From 2b419a00dd276e0a99525efbdfe7b7ddbf6fc10a Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Wed, 17 Jan 2024 19:00:14 +0400 Subject: [PATCH 01/14] [auto commit] dow30_daily reconciliation & execution on 2024-01-17 --- .../dow30_daily_initial_holdings.json | 33 +++++++++++++++++++ .../dow30_daily_target_weights.json | 33 +++++++++++++++++++ 2 files changed, 66 insertions(+) diff --git a/examples/strategies/dow30_daily_initial_holdings.json b/examples/strategies/dow30_daily_initial_holdings.json index 1278fe80f..1726142ee 100644 --- a/examples/strategies/dow30_daily_initial_holdings.json +++ b/examples/strategies/dow30_daily_initial_holdings.json @@ -460,5 +460,38 @@ "VZ": 0.0, "WBA": 0.0, "WMT": 9202.080139160153 + }, + "2024-01-17 14:30:00+00:00": { + "AAPL": 233475.76550292975, + "AMGN": 31758.29910278318, + "AXP": 0.0, + "BA": 0.0, + "CAT": 0.0, + "CRM": 93364.92297363277, + "CSCO": 48002.03556666457, + "CVX": 0.0, + "DIS": 0.0, + "DOW": 0.0, + "GS": 0.0, + "HD": 118757.79162597653, + "HON": 0.0, + "IBM": 0.0, + "INTC": 0.0, + "JNJ": 0.0, + "JPM": 0.0, + "KO": 0.0, + "MCD": 1.3532349030516588e-12, + "MMM": 0.0, + "MRK": 0.0, + "MSFT": 294864.80834960926, + "NKE": 1.381572906108756e-12, + "PG": 0.0, + "TRV": 0.0, + "UNH": 98521.9255371094, + "USDOLLAR": 66.81767279694625, + "V": 74830.86380004883, + "VZ": 0.0, + "WBA": 0.0, + "WMT": 9037.280273437498 } } \ No newline at end of file diff --git a/examples/strategies/dow30_daily_target_weights.json b/examples/strategies/dow30_daily_target_weights.json index cc8d2d7b9..aed391e1a 100644 --- a/examples/strategies/dow30_daily_target_weights.json +++ b/examples/strategies/dow30_daily_target_weights.json @@ -460,5 +460,38 @@ "VZ": 7.752313874669032e-10, "WBA": 1.188190607434547e-09, "WMT": 0.00900114746276814 + }, + "2024-01-17 14:30:00+00:00": { + "AAPL": 0.2330568223443314, + "AMGN": 0.03167339951880392, + "AXP": 2.2571857865209022e-10, + "BA": 4.69733247860723e-10, + "CAT": 2.0118882633376522e-10, + "CRM": 0.09317036907177179, + "CSCO": 0.04787372519481996, + "CVX": 2.2023451694972602e-10, + "DIS": 3.362778642033524e-10, + "DOW": 3.225938394642326e-10, + "GS": 2.1505300639374217e-10, + "HD": 0.11845032859325727, + "HON": 1.5677985095278362e-10, + "IBM": 1.2359298188233005e-10, + "INTC": 3.9353465505250244e-10, + "JNJ": 3.1945367949269005e-10, + "JPM": 4.739171502497116e-10, + "KO": 2.3026787226477323e-10, + "MCD": 7.995149358844032e-10, + "MMM": 1.4618626469325222e-10, + "MRK": 2.564748870991044e-10, + "MSFT": 0.2939439886800044, + "NKE": 1.0538368420766592e-09, + "PG": 1.8628885319639864e-10, + "TRV": 1.6719253808847743e-10, + "UNH": 0.09828395609993797, + "USDOLLAR": 1.768743750570653e-09, + "V": 0.07458888721687057, + "VZ": 1.5947002931448539e-10, + "WBA": 2.399002696972634e-10, + "WMT": 0.008958514814248348 } } \ No newline at end of file From babe9ebab80e1c303437225129bb3684d733eac5 Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Wed, 17 Jan 2024 19:00:40 +0400 Subject: [PATCH 02/14] [auto commit] ndx100_daily reconciliation & execution on 2024-01-17 --- .../ndx100_daily_initial_holdings.json | 104 ++++++++++++++++++ .../ndx100_daily_target_weights.json | 104 ++++++++++++++++++ 2 files changed, 208 insertions(+) diff --git a/examples/strategies/ndx100_daily_initial_holdings.json b/examples/strategies/ndx100_daily_initial_holdings.json index 0c3b26032..f27c4716c 100644 --- a/examples/strategies/ndx100_daily_initial_holdings.json +++ b/examples/strategies/ndx100_daily_initial_holdings.json @@ -1350,5 +1350,109 @@ "WDAY": 0.0, "XEL": 0.0, "ZS": 18400.0 + }, + "2024-01-17 14:30:00+00:00": { + "AAPL": 66707.36157226565, + "ABNB": 0.0, + "ADBE": 11247.809814453123, + "ADI": 0.0, + "ADP": 0.0, + "ADSK": 0.0, + "AEP": 0.0, + "AMAT": 3980.860015869141, + "AMD": 36601.94929504392, + "AMGN": 11191.019683837896, + "AMZN": 53627.46194458002, + "ANSS": 0.0, + "ASML": 9177.35015869141, + "AVGO": 24338.380859375004, + "AZN": 0.0, + "BIIB": 3425.9400939941393, + "BKNG": 6993.479980468756, + "BKR": 0.0, + "CCEP": 0.0, + "CDNS": 0.0, + "CDW": 0.0, + "CEG": 40821.41123199473, + "CHTR": 0.0, + "CMCSA": 7621.959945678712, + "COST": 0.0, + "CPRT": 0.0, + "CRWD": 4193.100128173826, + "CSCO": 14552.188692198073, + "CSGP": 0.0, + "CSX": 0.0, + "CTAS": 0.0, + "CTSH": 8029.500000000004, + "DASH": 0.0, + "DDOG": 0.0, + "DLTR": 4456.979919433593, + "DXCM": 3443.9999999999964, + "EA": 4109.999999999997, + "EXC": 0.0, + "FANG": 1792.6799926757808, + "FAST": 318.8500022888182, + "FTNT": 795.6000099182129, + "GEHC": 3563.5198974609375, + "GFS": 817.5000000000003, + "GILD": 7038.060150146485, + "GOOG": 25437.98065185547, + "GOOGL": 13710.465118408203, + "HON": 0.0, + "IDXX": 0.0, + "ILMN": 0.0, + "INTC": 2320.755004882813, + "INTU": 0.0, + "ISRG": 5017.599914550781, + "KDP": 0.0, + "KHC": 0.0, + "KLAC": 0.0, + "LRCX": 3011.320068359375, + "LULU": 6099.339904785154, + "MAR": 0.0, + "MCHP": 5291.9999999999945, + "MDB": 13259.070281982427, + "MDLZ": 0.0, + "MELI": 6654.399902343753, + "META": 37362.59875488281, + "MNST": 4426.73012924194, + "MRNA": 8060.600250244163, + "MRVL": 0.0, + "MSFT": 57809.02163696285, + "MU": 7540.6172553796405, + "NFLX": 21802.499999999993, + "NVDA": 135796.26293945315, + "NXPI": 6177.899780273436, + "ODFL": 378.7600097656249, + "ON": 216.95999908447277, + "ORLY": 4955.7000732421875, + "PANW": 8594.040222167967, + "PAYX": 0.0, + "PCAR": 0.0, + "PDD": 9201.11012268069, + "PEP": 0.0, + "PYPL": 0.0, + "QCOM": 7818.719726562506, + "REGN": 3759.0400390624964, + "ROP": 0.0, + "ROST": 136.61999511718747, + "SBUX": 6599.520263671871, + "SIRI": 2422.4999547004695, + "SNPS": 0.0, + "SPLK": 0.0, + "TEAM": 0.0, + "TMUS": 326.2200012207032, + "TSLA": 207125.04058837908, + "TTD": 14748.599605560308, + "TTWO": 320.88000488281267, + "TXN": 0.0, + "USDOLLAR": -2328.5650401767716, + "VRSK": 0.0, + "VRTX": 1312.4999999999998, + "WBA": 0.0, + "WBD": 0.0, + "WDAY": 0.0, + "XEL": 0.0, + "ZS": 8011.499786376954 } } \ No newline at end of file diff --git a/examples/strategies/ndx100_daily_target_weights.json b/examples/strategies/ndx100_daily_target_weights.json index 655bf5562..03582e2d7 100644 --- a/examples/strategies/ndx100_daily_target_weights.json +++ b/examples/strategies/ndx100_daily_target_weights.json @@ -1246,5 +1246,109 @@ "WDAY": 1.2371776705404798e-08, "XEL": 8.693612737315676e-09, "ZS": 0.008429983090733893 + }, + "2024-01-17 14:30:00+00:00": { + "AAPL": 0.06932673970836266, + "ABNB": 2.024935743270227e-09, + "ADBE": 0.012285081006174236, + "ADI": 2.628613934932741e-08, + "ADP": 9.25285893963701e-09, + "ADSK": 2.3091260596450242e-08, + "AEP": 3.961620940961311e-09, + "AMAT": 0.004137392368966169, + "AMD": 0.037835866254936644, + "AMGN": 0.011265920815049449, + "AMZN": 0.05609912012142983, + "ANSS": 2.953164185392676e-08, + "ASML": 0.00965825878457599, + "AVGO": 0.02710115108189461, + "AZN": 8.65485365482904e-09, + "BIIB": 0.0035580504812577738, + "BKNG": 0.006246372983588672, + "BKR": 4.794641898630965e-09, + "CCEP": 3.0875035352236975e-08, + "CDNS": 4.186899357521633e-08, + "CDW": 0.0005867892622284924, + "CEG": 0.03715683117868872, + "CHTR": 5.891060498186539e-08, + "CMCSA": 0.00792121844685567, + "COST": 3.554000991297175e-08, + "CPRT": 4.994831827962019e-08, + "CRWD": 0.004297530270280148, + "CSCO": 0.015123495736349203, + "CSGP": 5.7684408826927786e-08, + "CSX": 1.491845252337859e-08, + "CTAS": 7.651175339165425e-09, + "CTSH": 0.008345541743918666, + "DASH": -1.474341177461508e-09, + "DDOG": 6.712713334364327e-08, + "DLTR": 0.0046707027359680865, + "DXCM": 0.004110693974677003, + "EA": 0.004254105894834894, + "EXC": 5.221680536184215e-09, + "FANG": 0.0023965296860595617, + "FAST": 0.0003315801797602299, + "FTNT": 0.0014932640536714531, + "GEHC": 0.0037028870694487044, + "GFS": 0.0005326769689904722, + "GILD": 0.007314215135379084, + "GOOG": 0.027639235005682185, + "GOOGL": 0.014249511073513105, + "HON": 7.097592350771107e-09, + "IDXX": 1.4749417945783383e-08, + "ILMN": 5.7724119919649164e-08, + "INTC": 0.0024119226862020153, + "INTU": 0.00028434420453487505, + "ISRG": 0.005763730464416418, + "KDP": 4.2147525357687983e-08, + "KHC": 4.073554922111151e-09, + "KLAC": 1.2482979266000945e-07, + "LRCX": 0.002948455042037598, + "LULU": 0.006711751941238267, + "MAR": 2.2625615286554882e-08, + "MCHP": 0.005750224106623163, + "MDB": 0.012066536183184434, + "MDLZ": 1.1164800232908752e-08, + "MELI": 0.007415888094618217, + "META": 0.04041632703362418, + "MNST": 0.004558565091067998, + "MRNA": 0.00806359776536776, + "MRVL": 1.6958595173704345e-08, + "MSFT": 0.06191887387687441, + "MU": 0.007836241999008661, + "NFLX": 0.02275769439914581, + "NVDA": 0.13768977833491128, + "NXPI": 0.006559603508302976, + "ODFL": 0.0006662265188529708, + "ON": 0.00022584559744322138, + "ORLY": 0.004950767576775499, + "PANW": 0.009661268160086816, + "PAYX": 1.942152438514083e-08, + "PCAR": 1.4271562468488442e-08, + "PDD": 0.009304013195514535, + "PEP": 7.298931059945577e-08, + "PYPL": 6.186069100036058e-09, + "QCOM": 0.008278177263687295, + "REGN": 0.0038215527775378676, + "ROP": 9.277340619517452e-08, + "ROST": 0.00014235905121393551, + "SBUX": 0.0068586371729947235, + "SIRI": 0.0025176105532940017, + "SNPS": 9.651824291281882e-09, + "SPLK": 5.4866313840242255e-09, + "TEAM": 1.6731802707771906e-06, + "TMUS": 0.0002469087126395275, + "TSLA": 0.21534434184235668, + "TTD": 0.013476319790189128, + "TTWO": 0.0004279173801157147, + "TXN": 1.795472311233071e-08, + "USDOLLAR": -2.847441124120137e-08, + "VRSK": 1.1580549433810963e-08, + "VRTX": 0.0014150931409766007, + "WBA": 2.4434589164380724e-08, + "WBD": 4.509739757714356e-09, + "WDAY": 9.952672366722709e-09, + "XEL": 6.571188370186647e-09, + "ZS": 0.007865946782533372 } } \ No newline at end of file From 374ba539936268dae943ee0771f3ff33be40b0bd Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Wed, 17 Jan 2024 19:02:28 +0400 Subject: [PATCH 03/14] [auto commit] sp500_daily reconciliation & execution on 2024-01-17 --- .../sp500_daily_initial_holdings.json | 516 +++++++++++++++++- .../sp500_daily_target_weights.json | 506 +++++++++++++++++ 2 files changed, 1017 insertions(+), 5 deletions(-) diff --git a/examples/strategies/sp500_daily_initial_holdings.json b/examples/strategies/sp500_daily_initial_holdings.json index 0e0d8e19a..61ba6f3b9 100644 --- a/examples/strategies/sp500_daily_initial_holdings.json +++ b/examples/strategies/sp500_daily_initial_holdings.json @@ -5067,7 +5067,7 @@ "ABNB": 0.0, "ABT": 2965.517429796135, "ACGL": 0.0, - "ACN": -1.7257500724893194e-13, + "ACN": -1.7257745845070165e-13, "ADBE": 7113.960205078122, "ADI": 0.0, "ADM": 0.0, @@ -5165,7 +5165,7 @@ "CMG": 6827.909912109373, "CMI": 0.0, "CMS": 0.0, - "CNC": 