", "7.671937 | \n", "6.671937 | \n", "
2009 | \n", "0.071714 | \n", "0.563247 | \n", "0.756804 | \n", "0.084621 | \n", "0.185804 | \n", "7.365079 | \n", "6.365079 | \n", "
2010 | \n", "-0.008909 | \n", "-0.127753 | \n", "-0.187538 | \n", "0.052120 | \n", "0.182052 | \n", "7.182540 | \n", "6.182540 | \n", "
2011 | \n", "-0.008934 | \n", "-0.161839 | \n", "-0.254445 | \n", "0.057651 | \n", "0.185235 | \n", "7.932540 | \n", "6.932540 | \n", "
2012 | \n", "-0.032322 | \n", "-0.631351 | \n", "-0.725496 | \n", "0.058472 | \n", "0.165895 | \n", "8.076000 | \n", "7.076000 | \n", "
2013 | \n", "0.001257 | \n", "0.024603 | \n", "0.039814 | \n", "0.073764 | \n", "0.176279 | \n", "7.424603 | \n", "6.424603 | \n", "
2014 | \n", "-0.051300 | \n", "-0.945594 | \n", "-1.246059 | \n", "0.091580 | \n", "0.163507 | \n", "8.309524 | \n", "7.309524 | \n", "
2015 | \n", "-0.097226 | \n", "-1.566235 | \n", "-1.891560 | \n", "0.099548 | \n", "0.166688 | \n", "7.912698 | \n", "6.912698 | \n", "
Overall | \n", "0.566958 | \n", "0.377770 | \n", "0.547100 | \n", "0.218711 | \n", "0.223535 | \n", "7.626832 | \n", "6.626832 | \n", "
\n", " | return | \n", "sharpe | \n", "sortino | \n", "drawdown | \n", "turnover | \n", "long count | \n", "short count | \n", "
---|---|---|---|---|---|---|---|
year | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2000 | \n", "0.194207 | \n", "1.132443 | \n", "1.844114 | \n", "0.091796 | \n", "0.225980 | \n", "7.551587 | \n", "6.551587 | \n", "
2001 | \n", "0.135793 | \n", "1.029168 | \n", "1.714540 | \n", "0.123996 | \n", "0.187814 | \n", "7.395161 | \n", "6.395161 | \n", "
2002 | \n", "0.203757 | \n", "1.814887 | \n", "2.718483 | \n", "0.078453 | \n", "0.171099 | \n", "7.408730 | \n", "6.408730 | \n", "
2003 | \n", "0.082317 | \n", "1.134431 | \n", "1.584144 | \n", "0.047511 | \n", "0.212159 | \n", "6.781746 | \n", "5.781746 | \n", "
2004 | \n", "0.052471 | \n", "1.079647 | \n", "1.900470 | \n", "0.069524 | \n", "0.195349 | \n", "7.853175 | \n", "6.853175 | \n", "
2005 | \n", "-0.049919 | \n", "-0.960089 | \n", "-1.720268 | \n", "0.079782 | \n", "0.140617 | \n", "8.265873 | \n", "7.265873 | \n", "
2006 | \n", "-0.036944 | \n", "-0.688672 | \n", "-1.175257 | \n", "0.067818 | \n", "0.175443 | \n", "7.741036 | \n", "6.741036 | \n", "
2007 | \n", "0.012373 | \n", "0.203198 | \n", "0.331216 | \n", "0.093064 | \n", "0.179697 | \n", "7.693227 | \n", "6.693227 | \n", "
2008 | \n", "-0.073957 | \n", "-0.331671 | \n", "-0.398801 | \n", "0.284170 | \n", "0.155275 | \n", "7.632411 | \n", "6.632411 | \n", "
2009 | \n", "0.071832 | \n", "0.705399 | \n", "1.039257 | \n", "0.099599 | \n", "0.146165 | \n", "7.599206 | \n", "6.599206 | \n", "
2010 | \n", "-0.039054 | \n", "-0.725133 | \n", "-1.051965 | \n", "0.067201 | \n", "0.197581 | \n", "7.198413 | \n", "6.198413 | \n", "
2011 | \n", "-0.037350 | \n", "-0.592643 | \n", "-0.992493 | \n", "0.101018 | \n", "0.170313 | \n", "8.261905 | \n", "7.261905 | \n", "
2012 | \n", "0.043255 | \n", "0.877818 | \n", "1.506311 | \n", "0.037648 | \n", "0.181560 | \n", "7.480000 | \n", "6.480000 | \n", "
2013 | \n", "-0.077287 | \n", "-1.153054 | \n", "-1.137187 | \n", "0.049826 | \n", "0.162519 | \n", "7.908730 | \n", "6.908730 | \n", "
2014 | \n", "-0.024389 | \n", "-0.470298 | \n", "-0.745638 | \n", "0.062141 | \n", "0.147293 | \n", "8.333333 | \n", "7.333333 | \n", "
2015 | \n", "-0.008827 | \n", "-0.179263 | \n", "-0.303611 | \n", "0.041806 | \n", "0.172302 | \n", "8.353175 | \n", "7.353175 | \n", "
Overall | \n", "0.448280 | \n", "0.284037 | \n", "0.369758 | \n", "0.292384 | \n", "0.220005 | \n", "7.716522 | \n", "6.716522 | \n", "
\n", " | Ticker | \n", "Name | \n", "Sector | \n", "
---|---|---|---|
0 | \n", "A | \n", "Agilent Technologies | \n", "Health Care Equipment | \n", "
1 | \n", "AAL | \n", "American Airlines Group | \n", "Passenger Airlines | \n", "
2 | \n", "AAP | \n", "Advance Auto Parts | \n", "Automotive Retail | \n", "
3 | \n", "AAPL | \n", "Apple Inc. | \n", "Technology Hardware, Storage & Peripherals | \n", "
4 | \n", "ABBV | \n", "AbbVie | \n", "Pharmaceuticals | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "
498 | \n", "YUM | \n", "Yum! Brands | \n", "Restaurants | \n", "
499 | \n", "ZBH | \n", "Zimmer Biomet | \n", "Health Care Equipment | \n", "
500 | \n", "ZBRA | \n", "Zebra Technologies | \n", "Electronic Equipment & Instruments | \n", "
501 | \n", "ZION | \n", "Zions Bancorporation | \n", "Regional Banks | \n", "
502 | \n", "ZTS | \n", "Zoetis | \n", "Pharmaceuticals | \n", "
503 rows × 3 columns
\n", "ticker | \n", "A | \n", "AAL | \n", "AAP | \n", "AAPL | \n", "ABBV | \n", "ABC | \n", "ABT | \n", "ACGL | \n", "ACN | \n", "ADBE | \n", "... | \n", "WYNN | \n", "XEL | \n", "XOM | \n", "XRAY | \n", "XYL | \n", "YUM | \n", "ZBH | \n", "ZBRA | \n", "ZION | \n", "ZTS | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2015-01-02 | \n", "40.56 | \n", "53.910 | \n", "158.56 | \n", "27.332 | \n", "65.89 | \n", "90.46 | \n", "44.90 | \n", "19.497 | \n", "88.84 | \n", "72.34 | \n", "... | \n", "146.89 | \n", "36.12 | \n", "92.83 | \n", "51.93 | \n", "38.08 | \n", "72.35 | \n", "112.59 | \n", "77.43 | \n", "28.29 | \n", "43.31 | \n", "