791.3500213623046, + "CNC": 791.3999938964839, "CNP": 0.0, "COF": 4187.700050354002, "COO": 0.0, @@ -5178,7 +5178,7 @@ "CRL": 0.0, "CRM": 7551.600341796868, "CSCO": 4912.569074925239, - "CSGP": 164.9499969482422, + "CSGP": 164.96000671386707, "CSX": 0.0, "CTAS": 0.0, "CTLT": 0.0, @@ -5186,7 +5186,7 @@ "CTSH": 5358.540252685544, "CTVA": 46.02500152587891, "CVS": 0.0, - "CVX": -5.205943563714885e-13, + "CVX": -5.205765731154579e-13, "CZR": 4888.440101623535, "D": 0.0, "DAL": 1411.1799774169924, @@ -5328,7 +5328,7 @@ "KHC": 0.0, "KIM": 0.0, "KLAC": -3.326769336641014e-13, - "KMB": 6948.759948730471, + "KMB": 6949.0397949218805, "KMI": 0.0, "KMX": 0.0, "KO": 181.1699981689454, @@ -5564,5 +5564,511 @@ "ZBRA": 0.0, "ZION": 0.0, "ZTS": 0.0 + }, + "2024-01-17 14:30:00+00:00": { + "A": 0.0, + "AAL": 686.8800020217894, + "AAPL": 37160.35087585452, + "ABBV": 8982.793352108582, + "ABNB": 0.0, + "ABT": 2968.391262243908, + "ACGL": 0.0, + "ACN": -1.7230319288683457e-13, + "ADBE": 7103.879882812502, + "ADI": 0.0, + "ADM": 0.0, + "ADP": 0.0, + "ADSK": 0.0, + "AEE": 0.0, + "AEP": 0.0, + "AES": 0.0, + "AFL": 2718.869979858399, + "AIG": 0.0, + "AIZ": 329.89999389648455, + "AJG": 0.0, + "AKAM": 0.0, + "ALB": 0.0, + "ALGN": 522.0, + "ALL": 5.857484577449304e-14, + "ALLE": 0.0, + "AMAT": 1377.9900054931638, + "AMCR": 0.0, + "AMD": 21073.849594116193, + "AME": 0.0, + "AMGN": 7259.039794921874, + "AMP": 2583.9801025390625, + "AMT": 1232.3999633789058, + "AMZN": 31964.391159057603, + "ANET": 2007.199951171875, + "ANSS": 978.75, + "AON": -5.862026043648981e-14, + "AOS": 0.0, + "APA": 0.0, + "APD": 0.0, + "APH": 1336.7200469970703, + "APTV": 79.5, + "ARE": 0.0, + "ATO": 0.0, + "AVB": 0.0, + "AVGO": 18806.93066406251, + "AVY": 0.0, + "AWK": 0.0, + "AXON": 5436.639892578126, + "AXP": 0.0, + "AZO": 2676.199951171876, + "BA": 1013.1500244140624, + "BAC": 0.0, + "BALL": 0.0, + "BAX": 0.0, + "BBWI": 0.0, + "BBY": 1138.5600585937507, + "BDX": 0.0, + "BEN": 221.10082742337778, + "BF-B": 0.0, + "BG": 0.0, + "BIIB": 2202.390060424805, + "BIO": 0.0, + "BK": 0.0, + "BKNG": 3496.7399902343745, + "BKR": 0.0, + "BLDR": 2783.409927368164, + "BLK": 774.3699951171882, + "BMY": 0.0, + "BR": 0.0, + "BRK-B": 0.0, + "BRO": 149.13999938964847, + "BSX": 0.0, + "BWA": 0.0, + "BX": 1274.9000167846684, + "BXP": 0.0, + "C": 0.0, + "CAG": 0.0, + "CAH": 106.76000213623048, + "CARR": 20616.239318847667, + "CAT": 0.0, + "CB": 4104.000000000002, + "CBOE": 0.0, + "CBRE": 3440.7199249267564, + "CCI": 1200.7600402832031, + "CCL": 0.0, + "CDAY": 0.0, + "CDNS": 0.0, + "CDW": 2421.5399932861337, + "CE": 426.74999999999983, + "CEG": 36149.75109100341, + "CF": 6325.200256347656, + "CFG": 0.0, + "CHD": 3046.3698959350586, + "CHRW": 0.0, + "CHTR": 1812.2500610351565, + "CI": 1232.9200439453123, + "CINF": 107.0500030517578, + "CL": 1121.3999786376953, + "CLX": 1578.2799530029301, + "CMA": 0.0, + "CMCSA": 3876.8909969749343, + "CME": 6165.589981079102, + "CMG": 6842.729736328127, + "CMI": 0.0, + "CMS": 0.0, + "CNC": 791.3500213623047, + "CNP": 0.0, + "COF": 4268.360031127928, + "COO": 0.0, + "COP": 0.0, + "COR": 2846.999999999999, + "COST": 0.0, + "CPB": 0.0, + "CPRT": 668.2199935913088, + "CPT": 0.0, + "CRL": 0.0, + "CRM": 7512.120239257808, + "CSCO": 4911.591613329912, + "CSGP": 161.61999511718747, + "CSX": 0.0, + "CTAS": 0.0, + "CTLT": 0.0, + "CTRA": 0.0, + "CTSH": 5226.750000000001, + "CTVA": 45.00000000000001, + "CVS": 0.0, + "CVX": -5.060440746002489e-13, + "CZR": 4929.119812011719, + "D": 0.0, + "DAL": 1380.0999717712405, + "DD": 0.0, + "DE": 1.0858244251715408e-13, + "DFS": 1834.6399688720699, + "DG": 0.0, + "DGX": 0.0, + "DHI": 607.0000000000001, + "DHR": 2255.3999328613295, + "DIS": 1666.3499450683591, + "DLR": 2.899772199874486e-14, + "DLTR": 1485.6599731445315, + "DOV": 0.0, + "DOW": 0.0, + "DPZ": 3383.1201171874995, + "DRI": 312.98001098632824, + "DTE": 0.0, + "DUK": 97.63999938964838, + "DVA": 1251.4800109863284, + "DVN": 0.0, + "DXCM": 2951.9999999999977, + "EA": 2465.999999999999, + "EBAY": 0.0, + "ECL": 0.0, + "ED": 0.0, + "EFX": 0.0, + "EG": 736.8400268554685, + "EIX": 0.0, + "EL": 0.0, + "ELV": 0.0, + "EMN": 0.0, + "EMR": 0.0, + "ENPH": 4536.930091857913, + "EOG": 0.0, + "EPAM": 1181.4799804687502, + "EQIX": -1.1449833754425297e-13, + "EQR": 0.0, + "EQT": 0.0, + "ES": 0.0, + "ESS": 0.0, + "ETN": 0.0, + "ETR": 0.0, + "ETSY": 0.0, + "EVRG": 0.0, + "EW": 0.0, + "EXC": 0.0, + "EXPD": 630.9500122070311, + "EXPE": 0.0, + "EXR": 5.272247661678637e-14, + "F": 0.0, + "FANG": 12100.589950561522, + "FAST": 892.7800064086913, + "FCX": 0.0, + "FDS": 922.2399902343756, + "FDX": 3388.000000000002, + "FE": 0.0, + "FFIV": 702.4400024414058, + "FI": 137.00000000000017, + "FICO": 2440.000000000002, + "FIS": 0.0, + "FITB": 0.0, + "FLT": 843.6600036621098, + "FMC": 0.0, + "FOX": 0.0, + "FOXA": 0.0, + "FRT": 0.0, + "FSLR": -4.984856801276454e-14, + "FTNT": 1530.0000190734866, + "FTV": 0.0, + "GD": 3.274995732487183e-13, + "GE": 0.0, + "GEHC": 6758.498778891502, + "GEN": 0.0, + "GILD": 3948.180084228517, + "GIS": 2382.219947814941, + "GL": 119.87165545459293, + "GLW": 0.0, + "GM": 0.0, + "GNRC": 0.0, + "GOOG": 12290.260314941412, + "GOOGL": 13851.810119628912, + "GPC": 0.0, + "GPN": 127.51999664306635, + "GRMN": 1352.7800369262693, + "GS": 0.0, + "GWW": 0.0, + "HAL": 0.0, + "HAS": 372.23999023437506, + "HBAN": 0.0, + "HCA": 4179.749908447266, + "HD": 11412.160156249996, + "HES": 0.0, + "HIG": 2138.239944458007, + "HII": 1014.6799926757811, + "HLT": -1.1458484683081763e-13, + "HOLX": 580.7199707031251, + "HON": 0.0, + "HPE": 0.0, + "HPQ": 0.0, + "HRL": 0.0, + "HSIC": 0.0, + "HST": 0.0, + "HSY": 5543.640106201169, + "HUBB": 1.1266526064496232e-13, + "HUM": 2645.6400146484384, + "HWM": 959.3999862670902, + "IBM": 0.0, + "ICE": 1876.9499588012707, + "IDXX": 1.0734467856740902e-13, + "IEX": 0.0, + "IFF": 0.0, + "ILMN": 661.5000152587888, + "INCY": 1345.9600067138667, + "INTC": 0.0, + "INTU": 1201.119995117187, + "INVH": 0.0, + "IP": 0.0, + "IPG": 0.0, + "IQV": 0.0, + "IR": 154.3200073242187, + "IRM": 0.0, + "ISRG": 5017.599914550784, + "IT": 451.0000000000007, + "ITW": 0.0, + "IVZ": 0.0, + "J": 0.0, + "JBHT": 0.0, + "JBL": 2970.2400512695303, + "JCI": 0.0, + "JKHY": 1149.049957275391, + "JNJ": 13941.74999999999, + "JNPR": 0.0, + "JPM": 5727.7392142217495, + "K": 431.2799987792967, + "KDP": 0.0, + "KEY": 0.0, + "KEYS": 0.0, + "KHC": 0.0, + "KIM": 0.0, + "KLAC": -3.3558054125255764e-13, + "KMB": 6875.119812011719, + "KMI": 0.0, + "KMX": 0.0, + "KO": 179.5800018310547, + "KR": 0.0, + "KVUE": 0.0, + "L": 70.98999786376949, + "LDOS": 0.0, + "LEN": 0.0, + "LH": 0.0, + "LHX": 0.0, + "LIN": 4.531452681299306e-13, + "LKQ": 0.0, + "LLY": 1278.9000244140623, + "LMT": 6865.050201416019, + "LNT": 0.0, + "LOW": -2.6280413083961695e-13, + "LRCX": 1505.6600341796884, + "LULU": 3753.43994140625, + "LUV": 28.48999977111818, + "LVS": 677.8799743652346, + "LW": 2477.329978942871, + "LYB": 3431.749999999999, + "LYV": 2508.2400512695312, + "MA": 23011.46212783855, + "MAA": 0.0, + "MAR": -5.620708702675949e-13, + "MAS": 0.0, + "MCD": 8704.200439453118, + "MCHP": 3023.9999999999977, + "MCK": 0.0, + "MCO": 0.0, + "MDLZ": 0.0, + "MDT": 517.1999816894531, + "MET": 67.7699966430664, + "META": 21977.999267578132, + "MGM": 832.2000122070312, + "MHK": 0.0, + "MKC": 0.0, + "MKTX": 1060.6800537109373, + "MLM": 0.0, + "MMC": 0.0, + "MMM": 0.0, + "MNST": 3276.930095672606, + "MO": 2453.099899291992, + "MOH": 386.00000000000017, + "MOS": 0.0, + "MPC": 7774.440124511723, + "MPWR": 588.1599731445309, + "MRK": 4648.020011901857, + "MRNA": 6094.6001892089835, + "MRO": 0.0, + "MS": 5684.9498977661115, + "MSCI": 0.0, + "MSFT": 37634.06106567381, + "MSI": 0.0, + "MTB": 1423.0699462890625, + "MTCH": 0.0, + "MTD": 0.0, + "MU": 3766.0501098632803, + "NCLH": 0.0, + "NDAQ": 0.0, + "NDSN": 0.0, + "NEE": 0.0, + "NEM": 0.0, + "NFLX": 15019.500000000005, + "NI": 0.0, + "NKE": 202.10000610351557, + "NOC": 477.33999633789, + "NOW": 2177.999999999998, + "NRG": 0.0, + "NSC": -2.716694002388144e-14, + "NTAP": 3785.6907958568427, + "NTRS": 0.0, + "NUE": 0.0, + "NVDA": 77195.38598632807, + "NVR": 0.0, + "NWS": 0.0, + "NWSA": 0.0, + "NXPI": 4942.319824218748, + "O": 0.0, + "ODFL": 1515.040039062499, + "OKE": 0.0, + "OMC": 0.0, + "ON": 289.27999877929705, + "ORCL": 7801.693698161337, + "ORLY": 2973.4200439453125, + "OTIS": 1545.8399505615237, + "OXY": 0.0, + "PANW": 7271.880187988287, + "PARA": 0.0, + "PAYC": 0.0, + "PAYX": 0.0, + "PCAR": 0.0, + "PCG": 0.0, + "PEAK": 0.0, + "PEG": 0.0, + "PEP": 4979.700164794925, + "PFE": 0.0, + "PFG": 154.75999450683597, + "PG": 149.15499877929673, + "PGR": 5077.200164794923, + "PH": 0.0, + "PHM": 619.1400146484375, + "PKG": 491.3699798583983, + "PLD": 0.0, + "PM": 0.0, + "PNC": 0.0, + "PNR": 0.0, + "PNW": 0.0, + "PODD": 2364.359985351562, + "POOL": 1132.829956054688, + "PPG": 285.0000000000001, + "PPL": 0.0, + "PRU": 1322.490043640137, + "PSA": 0.0, + "PSX": 2434.65998840332, + "PTC": 341.57998657226557, + "PWR": 1194.3599853515632, + "PXD": -4.811908583160384e-13, + "PYPL": 0.0, + "QCOM": 5445.179809570312, + "QRVO": 0.0, + "RCL": 1330.670013427735, + "REG": 0.0, + "REGN": 1879.5200195312493, + "RF": 0.0, + "RHI": 0.0, + "RJF": 0.0, + "RL": 0.0, + "RMD": 2743.3601074218764, + "ROK": 295.36999511718767, + "ROL": 0.0, + "ROP": 4828.042586670213, + "ROST": 1502.8199462890623, + "RSG": 0.0, + "RTX": 0.0, + "RVTY": 0.0, + "SBAC": 5150.20013427734, + "SBUX": 4583.000183105467, + "SCHW": 182.79000091552737, + "SHW": 1488.800048828126, + "SJM": 127.98000335693348, + "SLB": 0.0, + "SNA": 0.0, + "SNPS": 0.0, + "SO": 840.0000000000005, + "SPG": 0.0, + "SPGI": 0.0, + "SRE": 0.0, + "STE": 440.0000000000002, + "STLD": 662.759994506836, + "STT": 299.11999511718744, + "STX": 762.3899917602548, + "STZ": 4834.169860839841, + "SWK": 0.0, + "SWKS": 0.0, + "SYF": 0.0, + "SYK": 2502.3200683593745, + "SYY": 0.0, + "T": 0.0, + "TAP": 0.0, + "TDG": 8200.080078125005, + "TDY": 0.0, + "TECH": 0.0, + "TEL": 0.0, + "TER": 0.0, + "TFC": 0.0, + "TFX": 0.0, + "TGT": 0.0, + "TJX": 381.72000122070307, + "TMO": 0.0, + "TMUS": 652.4400024414064, + "TPR": 870.4800109863285, + "TRGP": 1062.880027770996, + "TRMB": 0.0, + "TROW": 0.0, + "TRV": 0.0, + "TSCO": 2207.799987792968, + "TSLA": 118387.8603363037, + "TSN": 216.99999999999994, + "TT": 0.0, + "TTWO": 802.2000122070323, + "TXN": 0.0, + "TXT": 0.0, + "TYL": 0.0, + "UAL": 2615.2799377441415, + "UBER": 0.0, + "UDR": 0.0, + "UHS": 0.0, + "ULTA": 4716.300048828125, + "UNH": 11989.44067382813, + "UNP": 0.0, + "UPS": 0.0, + "URI": 0.0, + "USB": 0.0, + "USDOLLAR": -324.6883798977403, + "V": 6874.920349121089, + "VFC": 0.0, + "VICI": 0.0, + "VLO": 0.0, + "VLTO": 2.2142693366701596e-13, + "VMC": 0.0, + "VRSK": 0.0, + "VRSN": 1007.45002746582, + "VRTX": 2187.499999999998, + "VTR": 0.0, + "VTRS": 0.0, + "VZ": 0.0, + "WAB": 0.0, + "WAT": 306.35000610351557, + "WBA": 0.0, + "WBD": 0.0, + "WDC": 104.33999633789064, + "WEC": 0.0, + "WELL": 0.0, + "WFC": 0.0, + "WHR": 0.0, + "WM": 1083.7199707031255, + "WMB": 0.0, + "WMT": 10166.940307617193, + "WRB": 0.0, + "WRK": 0.0, + "WST": 0.0, + "WTW": 0.0, + "WY": 0.0, + "WYNN": 2496.14991760254, + "XEL": 0.0, + "XOM": 0.0, + "XRAY": 0.0, + "XYL": 0.0, + "YUM": 0.0, + "ZBH": 0.0, + "ZBRA": 0.0, + "ZION": 0.0, + "ZTS": 0.0 } } \ No newline at end of file diff --git a/examples/strategies/sp500_daily_target_weights.json b/examples/strategies/sp500_daily_target_weights.json index a648772ca..1328e378b 100644 --- a/examples/strategies/sp500_daily_target_weights.json +++ b/examples/strategies/sp500_daily_target_weights.json @@ -5564,5 +5564,511 @@ "ZBRA": 1.3338077319769044e-09, "ZION": 1.0957526955107747e-09, "ZTS": 2.9273771166865315e-09 + }, + "2024-01-17 14:30:00+00:00": { + "A": 2.084226296317787e-11, + "AAL": 0.000700294715166314, + "AAPL": 0.037886088229961284, + "ABBV": 0.009205966063318461, + "ABNB": 9.501267063991675e-12, + "ABT": 0.0030263636663630474, + "ACGL": 4.9579055897389056e-11, + "ACN": 5.968939289231649e-11, + "ADBE": 0.007188222014986275, + "ADI": 5.4265532411337677e-11, + "ADM": 3.336045092575423e-11, + "ADP": 4.130920574521216e-11, + "ADSK": 4.9142071671715045e-11, + "AEE": 2.336544301875717e-11, + "AEP": 2.5285520870478845e-11, + "AES": 1.3271366423196791e-11, + "AFL": 0.0027719693773691103, + "AIG": 2.618066014409133e-11, + "AIZ": 0.00033634265814721213, + "AJG": 5.610056790510833e-11, + "AKAM": 4.098760175991444e-11, + "ALB": 2.1527596681141876e-11, + "ALGN": 0.00058770254363906, + "ALL": 6.441155033173643e-11, + "ALLE": 1.7744594613716536e-11, + "AMAT": 0.0014049020214695514, + "AMCR": 6.216203464158309e-12, + "AMD": 0.020816821890137907, + "AME": 3.1223319147175916e-11, + "AMGN": 0.007437153117689934, + "AMP": 0.0026344475475324203, + "AMT": 0.001256468678474817, + "AMZN": 0.032588651976625645, + "ANET": 0.0020464026167877694, + "ANSS": 0.0009978646646027422, + "AON": 5.7034092420475466e-11, + "AOS": 2.9760636066574877e-11, + "APA": 1.5648396916195658e-11, + "APD": 5.4650850372833534e-11, + "APH": 0.001362826031517119, + "APTV": 8.105257937301279e-05, + "ARE": 2.244653972285183e-11, + "ATO": 3.8571196833222735e-11, + "AVB": 3.064969636377213e-11, + "AVGO": 0.01924927645718276, + "AVY": 3.671902223259075e-11, + "AWK": 9.103571979080053e-11, + "AXON": 0.005605244827450428, + "AXP": 6.083126266718919e-11, + "AZO": 0.0027284660304980305, + "BA": 0.001032936746762268, + "BAC": 3.158984273096103e-11, + "BALL": 6.006415327150068e-11, + "BAX": 5.050802423784464e-11, + "BBWI": 4.599138317940876e-11, + "BBY": 0.0011607960267830911, + "BDX": 4.219963035585562e-11, + "BEN": 0.00022541892752241476, + "BF-B": 3.9825571836524686e-11, + "BG": 4.7473843189643783e-11, + "BIIB": 0.002245402534987338, + "BIO": 1.7118523499935828e-11, + "BK": 2.4790334739756974e-11, + "BKNG": 0.0027941427361017103, + "BKR": 1.8328517347601242e-11, + "BLDR": 0.0028523281099436847, + "BLK": 0.000746481545744235, + "BMY": 9.416432662266563e-11, + "BR": 5.628296944985561e-11, + "BRK-B": 4.416894262055826e-11, + "BRO": 0.00015205268691174, + "BSX": 5.363043811705559e-11, + "BWA": 3.503080732319399e-11, + "BX": 0.0012997986382953636, + "BXP": 2.8951096970040624e-11, + "C": 4.0369521405485196e-11, + "CAG": 5.699499573083601e-11, + "CAH": 0.00010884493189272919, + "CARR": 0.02108841458312873, + "CAT": 2.4434991254489035e-11, + "CB": 0.004184150302272241, + "CBOE": 7.258502189252511e-11, + "CBRE": 0.0035620742096931805, + "CCI": 0.0012242139149772995, + "CCL": 1.2577837453107914e-11, + "CDAY": 1.0070086888944443e-11, + "CDNS": 1.1194474796116738e-10, + "CDW": 0.0024688325358433916, + "CE": 0.0004350835800455677, + "CEG": 0.03691618191381616, + "CF": 0.006483567685913316, + "CFG": 2.4833953100600023e-11, + "CHD": 0.003134186291788438, + "CHRW": 4.8017499205263205e-11, + "CHTR": 0.0018476407283820899, + "CI": 0.0012550624990018656, + "CINF": 0.00010914067831680714, + "CL": 0.0011433008272233312, + "CLX": 0.0016091066606121005, + "CMA": 2.2008420670701256e-11, + "CMCSA": 0.003952647351213798, + "CME": 0.006286003709565686, + "CMG": 0.006686112806109501, + "CMI": 3.506213473883325e-11, + "CMS": 2.4432639287234534e-11, + "CNC": 0.0008068050513105938, + "CNP": 1.9686753051557177e-11, + "COF": 0.004428316694972179, + "COO": 4.690542125594549e-11, + "COP": 4.235181712391156e-11, + "COR": 0.0029026015698541013, + "COST": 3.480380970498568e-11, + "CPB": 5.967758274956074e-11, + "CPRT": 0.0006812702856247515, + "CPT": 2.5570358472317957e-11, + "CRL": 1.2472354102410377e-11, + "CRM": 0.0076782487021864925, + "CSCO": 0.00500751449893091, + "CSGP": 0.00016477622617505944, + "CSX": 3.845736720020705e-11, + "CTAS": 5.032961997376155e-11, + "CTLT": 1.3322633312168598e-11, + "CTRA": 1.6130296171595558e-11, + "CTSH": 0.00532882936831835, + "CTVA": 4.5878842993929074e-05, + "CVS": 3.685417888947075e-11, + "CVX": 8.246963993691713e-11, + "CZR": 0.00510157292357544, + "D": 5.889291704703803e-11, + "DAL": 0.00140705319792043, + "DD": 2.723990041693314e-11, + "DE": 7.03570013579969e-11, + "DFS": 0.0018910200843477705, + "DG": 4.150080898958543e-11, + "DGX": 5.992132287118122e-11, + "DHI": 0.0006188541664852704, + "DHR": 0.0022994472917215107, + "DIS": 0.0016988935850758336, + "DLR": 9.409810018544967e-11, + "DLTR": 0.0015146747738638614, + "DOV": 2.894541454918006e-11, + "DOW": 3.582251846161422e-11, + "DPZ": 0.0034639596528479645, + "DRI": 0.0003022550873412974, + "DTE": 4.3567063940303367e-11, + "DUK": 9.954687792043444e-05, + "DVA": 0.0013173139679917695, + "DVN": 1.3964284946412697e-11, + "DXCM": 0.0030611692832879732, + "EA": 0.002514160829202508, + "EBAY": 4.120232375946752e-11, + "ECL": 2.905416648727317e-11, + "ED": 7.045444879113619e-11, + "EFX": 3.7291496337584705e-11, + "EG": 0.000708550351929273, + "EIX": 5.162745402754399e-11, + "EL": 2.8772670806866806e-11, + "ELV": 9.924714292162344e-11, + "EMN": 2.5939150699843305e-11, + "EMR": 2.3256445247594055e-11, + "ENPH": 0.0047366976287709, + "EOG": 3.320383351263852e-11, + "EPAM": 0.0012045540835673048, + "EQIX": 2.7325002185137694e-09, + "EQR": 2.5228413599982175e-11, + "EQT": 1.6551964263884238e-11, + "ES": 2.0680337674011838e-11, + "ESS": 4.426886879131842e-11, + "ETN": 3.276572021481528e-11, + "ETR": 4.5447454027215004e-11, + "ETSY": 2.1406249803470068e-11, + "EVRG": 1.7213475635457482e-11, + "EW": 8.648663935532102e-11, + "EXC": 2.7103946061099714e-11, + "EXPD": 0.0006432724045809993, + "EXPE": 6.515980615947059e-11, + "EXR": 1.1357736353202959e-10, + "F": 9.464883653577368e-12, + "FANG": 0.012407265064943081, + "FAST": 0.000910215930793243, + "FCX": 2.0739860612410244e-11, + "FDS": 0.0009051783179454718, + "FDX": 0.003454167438801778, + "FE": 2.320453393179562e-11, + "FFIV": 0.000716158675283122, + "FI": 0.00013967514101642572, + "FICO": 0.002521708174351051, + "FIS": 2.2917772226223897e-11, + "FITB": 6.16279879562803e-11, + "FLT": 0.0008529257521667758, + "FMC": 5.872945030023781e-11, + "FOX": 1.1491189859579407e-11, + "FOXA": 1.6519907078556916e-11, + "FRT": 2.1098931927984587e-11, + "FSLR": 5.654930922407236e-11, + "FTNT": 0.0015598807558241824, + "FTV": 1.4422837863183705e-11, + "GD": 1.1705815496003522e-10, + "GE": 3.491274890085471e-11, + "GEHC": 0.006890491511783879, + "GEN": 3.8601173126984606e-11, + "GILD": 0.004025287646502811, + "GIS": 0.0024287445167634485, + "GL": 0.00012221264404987614, + "GLW": 1.754980808171652e-11, + "GM": 1.4662232503751824e-11, + "GNRC": 1.84204294827034e-11, + "GOOG": 0.012530287734666098, + "GOOGL": 0.014122334407080368, + "GPC": 1.0026865924931082e-10, + "GPN": 0.00013001025314153192, + "GRMN": 0.0013791996981276334, + "GS": 4.340656141260474e-11, + "GWW": 1.801813883095413e-11, + "HAL": 1.5074452688079217e-11, + "HAS": 0.00038733178242821655, + "HBAN": 1.2114176179597837e-11, + "HCA": 0.004253088804913506, + "HD": 0.011635037988244945, + "HES": 5.175356133491597e-11, + "HIG": 0.002179999878295295, + "HII": 0.0010344966399190886, + "HLT": 8.853931027507975e-11, + "HOLX": 0.0005920613881400075, + "HON": 2.3552717844157105e-11, + "HPE": 9.602159234985254e-12, + "HPQ": 1.5640245282690147e-11, + "HRL": 5.549279922743289e-11, + "HSIC": 4.623857687973298e-11, + "HST": 2.268220087346088e-11, + "HSY": 0.005651914015574592, + "HUBB": 3.59767036820985e-05, + "HUM": 0.00267365647529705, + "HWM": 0.000978136988804851, + "IBM": 2.4808213160688366e-11, + "ICE": 0.0019136065987884583, + "IDXX": 2.227729080357879e-10, + "IEX": 3.083666049921463e-11, + "IFF": 2.0590389646979256e-11, + "ILMN": 0.000674419212116348, + "INCY": 0.001372247110632108, + "INTC": 4.295821384599857e-11, + "INTU": 0.0012245775747045144, + "INVH": 1.3642526086047362e-11, + "IP": 2.1381427859783162e-11, + "IPG": 4.064355251813567e-11, + "IQV": 1.8248938572992633e-11, + "IR": 0.00015733382890646935, + "IRM": 2.733510125168668e-11, + "ISRG": 0.00511559677575211, + "IT": 0.0004416419418278974, + "ITW": 3.0585592440878164e-11, + "IVZ": 1.4719792606765195e-11, + "J": 4.295023575907914e-11, + "JBHT": 3.8480429459747483e-11, + "JBL": 0.0030282492937453364, + "JCI": 2.8557589165462547e-11, + "JKHY": 0.0012276374943235014, + "JNJ": 0.014214030800542447, + "JNPR": 1.9399512418045897e-11, + "JPM": 0.005839601131610395, + "K": 0.00043970292419006653, + "KDP": 4.853473181440731e-11, + "KEY": 1.0842167686832167e-11, + "KEYS": 2.7979359652641033e-11, + "KHC": 1.0090864791076887e-11, + "KIM": 1.3711126887716077e-11, + "KLAC": 1.0817151400418172e-10, + "KMB": 0.007095438545579408, + "KMI": 7.427697510472393e-12, + "KMX": 2.3935466650413854e-11, + "KO": 0.00018308720018200784, + "KR": 4.313324901715808e-11, + "KVUE": 3.3402869762342132e-12, + "L": 7.237641854192787e-05, + "LDOS": 1.7652173355480838e-11, + "LEN": 8.351788064429723e-11, + "LH": 1.9175327462623152e-11, + "LHX": 4.577732290186842e-11, + "LIN": 1.5577052527833566e-10, + "LKQ": 5.545944894440496e-11, + "LLY": 0.0013038765771334702, + "LMT": 0.007034697974075943, + "LNT": 1.9304339406771066e-11, + "LOW": 1.0690992068179304e-10, + "LRCX": 0.0012267522748396998, + "LULU": 0.0038262694722216773, + "LUV": 2.9046426918378486e-05, + "LVS": 0.0006911189716566215, + "LW": 0.0025257121694465313, + "LYB": 0.003498774540075232, + "LYV": 0.0025852409226264457, + "MA": 0.02360707225534397, + "MAA": 3.2562001573176465e-11, + "MAR": 1.2665635639537746e-10, + "MAS": 3.1391049855072353e-11, + "MCD": 0.008874192288374225, + "MCHP": 0.003091894507114129, + "MCK": 1.8647749790297464e-10, + "MCO": 1.7786817439459283e-11, + "MDLZ": 