2015-01-03 | \n", "40.56 | \n", "53.910 | \n", "158.56 | \n", "27.332 | \n", "65.89 | \n", "90.46 | \n", "44.90 | \n", "19.497 | \n", "88.84 | \n", "72.34 | \n", "... | \n", "146.89 | \n", "36.12 | \n", "92.83 | \n", "51.93 | \n", "38.08 | \n", "72.35 | \n", "112.59 | \n", "77.43 | \n", "28.29 | \n", "43.31 | \n", "
2015-01-04 | \n", "40.56 | \n", "53.910 | \n", "158.56 | \n", "27.332 | \n", "65.89 | \n", "90.46 | \n", "44.90 | \n", "19.497 | \n", "88.84 | \n", "72.34 | \n", "... | \n", "146.89 | \n", "36.12 | \n", "92.83 | \n", "51.93 | \n", "38.08 | \n", "72.35 | \n", "112.59 | \n", "77.43 | \n", "28.29 | \n", "43.31 | \n", "
2015-01-05 | \n", "39.80 | \n", "53.875 | \n", "156.47 | \n", "26.562 | \n", "64.65 | \n", "89.69 | \n", "44.91 | \n", "19.380 | \n", "87.34 | \n", "71.98 | \n", "... | \n", "144.39 | \n", "35.71 | \n", "90.29 | \n", "51.57 | \n", "35.71 | \n", "70.88 | \n", "116.79 | \n", "76.34 | \n", "27.23 | \n", "43.05 | \n", "
2015-01-06 | \n", "39.18 | \n", "53.040 | \n", "156.36 | \n", "26.565 | \n", "64.33 | \n", "90.18 | \n", "44.40 | \n", "19.423 | \n", "86.71 | \n", "70.53 | \n", "... | \n", "141.31 | \n", "35.90 | \n", "89.81 | \n", "50.93 | \n", "35.50 | \n", "70.01 | \n", "115.80 | \n", "75.79 | \n", "26.19 | \n", "42.63 | \n", "
5 rows × 482 columns
\n", "\n", " | Singular Values | \n", "Explained Variance | \n", "Explained Variance Ratio | \n", "
---|---|---|---|
0 | \n", "1.481038 | \n", "0.004560 | \n", "0.085114 | \n", "
1 | \n", "1.162685 | \n", "0.002810 | \n", "0.052456 | \n", "
2 | \n", "1.038005 | \n", "0.002240 | \n", "0.041809 | \n", "
3 | \n", "0.915624 | \n", "0.001743 | \n", "0.032531 | \n", "
4 | \n", "0.831504 | \n", "0.001437 | \n", "0.026829 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "
109 | \n", "0.223057 | \n", "0.000103 | \n", "0.001931 | \n", "
110 | \n", "0.221791 | \n", "0.000102 | \n", "0.001909 | \n", "
111 | \n", "0.220195 | \n", "0.000101 | \n", "0.001881 | \n", "
112 | \n", "0.218004 | \n", "0.000099 | \n", "0.001844 | \n", "
113 | \n", "0.217723 | \n", "0.000099 | \n", "0.001839 | \n", "
114 rows × 3 columns
\n", "\n", " | 0 | \n", "1 | \n", "2 | \n", "3 | \n", "4 | \n", "5 | \n", "6 | \n", "7 | \n", "8 | \n", "9 | \n", "... | \n", "104 | \n", "105 | \n", "106 | \n", "107 | \n", "108 | \n", "109 | \n", "110 | \n", "111 | \n", "112 | \n", "113 | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
0 | \n", "0.010980 | \n", "0.023031 | \n", "-0.009139 | \n", "0.012641 | \n", "-0.015381 | \n", "-0.016458 | \n", "0.000428 | \n", "-0.011805 | \n", "-0.007453 | \n", "-0.009677 | \n", "... | \n", "0.017693 | \n", "0.002091 | \n", "0.028822 | \n", "0.010659 | \n", "0.018889 | \n", "-0.000011 | \n", "0.011169 | \n", "0.012678 | \n", "0.011514 | \n", "-0.005166 | \n", "
1 | \n", "-0.081056 | \n", "0.076180 | \n", "0.031037 | \n", "0.031793 | \n", "0.061936 | \n", "0.069928 | \n", "-0.001276 | \n", "0.007451 | \n", "0.074872 | \n", "-0.026943 | \n", "... | \n", "0.019498 | \n", "0.012321 | \n", "0.007722 | \n", "0.010094 | \n", "-0.012720 | \n", "0.003780 | \n", "-0.002020 | \n", "0.002019 | \n", "-0.031673 | \n", "-0.009303 | \n", "
2 | \n", "-0.016066 | \n", "0.006627 | \n", "-0.017370 | \n", "0.016743 | \n", "-0.020871 | \n", "0.006759 | \n", "-0.025239 | \n", "0.010316 | \n", "0.005449 | \n", "-0.018201 | \n", "... | \n", "-0.019014 | \n", "0.003935 | \n", "-0.026303 | \n", "-0.002858 | \n", "-0.021656 | \n", "0.009854 | \n", "0.006162 | \n", "0.010421 | \n", "0.023072 | \n", "0.000193 | \n", "
3 | \n", "0.001013 | \n", "0.043135 | \n", "-0.010385 | \n", "-0.018566 | \n", "0.041443 | \n", "-0.008295 | \n", "0.011566 | \n", "0.019417 | \n", "-0.006851 | \n", "-0.001257 | \n", "... | \n", "0.015270 | \n", "0.015105 | \n", "0.001517 | \n", "0.004453 | \n", "0.006549 | \n", "-0.017048 | \n", "0.003939 | \n", "0.004667 | \n", "-0.005470 | \n", "-0.001870 | \n", "
4 | \n", "-0.014446 | \n", "0.019958 | \n", "0.007627 | \n", "0.098103 | \n", "-0.058165 | \n", "-0.052809 | \n", "-0.039579 | \n", "0.011384 | \n", "-0.024493 | \n", "-0.030756 | \n", "... | \n", "0.010281 | \n", "0.004401 | \n", "-0.003469 | \n", "0.002185 | \n", "0.001260 | \n", "-0.005687 | \n", "-0.006900 | \n", "-0.014626 | \n", "-0.002855 | \n", "0.025097 | \n", "
5 rows × 114 columns
\n", "\n", " | Stocks | \n", "
---|---|
Cluster | \n", "\n", " |
0 | \n", "AAL BSX CNC COP CTRA DISH DUK ELV FDS FE GL HL... | \n", "
1 | \n", "LLY | \n", "
2 | \n", "MMM ABT ABBV ADP AAP AFL A APD ALB ARE ALGN AL... | \n", "
3 | \n", "DIS | \n", "
4 | \n", "JNPR LVS VRTX | \n", "
5 | \n", "BBWI | \n", "
6 | \n", "AZO | \n", "
7 | \n", "AMGN CHTR CME CTSH DHR DG DOV EA FIS FTNT IR M... | \n", "
8 | \n", "AKAM ALK APA ANET CNP CF CMCSA CMI CVS XRAY DX... | \n", "
9 | \n", "MTD | \n", "
\n", " | Pairs | \n", "PValues | \n", "
---|---|---|
0 | \n", "(ATVI, STZ) | \n", "0.000003 | \n", "
1 | \n", "(STE, VFC) | \n", "0.000011 | \n", "
2 | \n", "(HON, PYPL) | \n", "0.000022 | \n", "
3 | \n", "(HON, INTU) | \n", "0.000055 | \n", "
4 | \n", "(HPE, KR) | \n", "0.000055 | \n", "
\n", " | 0 | \n", "1 | \n", "2 | \n", "
---|---|---|---|
0 | \n", "HD | \n", "Home Depot (The) | \n", "Home Improvement Retail | \n", "
1 | \n", "VRSN | \n", "Verisign | \n", "Internet Services & Infrastructure | \n", "
\n", " | Stocks | \n", "