2.3723310706353017e-11, + "MDT": 0.000527300847581447, + "MET": 6.90935334397774e-05, + "META": 0.022407227200280988, + "MGM": 0.0008484529883998075, + "MHK": 6.903097023357247e-11, + "MKC": 3.655740374825204e-11, + "MKTX": 0.0011722663795066715, + "MLM": 2.4380514042827703e-11, + "MMC": 2.2946323327231386e-11, + "MMM": 4.150637575187813e-11, + "MNST": 0.0033439935696999708, + "MO": 0.002501008698083593, + "MOH": 0.0004251562655481253, + "MOS": 1.2182080977905416e-11, + "MPC": 0.007926274616727302, + "MPWR": 0.0005810502983337908, + "MRK": 0.0047387955251692575, + "MRNA": 0.0063565748314164975, + "MRO": 7.618779142230076e-12, + "MS": 0.005795976919078693, + "MSCI": 1.4741068045287933e-10, + "MSFT": 0.03836904991249832, + "MSI": 3.798629522052977e-11, + "MTB": 0.0015032602933996114, + "MTCH": 3.487437837654018e-11, + "MTD": 7.928334364267696e-11, + "MU": 0.003839600675780855, + "NCLH": 2.573136413232698e-11, + "NDAQ": 3.8495413465565015e-11, + "NDSN": 2.884802481234988e-11, + "NEE": 2.6671513449688472e-11, + "NEM": 3.821843187652721e-11, + "NFLX": 0.015312829153717433, + "NI": 1.588089044166923e-11, + "NKE": 0.0002060468804858319, + "NOC": 0.00048665943438256157, + "NOW": 0.0022205313052925104, + "NRG": 3.4322028954702626e-11, + "NSC": 7.899476662846638e-11, + "NTAP": 0.0038670939773747543, + "NTRS": 3.229989028519718e-11, + "NUE": 4.3830168935408994e-11, + "NVDA": 0.07732737559636658, + "NVR": 0.0008298785877921026, + "NWS": 1.2461634001216202e-11, + "NWSA": 1.2495905534597746e-11, + "NXPI": 0.005063686276956752, + "O": 5.08148069219012e-11, + "ODFL": 0.0015446283489075232, + "OKE": 3.192803025620314e-11, + "OMC": 4.406663113825285e-11, + "ON": 0.0002949295853695757, + "ORCL": 0.007954060441478951, + "ORLY": 0.0029871019906391955, + "OTIS": 0.0015760299742078026, + "OXY": 2.299944364887135e-11, + "PANW": 0.007439771523416574, + "PARA": 1.2058539950056297e-11, + "PAYC": 1.0500775861481134e-10, + "PAYX": 9.312689861121015e-11, + "PCAR": 6.354619404535737e-11, + "PCG": 1.4510442449076093e-11, + "PEAK": 1.2174042847464589e-11, + "PEG": 5.669945300130893e-11, + "PEP": 0.005076953136231386, + "PFE": 2.905595803734238e-11, + "PFG": 0.00015778245572011708, + "PG": 0.00015206782450647056, + "PGR": 0.005176357417395986, + "PH": 3.091007535955917e-11, + "PHM": 0.0006312317738660536, + "PKG": 0.0005009662103003803, + "PLD": 3.2911258512211414e-11, + "PM": 6.621644099627891e-11, + "PNC": 9.38109384459548e-11, + "PNR": 1.896892735164874e-11, + "PNW": 2.1710588311841603e-11, + "PODD": 0.0024747362660957214, + "POOL": 0.0011549540524713607, + "PPG": 0.0002905659457355347, + "PPL": 2.470017508337758e-11, + "PRU": 0.001348318173967789, + "PSA": 3.077472310355438e-11, + "PSX": 0.002482208607383456, + "PTC": 0.00034825075015664056, + "PWR": 0.0012176857902351345, + "PXD": 6.920455637089151e-11, + "PYPL": 9.375388143239231e-12, + "QCOM": 0.005551523925486741, + "QRVO": 8.225285210883593e-12, + "RCL": 0.0013566578388390393, + "REG": 2.0914585036299883e-11, + "REGN": 0.0018815705025939016, + "RF": 1.3903614807664875e-11, + "RHI": 3.3442549165023793e-11, + "RJF": 7.962306914487695e-11, + "RL": 3.897199365150553e-11, + "RMD": 0.0028113730385106277, + "ROK": 0.0003011381078596994, + "ROL": 2.165273216054773e-11, + "ROP": 0.0049223333758487715, + "ROST": 0.001532169805798232, + "RSG": 4.402087442122838e-11, + "RTX": 7.092464428599779e-11, + "RVTY": 1.6601146996312447e-11, + "SBAC": 0.005325341070579139, + "SBUX": 0.0046725056441026345, + "SCHW": 0.00018635987391035886, + "SHW": 0.0015178757967591254, + "SJM": 0.00013047938121708787, + "SLB": 1.5242280601649613e-11, + "SNA": 4.2130277711479176e-11, + "SNPS": 2.6224517068543744e-11, + "SO": 0.0008564051416733908, + "SPG": 3.3485784091509306e-11, + "SPGI": 3.024383124721108e-11, + "SRE": 6.212774883240211e-11, + "STE": 0.00044859298294029225, + "STLD": 0.0006757035431648775, + "STT": 0.0003049617887902888, + "STX": 0.0007772793788925987, + "STZ": 0.004928580966655386, + "SWK": 3.674619643921993e-11, + "SWKS": 1.7363974541580575e-11, + "SYF": 3.201490452746182e-11, + "SYK": 0.0025511901236927874, + "SYY": 3.798442523621458e-11, + "T": 3.08831059630329e-11, + "TAP": 5.844800698546081e-11, + "TDG": 0.008613178991144357, + "TDY": 1.0564240898316783e-10, + "TECH": 8.735206298159671e-11, + "TEL": 3.2047846852559204e-11, + "TER": 2.1825374601985385e-11, + "TFC": 2.308756720014872e-11, + "TFX": 8.153142400725972e-11, + "TGT": 3.616351260924479e-11, + "TJX": 0.0003891748865115828, + "TMO": 6.966313667307349e-11, + "TMUS": 0.0006651820030787434, + "TPR": 0.0008874806049084552, + "TRGP": 0.0010836379399554587, + "TRMB": 2.651069839518847e-11, + "TROW": 4.181550052474292e-11, + "TRV": 5.2833998503463183e-11, + "TSCO": 0.002250918154660259, + "TSLA": 0.12086536948450789, + "TSN": 0.0002212380068714635, + "TT": 3.247639516909907e-11, + "TTWO": 0.0008178669568952419, + "TXN": 3.017047767807779e-11, + "TXT": 2.060824604721704e-11, + "TYL": 5.858663268577936e-11, + "UAL": 0.0026663562577696654, + "UBER": 1.5920514221352383e-11, + "UDR": 1.585667746649347e-11, + "UHS": 2.371850649642789e-11, + "ULTA": 0.0049579850221771376, + "UNH": 0.012223667040686344, + "UNP": 4.9818070983315405e-11, + "UPS": 1.495637362074705e-11, + "URI": 5.930122969156881e-11, + "USB": 2.698041227598621e-11, + "USDOLLAR": 1.0100681843553706e-08, + "V": 0.007009186332870262, + "VFC": 1.1577713413160996e-11, + "VICI": 1.676298229169546e-11, + "VLO": 4.527994527305917e-11, + "VLTO": 8.04645190460671e-12, + "VMC": 1.5389532514543505e-11, + "VRSK": 3.291980087597226e-11, + "VRSN": 0.0010271250269571002, + "VRTX": 0.0022302215866763803, + "VTR": 3.141342861738363e-11, + "VTRS": 1.1370799632333648e-11, + "VZ": 5.81102022701728e-11, + "WAB": 2.3980100162610833e-11, + "WAT": 0.00031233319282456803, + "WBA": 2.4591947083528542e-11, + "WBD": 8.113188964872004e-12, + "WDC": 0.00010637773988562481, + "WEC": 7.623651668794977e-11, + "WELL": 2.950076852586114e-11, + "WFC": 6.327170464286803e-11, + "WHR": 3.904271374933937e-11, + "WM": 0.0011048845225541013, + "WMB": 6.386002661118265e-11, + "WMT": 0.010365499549680014, + "WRB": 5.42200753613585e-11, + "WRK": 1.2626771163589177e-11, + "WST": 2.392943549276081e-11, + "WTW": 5.249402467687096e-11, + "WY": 1.520194934814718e-11, + "WYNN": 0.0025871380060593927, + "XEL": 2.756590496533069e-11, + "XOM": 4.670904513099281e-11, + "XRAY": 4.9694222359807455e-11, + "XYL": 4.188052526553773e-11, + "YUM": 6.413935113747117e-11, + "ZBH": 2.075811835575038e-11, + "ZBRA": 2.2246561255153744e-11, + "ZION": 1.7413327768628416e-11, + "ZTS": 5.101592226539139e-11 } } \ No newline at end of file From aa00b6351a49fe10c4f067b1ad89b5edf0ed36de Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Thu, 18 Jan 2024 19:00:06 +0400 Subject: [PATCH 04/14] [auto commit] dow30_daily reconciliation & execution on 2024-01-18 --- .../dow30_daily_initial_holdings.json | 35 ++++++++++++++++++- .../dow30_daily_target_weights.json | 33 +++++++++++++++++ 2 files changed, 67 insertions(+), 1 deletion(-) diff --git a/examples/strategies/dow30_daily_initial_holdings.json b/examples/strategies/dow30_daily_initial_holdings.json index 1726142ee..7a1b80fae 100644 --- a/examples/strategies/dow30_daily_initial_holdings.json +++ b/examples/strategies/dow30_daily_initial_holdings.json @@ -488,7 +488,40 @@ "PG": 0.0, "TRV": 0.0, "UNH": 98521.9255371094, - "USDOLLAR": 66.81767279694625, + "USDOLLAR": 66.8176829487899, + "V": 74830.86380004883, + "VZ": 0.0, + "WBA": 0.0, + "WMT": 9037.280273437498 + }, + "2024-01-18 14:30:00+00:00": { + "AAPL": 233657.0355072022, + "AMGN": 31758.29910278318, + "AXP": 0.0, + "BA": 0.0, + "CAT": 0.0, + "CRM": 93364.92297363277, + "CSCO": 48002.03556666457, + "CVX": 0.0, + "DIS": 0.0, + "DOW": 0.0, + "GS": 0.0, + "HD": 118757.79162597653, + "HON": 0.0, + "IBM": 0.0, + "INTC": 0.0, + "JNJ": 0.0, + "JPM": 0.0, + "KO": 0.0, + "MCD": 1.3532349030516588e-12, + "MMM": 0.0, + "MRK": 0.0, + "MSFT": 294864.80834960926, + "NKE": 1.381572906108756e-12, + "PG": 0.0, + "TRV": 0.0, + "UNH": 98521.9255371094, + "USDOLLAR": -114.48125028837835, "V": 74830.86380004883, "VZ": 0.0, "WBA": 0.0, diff --git a/examples/strategies/dow30_daily_target_weights.json b/examples/strategies/dow30_daily_target_weights.json index aed391e1a..641318d52 100644 --- a/examples/strategies/dow30_daily_target_weights.json +++ b/examples/strategies/dow30_daily_target_weights.json @@ -493,5 +493,38 @@ "VZ": 1.5947002931448539e-10, "WBA": 2.399002696972634e-10, "WMT": 0.008958514814248348 + }, + "2024-01-18 14:30:00+00:00": { + "AAPL": 0.23308794944786299, + "AMGN": 0.03167340244412874, + "AXP": 6.176011027754459e-10, + "BA": 1.2914221033261182e-09, + "CAT": 5.506155257745439e-10, + "CRM": 0.093168802218156, + "CSCO": 0.047873749489933684, + "CVX": 6.025414917965313e-10, + "DIS": 9.204574885316627e-10, + "DOW": 8.829656991171422e-10, + "GS": 5.88540048660585e-10, + "HD": 0.11844906053703501, + "HON": 4.289941800587312e-10, + "IBM": 3.3809145616202626e-10, + "INTC": 1.075568886940882e-09, + "JNJ": 8.73373133755622e-10, + "JPM": 1.2974355949126052e-09, + "KO": 6.298954768956101e-10, + "MCD": 2.1860364306910396e-09, + "MMM": 3.999537335727472e-10, + "MRK": 7.015026110414526e-10, + "MSFT": 0.29392202475461954, + "NKE": 2.8817849106278157e-09, + "PG": 5.096097327824098e-10, + "TRV": 4.5750839708632703e-10, + "UNH": 0.09828625179157151, + "USDOLLAR": 4.83903487966857e-09, + "V": 0.0745850850189595, + "VZ": 4.362604887638537e-10, + "WBA": 6.562824345069952e-10, + "WMT": 0.008953651132257321 } } \ No newline at end of file From b6569de70bb7b3202580da2cdfa08fc0817971c5 Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Thu, 18 Jan 2024 19:00:33 +0400 Subject: [PATCH 05/14] [auto commit] ndx100_daily reconciliation & execution on 2024-01-18 --- .../ndx100_daily_initial_holdings.json | 110 +++++++++++++++++- .../ndx100_daily_target_weights.json | 104 +++++++++++++++++ 2 files changed, 211 insertions(+), 3 deletions(-) diff --git a/examples/strategies/ndx100_daily_initial_holdings.json b/examples/strategies/ndx100_daily_initial_holdings.json index f27c4716c..197c8c1ff 100644 --- a/examples/strategies/ndx100_daily_initial_holdings.json +++ b/examples/strategies/ndx100_daily_initial_holdings.json @@ -1397,11 +1397,11 @@ "GFS": 817.5000000000003, "GILD": 7038.060150146485, "GOOG": 25437.98065185547, - "GOOGL": 13710.465118408203, + "GOOGL": 13710.950592041016, "HON": 0.0, "IDXX": 0.0, "ILMN": 0.0, - "INTC": 2320.755004882813, + "INTC": 2320.999908447266, "INTU": 0.0, "ISRG": 5017.599914550781, "KDP": 0.0, @@ -1446,7 +1446,7 @@ "TTD": 14748.599605560308, "TTWO": 320.88000488281267, "TXN": 0.0, - "USDOLLAR": -2328.5650401767716, + "USDOLLAR": -2328.5130183565266, "VRSK": 