---|---|
Cluster | \n", "\n", " |
0 | \n", "ADBE ARE LNT AXP ABC ATO BALL BDX BRK.B TECH B... | \n", "
1 | \n", "A EQT HST NEE | \n", "
2 | \n", "AKAM ALK APA ANET CNP CMCSA CMI CVS XRAY DXCM ... | \n", "
3 | \n", "AON AMAT BA CHD DPZ DTE EIX EL ITW KEYS MOS OX... | \n", "
4 | \n", "CBOE IBM PSX WMT | \n", "
\n", " | Pairs | \n", "PValues | \n", "
---|---|---|
0 | \n", "(HON, RJF) | \n", "0.000002 | \n", "
1 | \n", "(HON, WFC) | \n", "0.000064 | \n", "
2 | \n", "(AEP, SO) | \n", "0.000103 | \n", "
3 | \n", "(HON, LNC) | \n", "0.000114 | \n", "
4 | \n", "(ES, PCG) | \n", "0.000236 | \n", "
\n", " | 0 | \n", "1 | \n", "2 | \n", "
---|---|---|---|
0 | \n", "HON | \n", "Honeywell | \n", "Industrial Conglomerates | \n", "
1 | \n", "RJF | \n", "Raymond James | \n", "Investment Banking & Brokerage | \n", "
\n", " | Stocks | \n", "
---|---|
Cluster | \n", "\n", " |
0 | \n", "ABC TECH LYV | \n", "
1 | \n", "BMY STT | \n", "
2 | \n", "LNT BIIB | \n", "
3 | \n", "ARE EXR | \n", "
4 | \n", "BKNG FLT HUM OMC SBNY TER UAL | \n", "
\n", " | Pairs | \n", "PValues | \n", "
---|---|---|
0 | \n", "(AEE, XEL) | \n", "0.000607 | \n", "
1 | \n", "(AEE, CMS) | \n", "0.000917 | \n", "
2 | \n", "(PNW, WEC) | \n", "0.006713 | \n", "
3 | \n", "(TFC, WFC) | \n", "0.010048 | \n", "
4 | \n", "(ICE, NDAQ) | \n", "0.013386 | \n", "
\n", " | 0 | \n", "1 | \n", "2 | \n", "
---|---|---|---|
0 | \n", "AEE | \n", "Ameren | \n", "Multi-Utilities | \n", "
1 | \n", "XEL | \n", "Xcel Energy | \n", "Multi-Utilities | \n", "
\n", " | return | \n", "sharpe | \n", "sortino | \n", "drawdown | \n", "turnover | \n", "long count | \n", "short count | \n", "
---|---|---|---|---|---|---|---|
year | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2000 | \n", "-0.034531 | \n", "-0.156207 | \n", "-0.275616 | \n", "0.154829 | \n", "0.178865 | \n", "7.722222 | \n", "6.722222 | \n", "
2001 | \n", "0.107809 | \n", "0.572918 | \n", "0.860101 | \n", "0.121188 | \n", "0.178751 | \n", "7.133065 | \n", "6.133065 | \n", "
2002 | \n", "0.205780 | \n", "1.622577 | \n", "2.994472 | \n", "0.119937 | \n", "0.209870 | \n", "7.174603 | \n", "6.174603 | \n", "
2003 | \n", "0.038693 | \n", "0.508940 | \n", "0.747256 | \n", "0.041503 | \n", "0.186649 | \n", "7.734127 | \n", "6.734127 | \n", "
2004 | \n", "-0.004853 | \n", "-0.088510 | \n", "-0.132283 | \n", "0.055947 | \n", "0.137782 | \n", "8.146825 | \n", "7.146825 | \n", "
2005 | \n", "-0.011859 | \n", "-0.219900 | \n", "-0.348611 | \n", "0.062627 | \n", "0.153229 | \n", "7.404762 | \n", "6.404762 | \n", "
2006 | \n", "0.052250 | \n", "0.855936 | \n", "1.228293 | \n", "0.031901 | \n", "0.203342 | \n", "7.641434 | \n", "6.641434 | \n", "
2007 | \n", "-0.013907 | \n", "-0.207839 | \n", "-0.346033 | \n", "0.070556 | \n", "0.173673 | \n", "7.932271 | \n", "6.932271 | \n", "
2008 | \n", "-0.098696 | \n", "-0.612760 | \n", "-0.896314 | \n", "0.160237 | \n", "0.181329 | \n", "8.043478 | \n", "7.043478 | \n", "
2009 | \n", "0.041718 | \n", "0.374829 | \n", "0.624914 | \n", "0.132865 | \n", "0.178938 | \n", "7.575397 | \n", "6.575397 | \n", "
2010 | \n", "-0.039206 | \n", "-0.628343 | \n", "-0.960726 | \n", "0.060874 | \n", "0.173470 | \n", "7.626984 | \n", "6.626984 | \n", "
2011 | \n", "0.024971 | \n", "0.295778 | \n", "0.391893 | \n", "0.067499 | \n", "0.190962 | \n", "7.579365 | \n", "6.579365 | \n", "
2012 | \n", "0.058829 | \n", "1.000100 | \n", "1.630095 | \n", "0.030381 | \n", "0.186828 | \n", "7.416000 | \n", "6.416000 | \n", "
2013 | \n", "-0.077712 | \n", "-1.461734 | \n", "-1.945472 | \n", "0.096530 | \n", "0.161242 | \n", "8.218254 | \n", "7.218254 | \n", "
2014 | \n", "-0.053318 | \n", "-0.923747 | \n", "-1.303386 | \n", "0.082125 | \n", "0.194172 | \n", "8.111111 | \n", "7.111111 | \n", "
2015 | \n", "-0.000728 | \n", "-0.011242 | \n", "-0.015968 | \n", "0.070297 | \n", "0.176170 | \n", "7.265873 | \n", "6.265873 | \n", "
Overall | \n", "0.195239 | \n", "0.113800 | \n", "0.161969 | \n", "0.196607 | \n", "0.246842 | \n", "7.671056 | \n", "6.671056 | \n", "
\n", " | return | \n", "sharpe | \n", "sortino | \n", "drawdown | \n", "turnover | \n", "long count | \n", "short count | \n", "
---|---|---|---|---|---|---|---|
year | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2000 | \n", "0.117513 | \n", "0.438461 | \n", "0.739601 | \n", "0.279975 | \n", "0.167133 | \n", "4.468254 | \n", "3.468254 | \n", "
2001 | \n", "-0.413593 | \n", "-1.041556 | \n", "-1.120192 | \n", "0.486665 | \n", "0.129075 | \n", "3.072581 | \n", "2.072581 | \n", "
2002 | \n", "-0.109759 | \n", "-0.489983 | \n", "-0.649049 | \n", "0.254816 | \n", "0.047414 | \n", "1.674603 | \n", "0.674603 | \n", "
2003 | \n", "-0.063867 | \n", "-0.916326 | \n", "-1.175804 | \n", "0.085575 | \n", "0.008511 | \n", "1.289683 | \n", "0.289683 | \n", "
2004 | \n", "0.000000 | \n", "NaN | \n", "NaN | \n", "0.000000 | \n", "0.000000 | \n", "1.000000 | \n", "0.000000 | \n", "
2005 | \n", "0.000000 | \n", "NaN | \n", "NaN | \n", "0.000000 | \n", "0.000000 | \n", "1.000000 | \n", "0.000000 | \n", "
2006 | \n", "0.022858 | \n", "0.725236 | \n", "1.242432 | \n", "0.019174 | \n", "0.004237 | \n", "1.059761 | \n", "0.059761 | \n", "
2007 | \n", "0.044708 | \n", "0.401914 | \n", "0.638449 | \n", "0.100492 | \n", "0.133903 | \n", "2.195219 | \n", "1.195219 | \n", "