0.0, "VRTX": 1312.4999999999998, "WBA": 0.0, @@ -1454,5 +1454,109 @@ "WDAY": 0.0, "XEL": 0.0, "ZS": 8011.499786376954 + }, + "2024-01-18 14:30:00+00:00": { + "AAPL": 66707.36157226565, + "ABNB": 0.0, + "ADBE": 11738.000488281245, + "ADI": 0.0, + "ADP": 0.0, + "ADSK": 0.0, + "AEP": 0.0, + "AMAT": 4125.160095214845, + "AMD": 38225.99929809569, + "AMGN": 10888.559692382818, + "AMZN": 54386.12152099608, + "ANSS": 0.0, + "ASML": 9420.83990478516, + "AVGO": 26997.600585937496, + "AZN": 0.0, + "BIIB": 3414.459991455075, + "BKNG": 6996.000000000003, + "BKR": 0.0, + "CCEP": 0.0, + "CDNS": 0.0, + "CDW": 660.5999908447264, + "CEG": 35749.77088165294, + "CHTR": 0.0, + "CMCSA": 7495.580108642578, + "COST": 0.0, + "CPRT": 0.0, + "CRWD": 4225.050201416011, + "CSCO": 14552.188692198073, + "CSGP": 0.0, + "CSX": 0.0, + "CTAS": 0.0, + "CTSH": 8040.099838256838, + "DASH": 0.0, + "DDOG": 0.0, + "DLTR": 4454.999999999998, + "DXCM": 4040.3200683593745, + "EA": 4098.599853515621, + "EXC": 0.0, + "FANG": 2245.800018310547, + "FAST": 330.2000045776366, + "FTNT": 1403.0000000000002, + "GEHC": 3492.0, + "GFS": 503.6399917602543, + "GILD": 7032.3201751708975, + "GOOG": 26679.840454101562, + "GOOGL": 13778.850296020515, + "HON": 0.0, + "IDXX": 0.0, + "ILMN": 0.0, + "INTC": 2320.7550048828134, + "INTU": 0.0, + "ISRG": 5548.200073242188, + "KDP": 0.0, + "KHC": 0.0, + "KLAC": 0.0, + "LRCX": 3103.6000976562486, + "LULU": 6610.660034179686, + "MAR": 0.0, + "MCHP": 5666.760040283198, + "MDB": 11723.249999999998, + "MDLZ": 0.0, + "MELI": 6584.000000000003, + "META": 39377.93896484374, + "MNST": 4313.759872436522, + "MRNA": 7900.7901687622325, + "MRVL": 0.0, + "MSFT": 59748.92169189449, + "MU": 7678.472851738997, + "NFLX": 21601.34994506834, + "NVDA": 134560.9942626953, + "NXPI": 6532.010208129885, + "ODFL": 757.9999999999999, + "ON": 222.03000640869138, + "ORLY": 4935.400085449221, + "PANW": 9419.480102539057, + "PAYX": 0.0, + "PCAR": 0.0, + "PDD": 9376.250000000027, + "PEP": 0.0, + "PYPL": 0.0, + "QCOM": 8159.435714721689, + "REGN": 3695.8798828124964, + "ROP": 0.0, + "ROST": 135.22000122070312, + "SBUX": 6621.119934082028, + "SIRI": 2469.9999094009395, + "SNPS": 0.0, + "SPLK": 0.0, + "TEAM": 0.0, + "TMUS": 162.6199951171875, + "TSLA": 209072.3247070315, + "TTD": 13614.389305114757, + "TTWO": 483.9600219726563, + "TXN": 0.0, + "USDOLLAR": -926.7223233149474, + "VRSK": 0.0, + "VRTX": 1294.7699890136723, + "WBA": 0.0, + "WBD": 0.0, + "WDAY": 0.0, + "XEL": 0.0, + "ZS": 7600.22991943359 } } \ No newline at end of file diff --git a/examples/strategies/ndx100_daily_target_weights.json b/examples/strategies/ndx100_daily_target_weights.json index 03582e2d7..06e416853 100644 --- a/examples/strategies/ndx100_daily_target_weights.json +++ b/examples/strategies/ndx100_daily_target_weights.json @@ -1350,5 +1350,109 @@ "WDAY": 9.952672366722709e-09, "XEL": 6.571188370186647e-09, "ZS": 0.007865946782533372 + }, + "2024-01-18 14:30:00+00:00": { + "AAPL": 0.06913311095425662, + "ABNB": 2.475341734141089e-09, + "ADBE": 0.012359714643450662, + "ADI": 2.7729152052247284e-08, + "ADP": 9.732471761731904e-09, + "ADSK": 2.380299868489469e-08, + "AEP": 4.291446175576936e-09, + "AMAT": 0.004243681513367387, + "AMD": 0.038238326110398756, + "AMGN": 0.011131548052216124, + "AMZN": 0.05610886721325263, + "ANSS": 3.175417450478155e-08, + "ASML": 0.009725274359265144, + "AVGO": 0.027714929478094962, + "AZN": 8.908920468949933e-09, + "BIIB": 0.0035125085109457893, + "BKNG": 0.006223716612572448, + "BKR": 4.97393923153243e-09, + "CCEP": 3.10688682054502e-08, + "CDNS": 4.655147361716822e-08, + "CDW": 0.0009512766148931755, + "CEG": 0.03640808797680928, + "CHTR": 6.6623045634004e-08, + "CMCSA": 0.0077111678182021255, + "COST": 3.876804752458805e-08, + "CPRT": 5.376021699298155e-08, + "CRWD": 0.004191854489302514, + "CSCO": 0.014970679051270351, + "CSGP": 6.5751013305508e-08, + "CSX": 1.5165974137139184e-08, + "CTAS": 7.964197843806696e-09, + "CTSH": 0.008280937323812238, + "DASH": -1.4793688893954015e-09, + "DDOG": 1.4234523646318255e-07, + "DLTR": 0.004675103986259184, + "DXCM": 0.004274900998156221, + "EA": 0.004215182380356118, + "EXC": 5.5822421641415346e-09, + "FANG": 0.0024897411799364886, + "FAST": 0.0003419869596222791, + "FTNT": 0.0016131977455194908, + "GEHC": 0.0026762287764666745, + "GFS": 0.0004683634335398506, + "GILD": 0.0072344937207393, + "GOOG": 0.027850873044673596, + "GOOGL": 0.014175439405356928, + "HON": 7.334475168955969e-09, + "IDXX": 1.5869593328593546e-08, + "ILMN": 6.420097657837617e-08, + "INTC": 0.0023875546818391265, + "INTU": 0.0004193762989469809, + "ISRG": 0.005975304002797422, + "KDP": 4.44156719321473e-08, + "KHC": 4.2988114517192565e-09, + "KLAC": 1.1700248444790928e-07, + "LRCX": 0.002926106763865218, + "LULU": 0.006826339298370653, + "MAR": 2.2830607741300797e-08, + "MCHP": 0.005842347907185242, + "MDB": 0.011653312227100308, + "MDLZ": 1.1787937114579911e-08, + "MELI": 0.007441034460071969, + "META": 0.040573447401189136, + "MNST": 0.004437781495152975, + "MRNA": 0.008088229810204987, + "MRVL": 1.8323741859818413e-08, + "MSFT": 0.062178903725900875, + "MU": 0.007746520301339802, + "NFLX": 0.022702251773151577, + "NVDA": 0.13780197313336826, + "NXPI": 0.006719804780432539, + "ODFL": 0.0007971763526433773, + "ON": 0.00022848768130602818, + "ORLY": 0.0049266187524856534, + "PANW": 0.009899503486024168, + "PAYX": 2.078863539945024e-08, + "PCAR": 1.4610081668118472e-08, + "PDD": 0.009429904672137649, + "PEP": 8.114982655825902e-08, + "PYPL": 6.77221197016822e-09, + "QCOM": 0.00840597387893917, + "REGN": 0.0037704926943736626, + "ROP": 1.0654195952854926e-07, + "ROST": 0.0001393053594258135, + "SBUX": 0.006811533026200835, + "SIRI": 0.0025410342029087178, + "SNPS": 1.0202983691889453e-08, + "SPLK": 5.538952773457377e-09, + "TEAM": 4.876101060363032e-05, + "TMUS": 0.0001413020875265701, + "TSLA": 0.21514732848590482, + "TTD": 0.013406244096046186, + "TTWO": 0.0005486657322846715, + "TXN": 1.8485522418486505e-08, + "USDOLLAR": -9.45363856196934e-09, + "VRSK": 1.2275862768344843e-08, + "VRTX": 0.001429115870776045, + "WBA": 2.5338923163587623e-08, + "WBD": 4.747713114322843e-09, + "WDAY": 1.0345332647798194e-08, + "XEL": 7.028257690674349e-09, + "ZS": 0.007685865990443595 } } \ No newline at end of file From 81f9cb59351c86e880703074a9082f506ae9042f Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Thu, 18 Jan 2024 19:02:20 +0400 Subject: [PATCH 06/14] [auto commit] sp500_daily reconciliation & execution on 2024-01-18 --- .../sp500_daily_initial_holdings.json | 520 +++++++++++++++++- .../sp500_daily_target_weights.json | 506 +++++++++++++++++ 2 files changed, 1019 insertions(+), 7 deletions(-) diff --git a/examples/strategies/sp500_daily_initial_holdings.json b/examples/strategies/sp500_daily_initial_holdings.json index 61ba6f3b9..1aaabe7e4 100644 --- a/examples/strategies/sp500_daily_initial_holdings.json +++ b/examples/strategies/sp500_daily_initial_holdings.json @@ -5573,7 +5573,7 @@ "ABNB": 0.0, "ABT": 2968.391262243908, "ACGL": 0.0, - "ACN": -1.7230319288683457e-13, + "ACN": -1.729323790562058e-13, "ADBE": 7103.879882812502, "ADI": 0.0, "ADM": 0.0, @@ -5671,7 +5671,7 @@ "CMG": 6842.729736328127, "CMI": 0.0, "CMS": 0.0, - "CNC": 791.3500213623047, + "CNC": 788.4999847412104, "CNP": 0.0, "COF": 4268.360031127928, "COO": 0.0, @@ -5703,7 +5703,7 @@ "DGX": 0.0, "DHI": 607.0000000000001, "DHR": 2255.3999328613295, - "DIS": 1666.3499450683591, + "DIS": 1666.4400329589848, "DLR": 2.899772199874486e-14, "DLTR": 1485.6599731445315, "DOV": 0.0, @@ -5774,7 +5774,7 @@ "GM": 0.0, "GNRC": 0.0, "GOOG": 12290.260314941412, - "GOOGL": 13851.810119628912, + "GOOGL": 13852.300598144537, "GPC": 0.0, "GPN": 127.51999664306635, "GRMN": 1352.7800369262693, @@ -5878,7 +5878,7 @@ "MMC": 0.0, "MMM": 0.0, "MNST": 3276.930095672606, - "MO": 2453.099899291992, + "MO": 2453.3999633789067, "MOH": 386.00000000000017, "MOS": 0.0, "MPC": 7774.440124511723, @@ -5934,7 +5934,7 @@ "PEP": 4979.700164794925, "PFE": 0.0, "PFG": 154.75999450683597, - "PG": 149.15499877929673, + "PG": 149.1600036621092, "PGR": 5077.200164794923, "PH": 0.0, "PHM": 619.1400146484375, @@ -6030,7 +6030,7 @@ "UPS": 0.0, "URI": 0.0, "USB": 0.0, - "USDOLLAR": -324.6883798977403, + "USDOLLAR": -324.68835543190477, "V": 6874.920349121089, "VFC": 0.0, "VICI": 0.0, @@ -6070,5 +6070,511 @@ "ZBRA": 0.0, "ZION": 0.0, "ZTS": 0.0 + }, + "2024-01-18 14:30:00+00:00": { + "A": 0.0, + "AAL": 692.1800222396851, + "AAPL": 37160.35087585452, + "ABBV": 8950.027879578303, + "ABNB": 0.0, + "ABT": 2983.5439614055163, + "ACGL": 0.0, + "ACN": -1.7500180244719874e-13, + "ADBE": 7042.800292968749, + "ADI": 0.0, + "ADM": 0.0, + "ADP": 0.0, + "ADSK": 0.0, + "AEE": 0.0, + "AEP": 0.0, + "AES": 0.0, + "AFL": 2721.5100402832045, + "AIG": 0.0, + "AIZ": 330.83999633789074, + "AJG": 0.0, + "AKAM": 0.0, + "ALB": 0.0, + "ALGN": 528.1799926757809, + "ALL": 5.865987175615356e-14, + "ALLE": 0.0, + "AMAT": 1427.9400329589844, + "AMCR": 0.0, + "AMD": 21439.799606323228, + "AME": 0.0, + "AMGN": 7259.039794921874, + "AMP": 2605.469940185548, + "AMT": 1231.4999999999998, + "AMZN": 32234.47090148927, + "ANET": 2039.920043945313, + "ANSS": 989.0700073242185, + "AON": -5.873728760494802e-14, + "AOS": 0.0, + "APA": 0.0, + "APD": 0.0, + "APH": 1342.0400085449219, + "APTV": 79.23999786376955, + "ARE": 0.0, + "ATO": 0.0, + "AVB": 0.0, + "AVGO": 19123.30041503907, + "AVY": 0.0, + "AWK": 0.0, + "AXON": 5523.319946289063, + "AXP": 0.0, + "AZO": 2658.1799316406273, + "BA": 1013.1500244140624, + "BAC": 0.0, + "BALL": 0.0, + "BAX": 0.0, + "BBWI": 0.0, + "BBY": 1142.8800048828139, + "BDX": 0.0, + "BEN": 222.79848631505783, + "BF-B": 0.0, + "BG": 0.0, + "BIIB": 2195.0099945068355, + "BIO": 0.0, + "BK": 0.0, + "BKNG": 3497.9999999999977, + "BKR": 0.0, + "BLDR": 2840.5299377441397, + "BLK": 794.5599975585945, + "BMY": 0.0, + "BR": 0.0, + "BRK-B": 0.0, + "BRO": 147.0, + "BSX": 0.0, + "BWA": 0.0, + "BX": 1295.909973144531, + "BXP": 0.0, + "C": 0.0, + "CAG": 0.0, + "CAH": 104.77999877929688, + "CARR": 20653.00960159302, + "CAT": 0.0, + "CB": 4107.420043945313, + "CBOE": 0.0, + "CBRE": 3521.279846191405, + "CCI": 1194.7100067138679, + "CCL": 0.0, + "CDAY": 0.0, + "CDNS": 0.0, + "CDW": 2422.1999664306645, + "CE": 431.25, + "CEG": 36306.62089538574, + "CF": 6316.799743652346, + "CFG": 0.0, + "CHD": 3039.8599243164076, + "CHRW": 0.0, + "CHTR": 1792.8999328613288, + "CI": 1206.47998046875, + "CINF": 106.70999908447268, + "CL": 1126.0200042724616, + "CLX": 1575.970046997071, + "CMA": 0.0, + "CMCSA": 3812.6082067350917, + "CME": 6269.129867553708, + "CMG": 6842.729736328127, + "CMI": 0.0, + "CMS": 0.0, + "CNC": 746.1000061035154, + "CNP": 0.0, + "COF": 4372.199935913085, + "COO": 