2008 | \n", "-0.030672 | \n", "-0.124533 | \n", "-0.199367 | \n", "0.166226 | \n", "0.052575 | \n", "2.193676 | \n", "1.193676 | \n", "
2009 | \n", "-0.104123 | \n", "-0.748043 | \n", "-0.950105 | \n", "0.167191 | \n", "0.030043 | \n", "1.464286 | \n", "0.464286 | \n", "
2010 | \n", "0.021371 | \n", "0.384089 | \n", "0.540455 | \n", "0.040384 | \n", "0.017021 | \n", "1.142857 | \n", "0.142857 | \n", "
2011 | \n", "-0.121096 | \n", "-1.118525 | \n", "-1.276182 | \n", "0.151177 | \n", "0.059072 | \n", "1.750000 | \n", "0.750000 | \n", "
2012 | \n", "0.062264 | \n", "0.716902 | \n", "1.134576 | \n", "0.053914 | \n", "0.069328 | \n", "1.612000 | \n", "0.612000 | \n", "
2013 | \n", "-0.027157 | \n", "-0.596647 | \n", "-0.735792 | \n", "0.028553 | \n", "0.025751 | \n", "1.242063 | \n", "0.242063 | \n", "
2014 | \n", "-0.056727 | \n", "-0.944436 | \n", "-1.007197 | \n", "0.109587 | \n", "0.045448 | \n", "2.297619 | \n", "1.297619 | \n", "
2015 | \n", "0.059286 | \n", "0.835984 | \n", "1.137173 | \n", "0.066133 | \n", "0.086948 | \n", "3.349206 | \n", "2.349206 | \n", "
Overall | \n", "-0.598994 | \n", "-0.232847 | \n", "-0.303385 | \n", "0.645691 | \n", "0.086082 | \n", "1.924969 | \n", "0.924969 | \n", "
\n", " | return | \n", "sharpe | \n", "sortino | \n", "drawdown | \n", "turnover | \n", "long count | \n", "short count | \n", "
---|---|---|---|---|---|---|---|
year | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2000 | \n", "0.218474 | \n", "1.054676 | \n", "1.717607 | \n", "0.159915 | \n", "0.223120 | \n", "6.801587 | \n", "5.801587 | \n", "
2001 | \n", "0.195758 | \n", "1.038189 | \n", "1.680202 | \n", "0.109630 | \n", "0.182860 | \n", "6.963710 | \n", "5.963710 | \n", "
2002 | \n", "0.006488 | \n", "0.032886 | \n", "0.047153 | \n", "0.240488 | \n", "0.150082 | \n", "4.936508 | \n", "3.936508 | \n", "
2003 | \n", "0.129430 | \n", "1.192581 | \n", "1.741977 | \n", "0.060810 | \n", "0.199073 | \n", "4.309524 | \n", "3.309524 | \n", "
2004 | \n", "0.144092 | \n", "1.854379 | \n", "3.180775 | \n", "0.053674 | \n", "0.181805 | \n", "5.003968 | \n", "4.003968 | \n", "
2005 | \n", "-0.062919 | \n", "-0.792113 | \n", "-1.103850 | \n", "0.079965 | \n", "0.168584 | \n", "3.579365 | \n", "2.579365 | \n", "
2006 | \n", "-0.001719 | \n", "-0.021737 | \n", "-0.027877 | \n", "0.079167 | \n", "0.185961 | \n", "5.685259 | \n", "4.685259 | \n", "
2007 | \n", "0.147951 | \n", "2.019832 | \n", "3.152348 | \n", "0.042394 | \n", "0.152864 | \n", "3.513944 | \n", "2.513944 | \n", "
2008 | \n", "-0.027665 | \n", "-0.135011 | \n", "-0.235130 | \n", "0.178387 | \n", "0.135684 | \n", "5.430830 | \n", "4.430830 | \n", "
2009 | \n", "-0.063445 | \n", "-0.472572 | \n", "-0.608192 | \n", "0.145997 | \n", "0.181801 | \n", "5.797619 | \n", "4.797619 | \n", "
2010 | \n", "-0.071755 | \n", "-0.960432 | \n", "-1.474929 | \n", "0.099038 | \n", "0.181682 | \n", "5.392857 | \n", "4.392857 | \n", "
2011 | \n", "-0.157948 | \n", "-1.056810 | \n", "-1.302375 | \n", "0.199840 | \n", "0.102120 | \n", "2.801587 | \n", "1.801587 | \n", "
2012 | \n", "0.066990 | \n", "1.132081 | \n", "1.779708 | \n", "0.038399 | \n", "0.198095 | \n", "6.312000 | \n", "5.312000 | \n", "
2013 | \n", "-0.088731 | \n", "-1.492119 | \n", "-1.800473 | \n", "0.103789 | \n", "0.149484 | \n", "7.265873 | \n", "6.265873 | \n", "
2014 | \n", "0.048420 | \n", "0.541784 | \n", "0.773401 | \n", "0.106502 | \n", "0.121356 | \n", "4.527778 | \n", "3.527778 | \n", "
2015 | \n", "-0.037248 | \n", "-0.529738 | \n", "-0.734052 | \n", "0.093387 | \n", "0.177352 | \n", "6.742063 | \n", "5.742063 | \n", "
Overall | \n", "0.446172 | \n", "0.217995 | \n", "0.300953 | \n", "0.353803 | \n", "0.235754 | \n", "5.314783 | \n", "4.314783 | \n", "
Zscore of Pairs | \n", "(AEP, SO) | \n", "(ES, PCG) | \n", "(AEE, XEL) | \n", "(PCG, SO) | \n", "(PNW, WEC) | \n", "(TFC, WFC) | \n", "(ICE, NDAQ) | \n", "(AMT, CCI) | \n", "(CNP, DUK) | \n", "(KO, PEP) | \n", "(ETR, FE) | \n", "(AON, MMC) | \n", "(C, HBAN) | \n", "(DUK, FE) | \n", "(CI, UNH) | \n", "(CMS, WEC) | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
91 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
92 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
93 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
94 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
175 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
176 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
177 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
178 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
179 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
90 rows × 16 columns
\n", "Close Prices of Pairs | \n", "(AEP, SO) | \n", "(ES, PCG) | \n", "(AEE, XEL) | \n", "(PCG, SO) | \n", "(PNW, WEC) | \n", "(TFC, WFC) | \n", "(ICE, NDAQ) | \n", "(AMT, CCI) | \n", "(CNP, DUK) | \n", "(KO, PEP) | \n", "(ETR, FE) | \n", "(AON, MMC) | \n", "(C, HBAN) | \n", "(DUK, FE) | \n", "(CI, UNH) | \n", "(CMS, WEC) | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
91 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
92 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
93 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
94 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
175 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
176 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
177 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
178 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
179 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
90 rows × 16 columns
\n", "Spread of Pairs | \n", "(AEP, SO) | \n", "(ES, PCG) | \n", "(AEE, XEL) | \n", "(PCG, SO) | \n", "(PNW, WEC) | \n", "(TFC, WFC) | \n", "(ICE, NDAQ) | \n", "(AMT, CCI) | \n", "(CNP, DUK) | \n", "(KO, PEP) | \n", "(ETR, FE) | \n", "(AON, MMC) | \n", "(C, HBAN) | \n", "(DUK, FE) | \n", "(CI, UNH) | \n", "(CMS, WEC) | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
91 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
92 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
93 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
94 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
175 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
176 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
177 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
178 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
179 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "0.0 | \n", "
90 rows × 16 columns
\n", "\n", " | Pair | \n", "Pvalues | \n", "Number of Trades Opened | \n", "Number of Trades Closed | \n", "Total Time Open | \n", "Average Time Open | \n", "Average Changes in Zscore | \n", "Max Min Changes in Zscore | \n", "
---|---|---|---|---|---|---|---|---|
0 | \n", "(AEE, XEL) | \n", "0.000607 | \n", "[8, False] | \n", "8 | \n", "153 | \n", "19.125000 | \n", "[0.1104, -0.1183, 0.0027] | \n", "[2.6199746024438033, -2.940468762540469] | \n", "
1 | \n", "(PNW, WEC) | \n", "0.006713 | \n", "[11, False] | \n", "11 | \n", "116 | \n", "10.545455 | \n", "[0.0737, -0.1248, -0.0198] | \n", "[2.456090906426008, -4.148591408595112] | \n", "
2 | \n", "(TFC, WFC) | \n", "0.010048 | \n", "[10, False] | \n", "10 | \n", "117 | \n", "11.700000 | \n", "[0.0723, -0.1069, -0.0121] | \n", "[2.5084880654723043, -2.459876269982127] | \n", "
3 | \n", "(ICE, NDAQ) | \n", "0.013386 | \n", "[11, False] | \n", "11 | \n", "105 | \n", "9.545455 | \n", "[0.1116, -0.0698, 0.0261] | \n", "[3.86429936699181, -1.7148936705082087] | \n", "
4 | \n", "(AMT, CCI) | \n", "0.019180 | \n", "[8, True] | \n", "7 | \n", "107 | \n", "13.375000 | \n", "[0.1092, -0.0808, 0.0197] | \n", "[2.7888479663384755, -2.3162201768282635] | \n", "
5 | \n", "(KO, PEP) | \n", "0.027680 | \n", "[12, False] | \n", "12 | \n", "96 | \n", "8.000000 | \n", "[0.0702, -0.1088, -0.0141] | \n", "[2.7287408587211064, -2.5393415245559834] | \n", "
6 | \n", "(CMS, ES) | \n", "0.031402 | \n", "[12, False] | \n", "12 | \n", "135 | \n", "11.250000 | \n", "[0.1243, -0.077, 0.0294] | \n", "[3.2740294215589327, -1.910934181086981] | \n", "
7 | \n", "(AON, MMC) | \n", "0.036786 | \n", "[8, True] | \n", "7 | \n", "131 | \n", "16.375000 | \n", "[0.0951, -0.1247, -0.0084] | \n", "[2.349064880544459, -5.193350061937017] | \n", "
8 | \n", "(C, HBAN) | \n", "0.037288 | \n", "[8, False] | \n", "8 | \n", "142 | \n", "17.750000 | \n", "[0.1434, -0.0801, 0.0381] | \n", "[3.295429116998269, -3.3345130784859975] | \n", "
9 | \n", "(CI, UNH) | \n", "0.043408 | \n", "[5, True] | \n", "4 | \n", "161 | \n", "32.200000 | \n", "[0.1769, -0.0775, 0.057] | \n", "[4.466524246165453, -2.1339891528750523] | \n", "
\n", " | Zscore | \n", "Occurrences | \n", "
---|---|---|
0 | \n", "-5.2 | \n", "1 | \n", "
1 | \n", "-4.6 | \n", "1 | \n", "
2 | \n", "-4.1 | \n", "1 | \n", "
3 | \n", "-3.8 | \n", "1 | \n", "
4 | \n", "-3.5 | \n", "1 | \n", "
... | \n", "... | \n", "... | \n", "
73 | \n", "3.6 | \n", "3 | \n", "
74 | \n", "3.7 | \n", "2 | \n", "
75 | \n", "3.9 | \n", "1 | \n", "
76 | \n", "4.0 | \n", "1 | \n", "
77 | \n", "4.5 | \n", "1 | \n", "
78 rows × 2 columns
\n", "\n", " | return | \n", "sharpe | \n", "sortino | \n", "drawdown | \n", "turnover | \n", "long count | \n", "short count | \n", "
---|---|---|---|---|---|---|---|
year | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2000 | \n", "0.255526 | \n", "1.153159 | \n", "1.831026 | \n", "0.147667 | \n", "0.223365 | \n", "6.932540 | \n", "5.932540 | \n", "
2001 | \n", "0.150285 | \n", "0.965636 | \n", "1.436826 | \n", "0.130224 | \n", "0.164941 | \n", "7.475806 | \n", "6.475806 | \n", "
2002 | \n", "0.021873 | \n", "0.136842 | \n", "0.207871 | \n", "0.214124 | \n", "0.183131 | \n", "5.468254 | \n", "4.468254 | \n", "
2003 | \n", "0.138937 | \n", "1.377507 | \n", "2.325635 | \n", "0.074601 | \n", "0.208050 | \n", "3.920635 | \n", "2.920635 | \n", "
2004 | \n", "0.112223 | \n", "1.366649 | \n", "1.941717 | \n", "0.044677 | \n", "0.152118 | \n", "4.416667 | \n", "3.416667 | \n", "
2005 | \n", "0.011659 | \n", "0.157085 | \n", "0.253165 | \n", "0.122446 | \n", "0.218705 | \n", "5.603175 | \n", "4.603175 | \n", "
2006 | \n", "0.031653 | \n", "0.441480 | \n", "0.626906 | \n", "0.068105 | \n", "0.216939 | \n", "5.741036 | \n", "4.741036 | \n", "
2007 | \n", "0.073265 | \n", "0.797161 | \n", "1.619835 | \n", "0.079153 | \n", "0.195394 | \n", "6.494024 | \n", "5.494024 | \n", "