0.0, + "COP": 0.0, + "COR": 2841.9300079345685, + "COST": 0.0, + "CPB": 0.0, + "CPRT": 668.9199829101565, + "CPT": 0.0, + "CRL": 0.0, + "CRM": 7512.120239257808, + "CSCO": 4911.591613329912, + "CSGP": 163.6199951171875, + "CSX": 0.0, + "CTAS": 0.0, + "CTLT": 0.0, + "CTRA": 0.0, + "CTSH": 5233.6498947143555, + "CTVA": 45.00000000000001, + "CVS": 0.0, + "CVX": -5.060440746002489e-13, + "CZR": 5094.659843444826, + "D": 0.0, + "DAL": 1380.0999717712405, + "DD": 0.0, + "DE": 1.0798426889512169e-13, + "DFS": 1717.6800155639655, + "DG": 0.0, + "DGX": 0.0, + "DHI": 615.1199951171876, + "DHR": 2255.3999328613295, + "DIS": 1666.3499450683591, + "DLR": 2.874571791381581e-14, + "DLTR": 1485.0, + "DOV": 0.0, + "DOW": 0.0, + "DPZ": 3413.199951171876, + "DRI": 316.8599853515627, + "DTE": 0.0, + "DUK": 96.56999969482419, + "DVA": 1252.920043945313, + "DVN": 0.0, + "DXCM": 3030.2400512695312, + "EA": 2459.1599121093736, + "EBAY": 0.0, + "ECL": 0.0, + "ED": 0.0, + "EFX": 0.0, + "EG": 726.0800170898438, + "EIX": 0.0, + "EL": 0.0, + "ELV": 0.0, + "EMN": 0.0, + "EMR": 0.0, + "ENPH": 4717.680053710939, + "EOG": 0.0, + "EPAM": 1184.4399414062498, + "EQIX": -1.1361460835947329e-13, + "EQR": 0.0, + "EQT": 0.0, + "ES": 0.0, + "ESS": 0.0, + "ETN": 0.0, + "ETR": 0.0, + "ETSY": 0.0, + "EVRG": 0.0, + "EW": 0.0, + "EXC": 0.0, + "EXPD": 634.2499923706051, + "EXPE": 0.0, + "EXR": 5.2733142990896364e-14, + "F": 0.0, + "FANG": 12127.320098876953, + "FAST": 924.5600128173828, + "FCX": 0.0, + "FDS": 920.9799804687506, + "FDX": 3428.8799743652335, + "FE": 0.0, + "FFIV": 715.359985351562, + "FI": 138.00000000000023, + "FICO": 2474.500000000002, + "FIS": 0.0, + "FITB": 0.0, + "FLT": 834.480010986328, + "FMC": 0.0, + "FOX": 0.0, + "FOXA": 0.0, + "FRT": 0.0, + "FSLR": -5.079806414926894e-14, + "FTNT": 1525.0000000000005, + "FTV": 0.0, + "GD": 3.272499013811925e-13, + "GE": 0.0, + "GEHC": 6622.85560765494, + "GEN": 0.0, + "GILD": 3944.9600982666016, + "GIS": 2383.3600463867197, + "GL": 119.8616347892127, + "GLW": 0.0, + "GM": 0.0, + "GNRC": 0.0, + "GOOG": 12335.840209960943, + "GOOGL": 13920.900299072278, + "GPC": 0.0, + "GPN": 128.6000061035155, + "GRMN": 1364.8800201416016, + "GS": 0.0, + "GWW": 0.0, + "HAL": 0.0, + "HAS": 381.11999511718744, + "HBAN": 0.0, + "HCA": 4185.150146484375, + "HD": 11412.160156249996, + "HES": 0.0, + "HIG": 2129.400039672851, + "HII": 1022.6400146484372, + "HLT": -1.1648205162059972e-13, + "HOLX": 583.5999755859377, + "HON": 0.0, + "HPE": 0.0, + "HPQ": 0.0, + "HRL": 0.0, + "HSIC": 0.0, + "HST": 0.0, + "HSY": 5550.020141601559, + "HUBB": 1.1218922171821342e-13, + "HUM": 2354.6400146484384, + "HWM": 971.1000137329104, + "IBM": 0.0, + "ICE": 1886.5499496459972, + "IDXX": 1.0727813635820554e-13, + "IEX": 0.0, + "IFF": 0.0, + "ILMN": 670.6500244140624, + "INCY": 1348.5999832153318, + "INTC": 0.0, + "INTU": 1206.8000488281243, + "INVH": 0.0, + "IP": 0.0, + "IPG": 0.0, + "IQV": 0.0, + "IR": 155.52000427246085, + "IRM": 0.0, + "ISRG": 5178.320068359379, + "IT": 456.670013427735, + "ITW": 0.0, + "IVZ": 0.0, + "J": 0.0, + "JBHT": 0.0, + "JBL": 2941.9200439453125, + "JCI": 0.0, + "JKHY": 1153.8100128173835, + "JNJ": 13941.74999999999, + "JNPR": 0.0, + "JPM": 5727.7392142217495, + "K": 433.9999999999998, + "KDP": 0.0, + "KEY": 0.0, + "KEYS": 0.0, + "KHC": 0.0, + "KIM": 0.0, + "KLAC": -3.4468404867227744e-13, + "KMB": 6975.090156555178, + "KMI": 0.0, + "KMX": 0.0, + "KO": 179.5800018310547, + "KR": 0.0, + "KVUE": 0.0, + "L": 70.7099990844726, + "LDOS": 0.0, + "LEN": 0.0, + "LH": 0.0, + "LHX": 0.0, + "LIN": 4.560469532523054e-13, + "LKQ": 0.0, + "LLY": 1242.5600585937495, + "LMT": 6841.500091552734, + "LNT": 0.0, + "LOW": -2.6282813853684847e-13, + "LRCX": 1551.8000488281252, + "LULU": 3777.52001953125, + "LUV": 28.250000000000018, + "LVS": 680.5400085449219, + "LW": 2530.2300491333012, + "LYB": 3436.9299774169913, + "LYV": 2543.5198974609384, + "MA": 23182.36628953088, + "MAA": 0.0, + "MAR": -5.682096089653634e-13, + "MAS": 0.0, + "MCD": 8704.200439453118, + "MCHP": 3090.960021972654, + "MCK": 0.0, + "MCO": 0.0, + "MDLZ": 0.0, + "MDT": 521.0999908447263, + "MET": 67.41000366210939, + "META": 22289.399414062504, + "MGM": 843.000030517578, + "MHK": 0.0, + "MKC": 0.0, + "MKTX": 1060.0400390624998, + "MLM": 0.0, + "MMC": 0.0, + "MMM": 0.0, + "MNST": 3235.319904327392, + "MO": 2436.6000366210947, + "MOH": 369.570007324219, + "MOS": 0.0, + "MPC": 7729.050155639654, + "MPWR": 598.6699829101556, + "MRK": 4648.020011901857, + "MRNA": 6300.63013458252, + "MRO": 0.0, + "MS": 5683.610122680664, + "MSCI": 0.0, + "MSFT": 37634.06106567381, + "MSI": 0.0, + "MTB": 1469.8199462890632, + "MTCH": 0.0, + "MTD": 0.0, + "MU": 3834.9000549316415, + "NCLH": 0.0, + "NDAQ": 0.0, + "NDSN": 0.0, + "NEE": 0.0, + "NEM": 0.0, + "NFLX": 14880.929962158201, + "NI": 0.0, + "NKE": 202.10000610351557, + "NOC": 475.14001464843716, + "NOW": 2227.259948730468, + "NRG": 0.0, + "NSC": -2.7320167053150837e-14, + "NTAP": 3819.3257392887517, + "NTRS": 0.0, + "NUE": 0.0, + "NVDA": 77300.99670410149, + "NVR": 0.0, + "NWS": 0.0, + "NWSA": 0.0, + "NXPI": 5057.040161132813, + "O": 0.0, + "ODFL": 1515.999999999999, + "OKE": 0.0, + "OMC": 0.0, + "ON": 296.0400085449218, + "ORCL": 7840.533526942407, + "ORLY": 2961.240051269532, + "OTIS": 1540.9800109863288, + "OXY": 0.0, + "PANW": 7401.020080566408, + "PARA": 0.0, + "PAYC": 0.0, + "PAYX": 0.0, + "PCAR": 0.0, + "PCG": 0.0, + "PEAK": 0.0, + "PEG": 0.0, + "PEP": 4964.100036621095, + "PFE": 0.0, + "PFG": 154.3200073242187, + "PG": 149.15499877929673, + "PGR": 5024.100036621093, + "PH": 0.0, + "PHM": 631.1999816894532, + "PKG": 492.480010986328, + "PLD": 0.0, + "PM": 0.0, + "PNC": 0.0, + "PNR": 0.0, + "PNW": 0.0, + "PODD": 2433.7199707031236, + "POOL": 1138.920043945313, + "PPG": 287.35998535156256, + "PPL": 0.0, + "PRU": 1322.8800277709965, + "PSA": 0.0, + "PSX": 2440.9300231933603, + "PTC": 344.6600036621094, + "PWR": 1207.620025634766, + "PXD": -4.82926721233328e-13, + "PYPL": 0.0, + "QCOM": 5582.771804809571, + "QRVO": 0.0, + "RCL": 1361.690010070801, + "REG": 0.0, + "REGN": 1847.9399414062493, + "RF": 0.0, + "RHI": 0.0, + "RJF": 0.0, + "RL": 0.0, + "RMD": 2748.4799804687523, + "ROK": 296.4899902343751, + "ROL": 0.0, + "ROP": 4822.004082214563, + "ROST": 1487.4200134277344, + "RSG": 0.0, + "RTX": 0.0, + "RVTY": 0.0, + "SBAC": 5129.739959716796, + "SBUX": 4597.999954223631, + "SCHW": 189.689998626709, + "SHW": 1509.4500732421889, + "SJM": 130.16999816894523, + "SLB": 0.0, + "SNA": 0.0, + "SNPS": 0.0, + "SO": 831.7199707031251, + "SPG": 0.0, + "SPGI": 0.0, + "SRE": 0.0, + "STE": 438.4800109863282, + "STLD": 676.8599853515623, + "STT": 300.1199951171875, + "STX": 762.3899917602548, + "STZ": 4779.639953613279, + "SWK": 0.0, + "SWKS": 0.0, + "SYF": 0.0, + "SYK": 2526.8000488281245, + "SYY": 0.0, + "T": 0.0, + "TAP": 0.0, + "TDG": 8285.679687500004, + "TDY": 0.0, + "TECH": 0.0, + "TEL": 0.0, + "TER": 0.0, + "TFC": 0.0, + "TFX": 0.0, + "TGT": 0.0, + "TJX": 377.2399902343749, + "TMO": 0.0, + "TMUS": 650.4799804687499, + "TPR": 866.3999633789066, + "TRGP": 1057.5499801635744, + "TRMB": 0.0, + "TROW": 0.0, + "TRV": 0.0, + "TSCO": 2281.7999267578107, + "TSLA": 119717.76269531254, + "TSN": 216.4400024414062, + "TT": 0.0, + "TTWO": 806.6000366210945, + "TXN": 0.0, + "TXT": 0.0, + "TYL": 0.0, + "UAL": 2587.399948120118, + "UBER": 0.0, + "UDR": 0.0, + "UHS": 0.0, + "ULTA": 4722.399902343746, + "UNH": 11989.44067382813, + "UNP": 0.0, + "UPS": 0.0, + "URI": 0.0, + "USB": 0.0, + "USDOLLAR": 430.4661510061832, + "V": 6874.920349121089, + "VFC": 0.0, + "VICI": 0.0, + "VLO": 0.0, + "VLTO": 2.2550043726531156e-13, + "VMC": 0.0, + "VRSK": 0.0, + "VRSN": 1003.7499999999994, + "VRTX": 2157.949981689452, + "VTR": 0.0, + "VTRS": 0.0, + "VZ": 0.0, + "WAB": 0.0, + "WAT": 303.2799987792969, + "WBA": 0.0, + "WBD": 0.0, + "WDC": 105.95999908447264, + "WEC": 0.0, + "WELL": 0.0, + "WFC": 0.0, + "WHR": 0.0, + "WM": 1092.0, + "WMB": 0.0, + "WMT": 10166.940307617193, + "WRB": 0.0, + "WRK": 0.0, + "WST": 0.0, + "WTW": 0.0, + "WY": 0.0, + "WYNN": 2475.8999176025395, + "XEL": 0.0, + "XOM": 0.0, + "XRAY": 0.0, + "XYL": 0.0, + "YUM": 0.0, + "ZBH": 0.0, + "ZBRA": 0.0, + "ZION": 0.0, + "ZTS": 0.0 } } \ No newline at end of file diff --git a/examples/strategies/sp500_daily_target_weights.json b/examples/strategies/sp500_daily_target_weights.json index 1328e378b..635746967 100644 --- a/examples/strategies/sp500_daily_target_weights.json +++ b/examples/strategies/sp500_daily_target_weights.json @@ -6070,5 +6070,511 @@ "ZBRA": 2.2246561255153744e-11, "ZION": 1.7413327768628416e-11, "ZTS": 5.101592226539139e-11 + }, + "2024-01-18 14:30:00+00:00": { + "A": 2.3673243080684154e-09, + "AAL": 0.0007017668268075013, + "AAPL": 0.037674856163279764, + "ABBV": 0.009176954115007435, + "ABNB": 1.0779575989366985e-09, + "ABT": 0.003024862828680452, + "ACGL": 5.8380214476375425e-09, + "ACN": 7.122173643944566e-09, + "ADBE": 0.007108535419972025, + "ADI": 6.444423500871301e-09, + "ADM": 3.940001118643483e-09, + "ADP": 4.7639511626741555e-09, + "ADSK": 5.349424513574236e-09, + "AEE": 2.698095928524438e-09, + "AEP": 2.9588000665775347e-09, + "AES": 1.484443838746698e-09, + "AFL": 0.0027592309416820068, + "AIG": 3.043345045803218e-09, + "AIZ": 0.0003354091069922225, + "AJG": 6.510102524697707e-09, + "AKAM": 4.881232131382611e-09, + "ALB": 2.298794888826931e-09, + "ALGN": 0.0005757599013433133, + "ALL": 8.014831027127221e-09, + "ALLE": 2.0172264430830576e-09, + "AMAT": 0.0014477137957815476, + "AMCR": 7.020969024924268e-10, + "AMD": 0.020938566360899205, + "AME": 3.5009541633356264e-09, + "AMGN": 0.007497744210206074, + "AMP": 0.002647439220180912, + "AMT": 0.0012485785026616237, + "AMZN": 0.03268076330205754, + "ANET": 0.002068238145328711, + "ANSS": 0.0010027430739586237, + "AON": 6.764378838955681e-09, + "AOS": 3.3726292562540615e-09, + "APA": 1.7379583427416501e-09, + "APD": 6.4700417286412224e-09, + "APH": 0.0013606209143900705, + "APTV": 8.032942250736495e-05, + "ARE": 2.568079816721899e-09, + "ATO": 4.546288611364759e-09, + "AVB": 3.6175212192672782e-09, + "AVGO": 0.019395979190934467, + "AVY": 4.202697215413953e-09, + "AWK": 1.0777791390299162e-08, + "AXON": 0.005634976148588455, + "AXP": 7.2086248232375736e-09, + "AZO": 0.002699177884082686, + "BA": 0.0010271766917712864, + "BAC": 3.6379181818611208e-09, + "BALL": 6.851984393730613e-09, + "BAX": 5.937211286306033e-09, + "BBWI": 5.167490989717391e-09, + "BBY": 0.0011587063175337187, + "BDX": 5.057948501610782e-09, + "BEN": 0.00022588646482322127, + "BF-B": 4.6035427733357495e-09, + "BG": 5.630160671575299e-09, + "BIIB": 0.002225417388025708, + "BIO": 1.8861251745476634e-09, + "BK": 2.8914915371490916e-09, + "BKNG": 