2008 | \n", "-0.057339 | \n", "-0.342960 | \n", "-0.453555 | \n", "0.160390 | \n", "0.157797 | \n", "4.632411 | \n", "3.632411 | \n", "
2009 | \n", "-0.037030 | \n", "-0.299832 | \n", "-0.385314 | \n", "0.137586 | \n", "0.146366 | \n", "5.321429 | \n", "4.321429 | \n", "
2010 | \n", "0.026122 | \n", "0.315537 | \n", "0.537523 | \n", "0.069101 | \n", "0.227660 | \n", "4.230159 | \n", "3.230159 | \n", "
2011 | \n", "-0.013422 | \n", "-0.156608 | \n", "-0.240427 | \n", "0.137476 | \n", "0.216772 | \n", "4.428571 | \n", "3.428571 | \n", "
2012 | \n", "0.042859 | \n", "0.746488 | \n", "1.121426 | \n", "0.030493 | \n", "0.178729 | \n", "5.880000 | \n", "4.880000 | \n", "
2013 | \n", "0.091885 | \n", "1.387573 | \n", "2.373862 | \n", "0.035221 | \n", "0.181847 | \n", "6.305556 | \n", "5.305556 | \n", "
2014 | \n", "-0.196362 | \n", "-1.119456 | \n", "-1.160794 | \n", "0.222778 | \n", "0.105361 | \n", "3.996032 | \n", "2.996032 | \n", "
2015 | \n", "-0.050091 | \n", "-0.819221 | \n", "-1.206718 | \n", "0.089156 | \n", "0.185213 | \n", "6.801587 | \n", "5.801587 | \n", "
Overall | \n", "0.602042 | \n", "0.310433 | \n", "0.406111 | \n", "0.244813 | \n", "0.252502 | \n", "5.475280 | \n", "4.475280 | \n", "
\n", " | return | \n", "sharpe | \n", "sortino | \n", "drawdown | \n", "turnover | \n", "long count | \n", "short count | \n", "
---|---|---|---|---|---|---|---|
year | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2000 | \n", "0.077525 | \n", "0.376368 | \n", "0.578032 | \n", "0.152125 | \n", "0.307471 | \n", "6.972222 | \n", "5.972222 | \n", "
2001 | \n", "-0.058836 | \n", "-0.319339 | \n", "-0.440438 | \n", "0.223841 | \n", "0.179854 | \n", "7.491935 | \n", "6.491935 | \n", "
2002 | \n", "-0.019968 | \n", "-0.245539 | \n", "-0.330321 | \n", "0.143691 | \n", "0.157453 | \n", "7.317460 | \n", "6.317460 | \n", "
2003 | \n", "0.089639 | \n", "1.258519 | \n", "2.071053 | \n", "0.046711 | \n", "0.179367 | \n", "7.488095 | \n", "6.488095 | \n", "
2004 | \n", "0.061708 | \n", "0.709889 | \n", "1.131535 | \n", "0.049241 | \n", "0.114718 | \n", "7.595238 | \n", "6.595238 | \n", "
2005 | \n", "0.004917 | \n", "0.084201 | \n", "0.124118 | \n", "0.072763 | \n", "0.185639 | \n", "7.230159 | \n", "6.230159 | \n", "
2006 | \n", "0.061660 | \n", "1.035804 | \n", "1.631925 | \n", "0.029039 | \n", "0.183897 | \n", "7.370518 | \n", "6.370518 | \n", "
2007 | \n", "-0.018656 | \n", "-0.282184 | \n", "-0.391771 | \n", "0.118304 | \n", "0.209967 | \n", "8.079681 | \n", "7.079681 | \n", "
2008 | \n", "-0.124468 | \n", "-0.704445 | \n", "-1.040707 | \n", "0.235240 | \n", "0.118271 | \n", "7.707510 | \n", "6.707510 | \n", "
2009 | \n", "0.058584 | \n", "0.529043 | \n", "0.747291 | \n", "0.081674 | \n", "0.121624 | \n", "7.527778 | \n", "6.527778 | \n", "
2010 | \n", "0.099369 | \n", "1.331165 | \n", "2.258775 | \n", "0.032593 | \n", "0.176890 | \n", "7.813492 | \n", "6.813492 | \n", "
2011 | \n", "0.136219 | \n", "1.956812 | \n", "2.929662 | \n", "0.045108 | \n", "0.228802 | \n", "7.269841 | \n", "6.269841 | \n", "
2012 | \n", "0.013456 | \n", "0.247576 | \n", "0.344619 | \n", "0.048208 | \n", "0.163286 | \n", "7.144000 | \n", "6.144000 | \n", "
2013 | \n", "-0.080320 | \n", "-1.552952 | \n", "-2.200194 | \n", "0.120394 | \n", "0.160164 | \n", "7.634921 | \n", "6.634921 | \n", "
2014 | \n", "0.062121 | \n", "1.202864 | \n", "1.842071 | \n", "0.053063 | \n", "0.177561 | \n", "7.908730 | \n", "6.908730 | \n", "
2015 | \n", "-0.014414 | \n", "-0.255355 | \n", "-0.367636 | \n", "0.065493 | \n", "0.180237 | \n", "7.805556 | \n", "6.805556 | \n", "
Overall | \n", "0.348536 | \n", "0.209609 | \n", "0.283850 | \n", "0.263429 | \n", "0.244387 | \n", "7.522484 | \n", "6.522484 | \n", "
\n", " | return | \n", "sharpe | \n", "sortino | \n", "drawdown | \n", "turnover | \n", "long count | \n", "short count | \n", "
---|---|---|---|---|---|---|---|
year | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2000 | \n", "0.078513 | \n", "0.352270 | \n", "0.608114 | \n", "0.205606 | \n", "0.202499 | \n", "6.503968 | \n", "5.503968 | \n", "
2001 | \n", "0.108700 | \n", "0.757564 | \n", "1.369185 | \n", "0.177348 | \n", "0.175878 | \n", "7.032258 | \n", "6.032258 | \n", "
2002 | \n", "0.105012 | \n", "0.729308 | \n", "1.139363 | \n", "0.138215 | \n", "0.193375 | \n", "5.202381 | \n", "4.202381 | \n", "
2003 | \n", "0.096571 | \n", "0.920485 | \n", "1.431703 | \n", "0.088489 | \n", "0.177305 | \n", "3.698413 | \n", "2.698413 | \n", "
2004 | \n", "0.081022 | \n", "0.932972 | \n", "1.170048 | \n", "0.070658 | \n", "0.151582 | \n", "4.023810 | \n", "3.023810 | \n", "
2005 | \n", "0.001943 | \n", "0.025213 | \n", "0.043151 | \n", "0.114526 | \n", "0.245173 | \n", "5.309524 | \n", "4.309524 | \n", "
2006 | \n", "0.082888 | \n", "1.210158 | \n", "1.669898 | \n", "0.067483 | \n", "0.230408 | \n", "5.697211 | \n", "4.697211 | \n", "
2007 | \n", "0.175604 | \n", "1.643451 | \n", "3.847010 | \n", "0.066581 | \n", "0.214815 | \n", "5.239044 | \n", "4.239044 | \n", "
2008 | \n", "-0.072812 | \n", "-0.349541 | \n", "-0.468050 | \n", "0.237746 | \n", "0.181361 | \n", "4.185771 | \n", "3.185771 | \n", "
2009 | \n", "-0.015599 | \n", "-0.118053 | \n", "-0.146373 | \n", "0.144713 | \n", "0.150957 | \n", "5.492063 | \n", "4.492063 | \n", "
2010 | \n", "0.031125 | \n", "0.379460 | \n", "0.626143 | \n", "0.075670 | \n", "0.218014 | \n", "4.305556 | \n", "3.305556 | \n", "
2011 | \n", "-0.027125 | \n", "-0.258708 | \n", "-0.360622 | \n", "0.156415 | \n", "0.236850 | \n", "3.996032 | \n", "2.996032 | \n", "
2012 | \n", "0.023894 | \n", "0.417447 | \n", "0.620848 | \n", "0.037853 | \n", "0.165381 | \n", "6.008000 | \n", "5.008000 | \n", "
2013 | \n", "0.043874 | \n", "0.685499 | \n", "1.314819 | \n", "0.052792 | \n", "0.164771 | \n", "6.563492 | \n", "5.563492 | \n", "
2014 | \n", "-0.226014 | \n", "-1.278613 | \n", "-1.344383 | \n", "0.241479 | \n", "0.103605 | \n", "4.019841 | \n", "3.019841 | \n", "
2015 | \n", "-0.089668 | \n", "-1.214842 | \n", "-1.206210 | \n", "0.132392 | \n", "0.177162 | \n", "5.964286 | \n", "4.964286 | \n", "
Overall | \n", "0.397929 | \n", "0.197158 | \n", "0.258748 | \n", "0.369930 | \n", "0.253220 | \n", "5.200000 | \n", "4.200000 | \n", "
\n", " | return | \n", "sharpe | \n", "sortino | \n", "drawdown | \n", "turnover | \n", "long count | \n", "short count | \n", "
---|---|---|---|---|---|---|---|
year | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2000 | \n", "0.190557 | \n", "0.585957 | \n", "0.891046 | \n", "0.173314 | \n", "0.251064 | \n", "2.015873 | \n", "1.015873 | \n", "
2001 | \n", "0.090761 | \n", "0.297181 | \n", "0.435409 | \n", "0.239586 | \n", "0.212922 | \n", "1.778226 | \n", "0.778226 | \n", "
2002 | \n", "0.265230 | \n", "1.357154 | \n", "2.784402 | \n", "0.113018 | \n", "0.225575 | \n", "1.793651 | \n", "0.793651 | \n", "
2003 | \n", "0.102171 | \n", "0.631933 | \n", "1.229730 | \n", "0.114063 | \n", "0.165426 | \n", "1.952381 | \n", "0.952381 | \n", "
2004 | \n", "0.220638 | \n", "2.107772 | \n", "3.126629 | \n", "0.062087 | \n", "0.287157 | \n", "2.115079 | \n", "1.115079 | \n", "
2005 | \n", "0.019449 | \n", "0.185209 | \n", "0.241076 | \n", "0.088741 | \n", "0.225565 | \n", "2.138889 | \n", "1.138889 | \n", "
2006 | \n", "-0.055657 | \n", "-0.520403 | \n", "-0.601413 | \n", "0.134300 | \n", "0.191384 | \n", "1.848606 | \n", "0.848606 | \n", "
2007 | \n", "0.062464 | \n", "0.554189 | \n", "0.720506 | \n", "0.110819 | \n", "0.204950 | \n", "1.824701 | \n", "0.824701 | \n", "
2008 | \n", "-0.047507 | \n", "-0.161365 | \n", "-0.209454 | \n", "0.364913 | \n", "0.197425 | \n", "1.687747 | \n", "0.687747 | \n", "
2009 | \n", "0.382127 | \n", "1.403481 | \n", "4.713199 | \n", "0.082208 | \n", "0.145207 | \n", "1.710317 | \n", "0.710317 | \n", "
2010 | \n", "0.062050 | \n", "0.622543 | \n", "0.860710 | \n", "0.064261 | \n", "0.164184 | \n", "1.821429 | \n", "0.821429 | \n", "
2011 | \n", "0.126734 | \n", "1.647225 | \n", "2.423373 | \n", "0.051158 | \n", "0.202883 | \n", "1.539683 | \n", "0.539683 | \n", "
2012 | \n", "-0.008720 | \n", "-0.125661 | \n", "-0.158959 | \n", "0.062447 | \n", "0.151961 | \n", "1.588000 | \n", "0.588000 | \n", "
2013 | \n", "0.164678 | \n", "1.490895 | \n", "2.794521 | \n", "0.056471 | \n", "0.211481 | \n", "2.198413 | \n", "1.198413 | \n", "
2014 | \n", "0.085834 | \n", "0.838335 | \n", "1.259949 | \n", "0.059291 | \n", "0.241453 | \n", "2.198413 | \n", "1.198413 | \n", "
2015 | \n", "0.013716 | \n", "0.155835 | \n", "0.200139 | \n", "0.131959 | \n", "0.227918 | \n", "1.857143 | \n", "0.857143 | \n", "
Overall | \n", "1.674527 | \n", "0.579082 | \n", "0.873471 | \n", "0.364913 | \n", "0.236918 | \n", "1.879503 | \n", "0.879503 | \n", "
\n", " | return | \n", "sharpe | \n", "sortino | \n", "drawdown | \n", "turnover | \n", "long count | \n", "short count | \n", "
---|---|---|---|---|---|---|---|
year | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2000 | \n", "0.741919 | \n", "2.394832 | \n", "4.570957 | \n", "0.124264 | \n", "0.747624 | \n", "2.599206 | \n", "1.599206 | \n", "
2001 | \n", "0.192978 | \n", "0.644246 | \n", "0.964880 | \n", "0.240429 | \n", "0.611784 | \n", "2.548387 | \n", "1.548387 | \n", "
2002 | \n", "0.112270 | \n", "0.532266 | \n", "0.671572 | \n", "0.125851 | \n", "0.363506 | \n", "1.646825 | \n", "0.646825 | \n", "
2003 | \n", "0.167664 | \n", "1.290227 | \n", "2.420218 | \n", "0.050931 | \n", "0.404965 | \n", "1.642857 | \n", "0.642857 | \n", "
2004 | \n", "-0.135524 | \n", "-1.241168 | \n", "-1.450805 | \n", "0.158832 | \n", "0.255411 | \n", "1.535714 | \n", "0.535714 | \n", "
2005 | \n", "-0.010347 | \n", "-0.106241 | \n", "-0.151911 | \n", "0.109784 | \n", "0.594315 | \n", "2.896825 | \n", "1.896825 | \n", "
2006 | \n", "0.034303 | \n", "0.309908 | \n", "0.406534 | \n", "0.066056 | \n", "0.534251 | \n", "2.131474 | \n", "1.131474 | \n", "
2007 | \n", "0.165390 | \n", "1.447020 | \n", "2.718182 | \n", "0.071215 | \n", "0.522405 | \n", "2.513944 | \n", "1.513944 | \n", "
2008 | \n", "0.465828 | \n", "1.805593 | \n", "2.567029 | \n", "0.117140 | \n", "0.513591 | \n", "2.063241 | \n", "1.063241 | \n", "
2009 | \n", "0.348460 | \n", "2.285226 | \n", "3.765721 | \n", "0.060510 | \n", "0.498212 | \n", "2.063492 | \n", "1.063492 | \n", "
2010 | \n", "-0.109462 | \n", "-1.549256 | \n", "-1.622291 | \n", "0.132381 | \n", "0.275532 | \n", "1.595238 | \n", "0.595238 | \n", "
2011 | \n", "0.137124 | \n", "1.424213 | \n", "2.248100 | \n", "0.066403 | \n", "0.519691 | \n", "2.087302 | \n", "1.087302 | \n", "