0.0028061410756259593, + "BKR": 2.143679268775622e-09, + "BLDR": 0.0028861833937774096, + "BLK": 0.0007966759418679657, + "BMY": 1.1773401655994142e-08, + "BR": 6.528181785541073e-09, + "BRK-B": 5.1934286147279424e-09, + "BRO": 0.00014903540529982953, + "BSX": 6.450640049162733e-09, + "BWA": 4.015886602188236e-09, + "BX": 0.0013138498126119874, + "BXP": 3.3053198718235556e-09, + "C": 4.75260380170878e-09, + "CAG": 7.038958696121571e-09, + "CAH": 0.00010622378196965228, + "CARR": 0.020996437663570858, + "CAT": 2.7873371225806683e-09, + "CB": 0.004164278071911413, + "CBOE": 9.055844336285767e-09, + "CBRE": 0.0036335553939934543, + "CCI": 0.001222917711009122, + "CCL": 1.4477038786349905e-09, + "CDAY": 1.1007615127025444e-09, + "CDNS": 1.2543019266736308e-08, + "CDW": 0.0024557505449786343, + "CE": 0.00043718645265668606, + "CEG": 0.03687800092984291, + "CF": 0.006462672375103154, + "CFG": 2.8580798052931098e-09, + "CHD": 0.0031460119245667892, + "CHRW": 5.665342947563347e-09, + "CHTR": 0.0018175291456939936, + "CI": 0.0012231153264132871, + "CINF": 0.00010818854540831876, + "CL": 0.0011416162573738892, + "CLX": 0.0016159944013155961, + "CMA": 2.522970394314645e-09, + "CMCSA": 0.0038707277409373033, + "CME": 0.006367011702183006, + "CMG": 0.00661804512613445, + "CMI": 4.076262281025749e-09, + "CMS": 2.8364914196803746e-09, + "CNC": 0.0007564351903155483, + "CNP": 2.24451614928437e-09, + "COF": 0.004531629481505292, + "COO": 5.345011151365431e-09, + "COP": 4.931184164113686e-09, + "COR": 0.0028812810012288793, + "COST": 4.132650630516359e-09, + "CPB": 7.393986652625454e-09, + "CPRT": 0.0006781852280696682, + "CPT": 2.921756006801835e-09, + "CRL": 1.3920323550493976e-09, + "CRM": 0.007618213340219573, + "CSCO": 0.004979605915779554, + "CSGP": 0.00016586453830364246, + "CSX": 4.4329764355145585e-09, + "CTAS": 5.8069663512572644e-09, + "CTLT": 1.4764532554127653e-09, + "CTRA": 1.8645903652060783e-09, + "CTSH": 0.005315866334244407, + "CTVA": 4.562286187877004e-05, + "CVS": 4.095474940825308e-09, + "CVX": 1.0034549209599881e-08, + "CZR": 0.005198402377495551, + "D": 7.012004614688249e-09, + "DAL": 0.0013992120920974238, + "DD": 3.1437221195389662e-09, + "DE": 8.20471015878525e-09, + "DFS": 0.0017418805288379681, + "DG": 4.6850843009478644e-09, + "DGX": 7.095739462070399e-09, + "DHI": 0.000623594927283932, + "DHR": 0.0022865986910672606, + "DIS": 0.0016894235166038402, + "DLR": 1.1284757629347368e-08, + "DLTR": 0.001505566462673943, + "DOV": 3.3242296407801217e-09, + "DOW": 4.0053101889005735e-09, + "DPZ": 0.003490326903691508, + "DRI": 0.0003127913285221093, + "DTE": 5.056043406785522e-09, + "DUK": 9.790617359695824e-05, + "DVA": 0.001323889608620733, + "DVN": 1.5591068120825307e-09, + "DXCM": 0.0031110557749100248, + "EA": 0.002493230618717598, + "EBAY": 4.764799871099305e-09, + "ECL": 3.291422790047002e-09, + "ED": 8.638594341224197e-09, + "EFX": 4.251214350860492e-09, + "EG": 0.0007170567769180198, + "EIX": 6.0602572486718534e-09, + "EL": 3.2338120982025922e-09, + "ELV": 1.1364761446376632e-08, + "EMN": 2.971517411047864e-09, + "EMR": 2.665280236665397e-09, + "ENPH": 0.00478988382048537, + "EOG": 3.8350831195813786e-09, + "EPAM": 0.001200820066929124, + "EQIX": 1.0488366148181939e-06, + "EQR": 2.910712763286571e-09, + "EQT": 1.8871272449755245e-09, + "ES": 2.384131625950144e-09, + "ESS": 5.055746344977111e-09, + "ETN": 3.7080541317515643e-09, + "ETR": 5.2840350707635676e-09, + "ETSY": 2.3789449199477814e-09, + "EVRG": 1.9617468050287105e-09, + "EW": 9.718817334077471e-09, + "EXC": 3.150511146631442e-09, + "EXPD": 0.0006430333206973761, + "EXPE": 7.3310436963819495e-09, + "EXR": 1.41936665356153e-08, + "F": 1.0786768127037227e-09, + "FANG": 0.01236388325864942, + "FAST": 0.0009373666976811809, + "FCX": 2.3210441417565494e-09, + "FDS": 0.0009114068039522703, + "FDX": 0.0034763846211994104, + "FE": 2.66481048028156e-09, + "FFIV": 0.0007252839127385535, + "FI": 0.00013987857587579127, + "FICO": 0.002530763180736718, + "FIS": 2.5861461487442693e-09, + "FITB": 7.415602869084061e-09, + "FLT": 0.0008328650470943032, + "FMC": 6.31501149045141e-09, + "FOX": 1.322794592733055e-09, + "FOXA": 1.9242706225914587e-09, + "FRT": 2.3964793712840464e-09, + "FSLR": 6.374027875265122e-09, + "FTNT": 0.001546115245234143, + "FTV": 1.6375755857781122e-09, + "GD": 1.484862739313135e-08, + "GE": 4.0458116692514656e-09, + "GEHC": 0.006714551247640871, + "GEN": 4.4163343542688785e-09, + "GILD": 0.0039995902971907945, + "GIS": 0.002416374690051575, + "GL": 0.00012151393713635959, + "GLW": 2.036224652262307e-09, + "GM": 1.6589198728911757e-09, + "GNRC": 2.027788534574407e-09, + "GOOG": 0.012506641142407128, + "GOOGL": 0.014113645161654413, + "GPC": 1.142514371055277e-08, + "GPN": 0.00013036134083675423, + "GRMN": 0.001383781559765262, + "GS": 5.196774491102519e-09, + "GWW": 2.109618414332533e-09, + "HAL": 1.7319713217604253e-09, + "HAS": 0.00040422991640930427, + "HBAN": 1.4068680644002933e-09, + "HCA": 0.004239958941320467, + "HD": 0.01157015567909709, + "HES": 6.038660181566892e-09, + "HIG": 0.0021594931445890427, + "HII": 0.0010368162857521304, + "HLT": 1.0428726828931134e-08, + "HOLX": 0.0005916832299578368, + "HON": 2.7280616103473506e-09, + "HPE": 1.0716753537902296e-09, + "HPQ": 1.7912251240551725e-09, + "HRL": 6.479557521871137e-09, + "HSIC": 5.360463990547927e-09, + "HST": 2.650841972310753e-09, + "HSY": 0.005670340236548976, + "HUBB": 3.572477058942105e-05, + "HUM": 0.0023857059822947843, + "HWM": 0.0009845496319395486, + "IBM": 2.9289874626052575e-09, + "ICE": 0.0019126749426316052, + "IDXX": 2.30166409601041e-08, + "IEX": 3.514533356341682e-09, + "IFF": 2.387907440310978e-09, + "ILMN": 0.000679952242566991, + "INCY": 0.0013677784774415714, + "INTC": 5.007136298184772e-09, + "INTU": 0.0012234823397872924, + "INVH": 1.5330553396486761e-09, + "IP": 2.4734317814604373e-09, + "IPG": 4.676742378135185e-09, + "IQV": 2.0232695504735593e-09, + "IR": 0.00015766979491472707, + "IRM": 3.1342072118204883e-09, + "ISRG": 0.005250325901340898, + "IT": 0.00045590327468914075, + "ITW": 3.50326348092542e-09, + "IVZ": 1.7206712564427295e-09, + "J": 5.0089325601397665e-09, + "JBHT": 4.543117072146266e-09, + "JBL": 0.0029830215966763864, + "JCI": 3.5033383245448065e-09, + "JKHY": 0.001242097463533662, + "JNJ": 0.014134789057934293, + "JNPR": 2.2529750672804733e-09, + "JPM": 0.005807032535850616, + "K": 0.0004400223120960306, + "KDP": 5.6099881474452856e-09, + "KEY": 1.2048505168563533e-09, + "KEYS": 3.1384386970846927e-09, + "KHC": 1.1675392376466186e-09, + "KIM": 1.5681112594210235e-09, + "KLAC": 1.2450326902595384e-08, + "KMB": 0.007259295163342207, + "KMI": 8.249459682751053e-10, + "KMX": 2.7035075264327016e-09, + "KO": 0.0001820693910453141, + "KR": 5.084235683649005e-09, + "KVUE": 3.678238326680412e-10, + "L": 7.1688874588581e-05, + "LDOS": 2.036567681706837e-09, + "LEN": 9.387027861281481e-09, + "LH": 2.2121433522038606e-09, + "LHX": 5.424232288614057e-09, + "LIN": 1.932435755144478e-08, + "LKQ": 6.381232550204876e-09, + "LLY": 0.0012597768343847102, + "LMT": 0.007087128415130822, + "LNT": 2.2236810216755978e-09, + "LOW": 1.2550393142186894e-08, + "LRCX": 0.0012566720729236167, + "LULU": 0.0038268089424838532, + "LUV": 2.864350224808273e-05, + "LVS": 0.000689972660572485, + "LW": 0.0025654747783035174, + "LYB": 0.0034849791484276027, + "LYV": 0.0026106367297694653, + "MA": 0.023719325988273927, + "MAA": 3.76910463273144e-09, + "MAR": 1.4992473400520473e-08, + "MAS": 3.6409311219356942e-09, + "MCD": 0.00882470715513368, + "MCHP": 0.0031407325213960837, + "MCK": 2.3528231819389572e-08, + "MCO": 2.0218231155283685e-09, + "MDLZ": 2.7932278647483226e-09, + "MDT": 0.0005283166871599471, + "MET": 6.834342034511549e-05, + "META": 0.022597998555756327, + "MGM": 0.0008546892074885226, + "MHK": 7.759108901399663e-09, + "MKC": 4.247887467511445e-09, + "MKTX": 0.001172336948549355, + "MLM": 2.7810018175557008e-09, + "MMC": 2.6791761246297224e-09, + "MMM": 4.85795165244042e-09, + "MNST": 0.0033056220395243736, + "MO": 0.0024703414649866313, + "MOH": 0.00039614991960061494, + "MOS": 1.3738780193193113e-09, + "MPC": 0.007836209050326871, + "MPWR": 0.0005737616314110744, + "MRK": 0.004712517701779797, + "MRNA": 0.006432866135992721, + "MRO": 8.595756618698724e-10, + "MS": 0.00576518762466454, + "MSCI": 2.039635620709583e-08, + "MSFT": 0.03815513324320484, + "MSI": 4.6302114818087634e-09, + "MTB": 0.001579783063291834, + "MTCH": 3.803893553972332e-09, + "MTD": 8.723330345213146e-09, + "MU": 0.0038880001241561797, + "NCLH": 2.95534934307898e-09, + "NDAQ": 4.536729705339838e-09, + "NDSN": 3.263488812444645e-09, + "NEE": 2.9921382329720787e-09, + "NEM": 4.25359591260038e-09, + "NFLX": 0.01508707437328268, + "NI": 1.8083629131248219e-09, + "NKE": 0.00020488460029876478, + "NOC": 0.00048169035870933497, + "NOW": 0.0022484705699915993, + "NRG": 4.028803537531258e-09, + "NSC": 9.618656713577627e-09, + "NTAP": 0.003910886807355579, + "NTRS": 3.918349888980905e-09, + "NUE": 5.14529553485232e-09, + "NVDA": 0.07731435122227233, + "NVR": 0.0008301508117026127, + "NWS": 1.4040666034358438e-09, + "NWSA": 1.4155906841128332e-09, + "NXPI": 0.005129800272432317, + "O": 5.809362684211411e-09, + "ODFL": 0.0015369576091893925, + "OKE": 3.604041046560131e-09, + "OMC": 5.095226683972553e-09, + "ON": 0.00030013596931472434, + "ORCL": 0.007967014832107754, + "ORLY": 0.0029957455632654627, + "OTIS": 0.0015623093163888951, + "OXY": 2.6074059667075637e-09, + "PANW": 0.007506121333236271, + "PARA": 1.372751165932816e-09, + "PAYC": 9.894695992377393e-09, + "PAYX": 1.1219036417615959e-08, + "PCAR": 7.52985346325795e-09, + "PCG": 1.658306225990352e-09, + "PEAK": 1.3764397596429285e-09, + "PEG": 6.6807220608976044e-09, + "PEP": 0.005032833667041873, + "PFE": 3.3820794100863775e-09, + "PFG": 0.00015645920797781906, + "PG": 0.00015121067490994115, + "PGR": 0.005093689652240057, + "PH": 3.5433400275611645e-09, + "PHM": 0.0006399426610663508, + "PKG": 0.0004992868592714927, + "PLD": 3.7873989070657305e-09, + "PM": 7.97005219602358e-09, + "PNC": 1.1356177697840357e-08, + "PNR": 2.130733799155773e-09, + "PNW": 2.550853065772489e-09, + "PODD": 0.002528742902612659, + "POOL": 0.0011546913353140294, + "PPG": 0.0002913316085499426, + "PPL": 2.8213025038167827e-09, + "PRU": 0.0013412043337465845, + "PSA": 3.634759756711706e-09, + "PSX": 0.002474725783633163, + "PTC": 0.0003494068563522889, + "PWR": 0.0012243587000641558, + "PXD": 8.169992061884107e-09, + "PYPL": 1.0820543481180873e-09, + "QCOM": 0.005660100807030758, + "QRVO": 9.189168997745732e-10, + "RCL": 0.0013805413274947317, + "REG": 2.395257005220661e-09, + "REGN": 0.0018685939144878524, + "RF": 1.6124115420874995e-09, + "RHI": 3.836245839420178e-09, + "RJF": 