2012 | \n", "-0.004584 | \n", "-0.052400 | \n", "-0.075122 | \n", "0.062195 | \n", "0.535364 | \n", "2.084000 | \n", "1.084000 | \n", "
2013 | \n", "0.038577 | \n", "0.490393 | \n", "0.743179 | \n", "0.081577 | \n", "0.528490 | \n", "2.670635 | \n", "1.670635 | \n", "
2014 | \n", "0.164259 | \n", "1.057634 | \n", "1.889264 | \n", "0.064629 | \n", "0.394587 | \n", "1.873016 | \n", "0.873016 | \n", "
2015 | \n", "0.126210 | \n", "1.317829 | \n", "2.089116 | \n", "0.097557 | \n", "0.595745 | \n", "2.289683 | \n", "1.289683 | \n", "
Overall | \n", "2.435066 | \n", "0.909091 | \n", "1.365387 | \n", "0.262388 | \n", "0.525045 | \n", "2.139627 | \n", "1.139627 | \n", "
\n", " | return | \n", "sharpe | \n", "sortino | \n", "drawdown | \n", "turnover | \n", "long count | \n", "short count | \n", "
---|---|---|---|---|---|---|---|
year | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2000 | \n", "0.494365 | \n", "1.936841 | \n", "2.959230 | \n", "0.156969 | \n", "0.731879 | \n", "2.515873 | \n", "1.515873 | \n", "
2001 | \n", "0.286757 | \n", "1.059670 | \n", "1.613569 | \n", "0.145642 | \n", "0.653818 | \n", "2.588710 | \n", "1.588710 | \n", "
2002 | \n", "0.072448 | \n", "0.329705 | \n", "0.385830 | \n", "0.179485 | \n", "0.560057 | \n", "2.202381 | \n", "1.202381 | \n", "
2003 | \n", "0.293895 | \n", "1.543249 | \n", "3.255374 | \n", "0.077503 | \n", "0.685228 | \n", "2.345238 | \n", "1.345238 | \n", "
2004 | \n", "-0.038326 | \n", "-0.354433 | \n", "-0.446845 | \n", "0.110229 | \n", "0.557230 | \n", "2.765873 | \n", "1.765873 | \n", "
2005 | \n", "-0.030124 | \n", "-0.283156 | \n", "-0.415926 | \n", "0.158730 | \n", "0.637394 | \n", "3.126984 | \n", "2.126984 | \n", "
2006 | \n", "0.054700 | \n", "0.478394 | \n", "0.698072 | \n", "0.078861 | \n", "0.579944 | \n", "2.697211 | \n", "1.697211 | \n", "
2007 | \n", "0.188314 | \n", "1.529581 | \n", "2.699836 | \n", "0.086595 | \n", "0.524395 | \n", "2.501992 | \n", "1.501992 | \n", "
2008 | \n", "0.278110 | \n", "1.285067 | \n", "1.766965 | \n", "0.125240 | \n", "0.628076 | \n", "2.600791 | \n", "1.600791 | \n", "
2009 | \n", "0.191702 | \n", "1.269095 | \n", "1.874487 | \n", "0.072722 | \n", "0.562876 | \n", "2.694444 | \n", "1.694444 | \n", "
2010 | \n", "-0.030113 | \n", "-0.291248 | \n", "-0.366549 | \n", "0.094470 | \n", "0.689078 | \n", "2.869048 | \n", "1.869048 | \n", "
2011 | \n", "0.137551 | \n", "1.493376 | \n", "2.232141 | \n", "0.065864 | \n", "0.675914 | \n", "2.702381 | \n", "1.702381 | \n", "
2012 | \n", "0.014878 | \n", "0.172262 | \n", "0.243161 | \n", "0.067968 | \n", "0.693732 | \n", "2.760000 | \n", "1.760000 | \n", "
2013 | \n", "0.089926 | \n", "1.179662 | \n", "1.922466 | \n", "0.042461 | \n", "0.667862 | \n", "3.365079 | \n", "2.365079 | \n", "
2014 | \n", "0.123787 | \n", "1.028817 | \n", "1.818614 | \n", "0.072945 | \n", "0.661610 | \n", "2.523810 | \n", "1.523810 | \n", "
2015 | \n", "-0.101367 | \n", "-1.209328 | \n", "-1.574469 | \n", "0.172350 | \n", "0.603165 | \n", "2.646825 | \n", "1.646825 | \n", "
Overall | \n", "2.026505 | \n", "0.801330 | \n", "1.134265 | \n", "0.226886 | \n", "0.667906 | \n", "2.681739 | \n", "1.681739 | \n", "
\n", " | return | \n", "sharpe | \n", "sortino | \n", "drawdown | \n", "turnover | \n", "long count | \n", "short count | \n", "
---|---|---|---|---|---|---|---|
year | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2016 | \n", "0.026879 | \n", "0.253141 | \n", "0.349098 | \n", "0.130746 | \n", "0.530532 | \n", "2.591270 | \n", "1.591270 | \n", "
2017 | \n", "0.059621 | \n", "0.793945 | \n", "1.074131 | \n", "0.085486 | \n", "0.456358 | \n", "2.780876 | \n", "1.780876 | \n", "
2018 | \n", "0.100376 | \n", "0.881657 | \n", "1.159129 | \n", "0.056676 | \n", "0.759199 | \n", "2.625498 | \n", "1.625498 | \n", "
2019 | \n", "0.116236 | \n", "1.300224 | \n", "1.952546 | \n", "0.087959 | \n", "0.625918 | \n", "2.638889 | \n", "1.638889 | \n", "
2020 | \n", "-0.049696 | \n", "-0.320652 | \n", "-0.399929 | \n", "0.216401 | \n", "0.565589 | \n", "2.438735 | \n", "1.438735 | \n", "
Overall | \n", "0.253417 | \n", "0.455565 | \n", "0.588204 | \n", "0.216401 | \n", "0.623900 | \n", "2.614774 | \n", "1.614774 | \n", "
\n", " | return | \n", "sharpe | \n", "sortino | \n", "drawdown | \n", "turnover | \n", "long count | \n", "short count | \n", "
---|---|---|---|---|---|---|---|
year | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
2016 | \n", "0.142964 | \n", "1.352154 | \n", "1.980501 | \n", "0.051622 | \n", "0.595546 | \n", "3.091270 | \n", "2.091270 | \n", "
2017 | \n", "-0.040888 | \n", "-0.545723 | \n", "-0.658477 | \n", "0.135031 | \n", "0.603684 | \n", "3.430279 | \n", "2.430279 | \n", "
2018 | \n", "0.171425 | \n", "2.075764 | \n", "2.991338 | \n", "0.045874 | \n", "0.662387 | \n", "3.896414 | \n", "2.896414 | \n", "
2019 | \n", "0.052256 | \n", "0.380835 | \n", "0.427864 | \n", "0.114650 | \n", "0.497569 | \n", "2.920635 | \n", "1.920635 | \n", "
2020 | \n", "-0.022704 | \n", "-0.138650 | \n", "-0.177271 | \n", "0.155412 | \n", "0.621752 | \n", "3.280632 | \n", "2.280632 | \n", "
Overall | \n", "0.303053 | \n", "0.514880 | \n", "0.628966 | \n", "0.165620 | \n", "0.634303 | \n", "3.323272 | \n", "2.323272 | \n", "