9.616625454762072e-09, + "RL": 4.499623756450959e-09, + "RMD": 0.0028180464176376634, + "ROK": 0.0003005572802593101, + "ROL": 2.4758076914691722e-09, + "ROP": 0.004888753044065838, + "ROST": 0.0015080097779262066, + "RSG": 5.3363918555425905e-09, + "RTX": 8.150730673627075e-09, + "RVTY": 1.862393628852617e-09, + "SBAC": 0.005338020028584726, + "SBUX": 0.0046616614555229485, + "SCHW": 0.00019231767697906472, + "SHW": 0.0015303236378710094, + "SJM": 0.00013196947867274923, + "SLB": 1.7579977756368979e-09, + "SNA": 4.861811808102414e-09, + "SNPS": 2.928951439965982e-09, + "SO": 0.0008432408924584255, + "SPG": 3.781085996207423e-09, + "SPGI": 3.496802081253432e-09, + "SRE": 7.421394815651215e-09, + "STE": 0.00044453924176543334, + "STLD": 0.0006862252237381834, + "STT": 0.00030427743545142447, + "STX": 0.0007729454683933206, + "STZ": 0.004845863509601235, + "SWK": 4.215800203033818e-09, + "SWKS": 1.9191285773242143e-09, + "SYF": 3.4893402914410038e-09, + "SYK": 0.0025617926838178238, + "SYY": 4.397940450277983e-09, + "T": 3.5849685752095557e-09, + "TAP": 6.994622498232798e-09, + "TDG": 0.008682669967289508, + "TDY": 1.1760429465037562e-08, + "TECH": 9.448914782382203e-09, + "TEL": 3.6891482697924494e-09, + "TER": 2.454010665559539e-09, + "TFC": 2.6758302290583114e-09, + "TFX": 9.3572502455e-09, + "TGT": 4.2171518446502915e-09, + "TJX": 0.00038245661453709427, + "TMO": 8.03303871334727e-09, + "TMUS": 0.0006594789876543903, + "TPR": 0.0008784208602315403, + "TRGP": 0.0010721900908951983, + "TRMB": 2.912361743376285e-09, + "TROW": 4.9008298689615686e-09, + "TRV": 6.544147331039029e-09, + "TSCO": 0.0023134044820083163, + "TSLA": 0.12137524901061782, + "TSN": 0.0002194393974305083, + "TT": 3.785948361088908e-09, + "TTWO": 0.000817776345057104, + "TXN": 3.5270172964137176e-09, + "TXT": 2.374646322384711e-09, + "TYL": 6.383789534466914e-09, + "UAL": 0.0026232470723437894, + "UBER": 1.678399912676306e-09, + "UDR": 1.8064153785882893e-09, + "UHS": 2.6784024629299453e-09, + "ULTA": 0.004943547679860418, + "UNH": 0.012306110742930025, + "UNP": 5.886754661844575e-09, + "UPS": 1.731989780782968e-09, + "URI": 6.365768424491356e-09, + "USB": 3.052245475601674e-09, + "USDOLLAR": 1.1846329058266456e-06, + "V": 0.006970072434300394, + "VFC": 1.3318099251700755e-09, + "VICI": 1.864037400581791e-09, + "VLO": 5.252645715261439e-09, + "VLTO": 1.4294360053369794e-09, + "VMC": 1.734234526601084e-09, + "VRSK": 3.766789603576537e-09, + "VRSN": 0.0010176310816868096, + "VRTX": 0.0021878351391040086, + "VTR": 3.5331251948339943e-09, + "VTRS": 1.2673299931163547e-09, + "VZ": 7.0751549544643925e-09, + "WAB": 2.7089541447709835e-09, + "WAT": 0.00030750626614898895, + "WBA": 2.834056662643071e-09, + "WBD": 9.256221351591642e-10, + "WDC": 0.00010742666239205566, + "WEC": 9.176166253445907e-09, + "WELL": 3.357329918256063e-09, + "WFC": 7.528990147376764e-09, + "WHR": 4.506282710050383e-09, + "WM": 0.0011071021674166593, + "WMB": 7.38722351607113e-09, + "WMT": 0.01030772509124662, + "WRB": 6.416080534883341e-09, + "WRK": 1.4039146256215137e-09, + "WST": 2.6335902095375685e-09, + "WTW": 6.329627877892064e-09, + "WY": 1.7267087710700845e-09, + "WYNN": 0.0025249191046441155, + "XEL": 3.227353448162155e-09, + "XOM": 5.521174520538407e-09, + "XRAY": 5.647454767113492e-09, + "XYL": 4.720705479160813e-09, + "YUM": 7.637975860722774e-09, + "ZBH": 2.3733486195913984e-09, + "ZBRA": 2.4574782644957955e-09, + "ZION": 2.0097473064814527e-09, + "ZTS": 5.75334458572313e-09 } } \ No newline at end of file From b0cfaba83d0618c2046a6c84d68907489651798b Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Fri, 19 Jan 2024 19:00:15 +0400 Subject: [PATCH 07/14] [auto commit] dow30_daily reconciliation & execution on 2024-01-19 --- .../dow30_daily_initial_holdings.json | 57 +++++++++++++++---- .../dow30_daily_target_weights.json | 33 +++++++++++ 2 files changed, 78 insertions(+), 12 deletions(-) diff --git a/examples/strategies/dow30_daily_initial_holdings.json b/examples/strategies/dow30_daily_initial_holdings.json index 7a1b80fae..5c73c173b 100644 --- a/examples/strategies/dow30_daily_initial_holdings.json +++ b/examples/strategies/dow30_daily_initial_holdings.json @@ -495,36 +495,69 @@ "WMT": 9037.280273437498 }, "2024-01-18 14:30:00+00:00": { - "AAPL": 233657.0355072022, - "AMGN": 31758.29910278318, + "AAPL": 239870.00527954093, + "AMGN": 31736.249999999975, "AXP": 0.0, "BA": 0.0, "CAT": 0.0, - "CRM": 93364.92297363277, - "CSCO": 48002.03556666457, + "CRM": 95003.99999999994, + "CSCO": 48059.36050387224, "CVX": 0.0, "DIS": 0.0, "DOW": 0.0, "GS": 0.0, - "HD": 118757.79162597653, + "HD": 118587.95837402336, "HON": 0.0, "IBM": 0.0, "INTC": 0.0, "JNJ": 0.0, "JPM": 0.0, "KO": 0.0, - "MCD": 1.3532349030516588e-12, + "MCD": 1.3623297646676173e-12, "MMM": 0.0, "MRK": 0.0, - "MSFT": 294864.80834960926, - "NKE": 1.381572906108756e-12, + "MSFT": 297707.2009277345, + "NKE": 1.3808892558421066e-12, "PG": 0.0, "TRV": 0.0, - "UNH": 98521.9255371094, - "USDOLLAR": -114.48125028837835, - "V": 74830.86380004883, + "UNH": 95488.47207641607, + "USDOLLAR": -114.48125271463371, + "V": 75810.04138183597, "VZ": 0.0, "WBA": 0.0, - "WMT": 9037.280273437498 + "WMT": 9024.960205078121 + }, + "2024-01-19 14:30:00+00:00": { + "AAPL": 239881.11231994638, + "AMGN": 32301.381164550756, + "AXP": 0.0, + "BA": 0.0, + "CAT": 0.0, + "CRM": 95395.95336914055, + "CSCO": 48844.56575677789, + "CVX": 0.0, + "DIS": 0.0, + "DOW": 0.0, + "GS": 0.0, + "HD": 120560.15917968747, + "HON": 0.0, + "IBM": 0.0, + "INTC": 0.0, + "JNJ": 0.0, + "JPM": 0.0, + "KO": 0.0, + "MCD": 1.3898944673247821e-12, + "MMM": 0.0, + "MRK": 0.0, + "MSFT": 300381.8474121093, + "NKE": 1.3811626533625349e-12, + "PG": 0.0, + "TRV": 0.0, + "UNH": 101455.00000000004, + "USDOLLAR": -306.8671889118696, + "V": 75626.75793457037, + "VZ": 0.0, + "WBA": 0.0, + "WMT": 9152.079589843746 } } \ No newline at end of file diff --git a/examples/strategies/dow30_daily_target_weights.json b/examples/strategies/dow30_daily_target_weights.json index 641318d52..10cab1fc4 100644 --- a/examples/strategies/dow30_daily_target_weights.json +++ b/examples/strategies/dow30_daily_target_weights.json @@ -526,5 +526,38 @@ "VZ": 4.362604887638537e-10, "WBA": 6.562824345069952e-10, "WMT": 0.008953651132257321 + }, + "2024-01-19 14:30:00+00:00": { + "AAPL": 0.2344210824768278, + "AMGN": 0.03156614262610602, + "AXP": 1.0942508326391408e-09, + "BA": 2.309239326342779e-09, + "CAT": 9.760448613806933e-10, + "CRM": 0.09333400722960233, + "CSCO": 0.04773281603092428, + "CVX": 1.0631109092161084e-09, + "DIS": 1.6149589314769738e-09, + "DOW": 1.598623626589846e-09, + "GS": 1.0384399762680213e-09, + "HD": 0.11781686466148543, + "HON": 7.633169393922128e-10, + "IBM": 6.027256082287746e-10, + "INTC": 1.9079109160059e-09, + "JNJ": 1.5387836525614194e-09, + "JPM": 2.2598112707601467e-09, + "KO": 1.1157466343461024e-09, + "MCD": 3.843716444761333e-09, + "MMM": 7.093604701922769e-10, + "MRK": 1.2343705040199947e-09, + "MSFT": 0.2933507289411806, + "NKE": 4.914034844076467e-09, + "PG": 9.0242881644393e-10, + "TRV": 8.241310158707963e-10, + "UNH": 0.09914570369786983, + "USDOLLAR": 8.613123400266764e-09, + "V": 0.0738765700740863, + "VZ": 7.765445125507747e-10, + "WBA": 1.1399866753400675e-09, + "WMT": 0.008756043421257409 } } \ No newline at end of file From b083e9d76f0258213de3c45672e44db7e3d294d6 Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Fri, 19 Jan 2024 19:00:42 +0400 Subject: [PATCH 08/14] [auto commit] ndx100_daily reconciliation & execution on 2024-01-19 --- .../ndx100_daily_initial_holdings.json | 118 ++++++++++++++++-- .../ndx100_daily_target_weights.json | 104 +++++++++++++++ 2 files changed, 215 insertions(+), 7 deletions(-) diff --git a/examples/strategies/ndx100_daily_initial_holdings.json b/examples/strategies/ndx100_daily_initial_holdings.json index 197c8c1ff..c9c656359 100644 --- a/examples/strategies/ndx100_daily_initial_holdings.json +++ b/examples/strategies/ndx100_daily_initial_holdings.json @@ -1456,7 +1456,7 @@ "ZS": 8011.499786376954 }, "2024-01-18 14:30:00+00:00": { - "AAPL": 66707.36157226565, + "AAPL": 68481.11865234374, "ABNB": 0.0, "ADBE": 11738.000488281245, "ADI": 0.0, @@ -1465,7 +1465,7 @@ "AEP": 0.0, "AMAT": 4125.160095214845, "AMD": 38225.99929809569, - "AMGN": 10888.559692382818, + "AMGN": 10881.000000000004, "AMZN": 54386.12152099608, "ANSS": 0.0, "ASML": 9420.83990478516, @@ -1483,7 +1483,7 @@ "COST": 0.0, "CPRT": 0.0, "CRWD": 4225.050201416011, - "CSCO": 14552.188692198073, + "CSCO": 14569.56719069645, "CSGP": 0.0, "CSX": 0.0, "CTAS": 0.0, @@ -1505,7 +1505,7 @@ "HON": 0.0, "IDXX": 0.0, "ILMN": 0.0, - "INTC": 2320.7550048828134, + "INTC": 2351.499938964844, "INTU": 0.0, "ISRG": 5548.200073242188, "KDP": 0.0, @@ -1522,7 +1522,7 @@ "MNST": 4313.759872436522, "MRNA": 7900.7901687622325, "MRVL": 0.0, - "MSFT": 59748.92169189449, + "MSFT": 60324.88018798828, "MU": 7678.472851738997, "NFLX": 21601.34994506834, "NVDA": 134560.9942626953, @@ -1536,7 +1536,7 @@ "PDD": 9376.250000000027, "PEP": 0.0, "PYPL": 0.0, - "QCOM": 8159.435714721689, + "QCOM": 8159.5496520996185, "REGN": 3695.8798828124964, "ROP": 0.0, "ROST": 135.22000122070312, @@ -1550,7 +1550,7 @@ "TTD": 13614.389305114757, "TTWO": 483.9600219726563, "TXN": 0.0, - "USDOLLAR": -926.7223233149474, + "USDOLLAR": -926.7221727663716, "VRSK": 0.0, "VRTX": 1294.7699890136723, "WBA": 0.0, @@ -1558,5 +1558,109 @@ "WDAY": 0.0, "XEL": 0.0, "ZS": 7600.22991943359 + }, + "2024-01-19 14:30:00+00:00": { + "AAPL": 68537.46066284183, + "ABNB": 0.0, + "ADBE": 12470.009948730461, + "ADI": 0.0, + "ADP": 0.0, + "ADSK": 0.0, + "AEP": 0.0, + "AMAT": 4226.820190429688, + "AMD": 37139.20068359375, + "AMGN": 10970.280395507816, + "AMZN": 55071.14065551757, + "ANSS": 0.0, + "ASML": 9730.50000000001, + "AVGO": 27775.441406249993, + "AZN": 0.0, + "BIIB": 3457.440093994139, + "BKNG": 7123.779785156255, + "BKR": 0.0, + "CCEP": 0.0, + "CDNS": 0.0, + "CDW": 902.9600219726557, + "CEG": 35552.549026489374, + "CHTR": 0.0, + "CMCSA": 7581.020027160643, + "COST": 0.0, + "CPRT": 0.0, + "CRWD": 4274.999999999998, + "CSCO": 14699.911454134934, + "CSGP": 0.0, + "CSX": 0.0, + "CTAS": 0.0, + "CTSH": 8025.259902954103, + "DASH": 0.0, + "DDOG": 0.0, + "DLTR": 4505.68014526367, + "DXCM": 4194.960090637206, + "EA": 4162.4999999999945, + "EXC": 0.0, + "FANG": 2395.679931640625, + "FAST": 340.40000915527327, + "FTNT": 1600.2999801635742, + "GEHC": 2644.0199890136723, + "GFS": 457.519989013672, + "GILD": 7083.1597747802725, + "GOOG": 27651.64361572266, + "GOOGL": 14039.78053283692, + "HON": 0.0, + "IDXX": 0.0, + "ILMN": 0.0, + "INTC": 2303.0, + "INTU": 614.8800048828126, + "ISRG": 5984.000000000002, + "KDP": 0.0, + "KHC": 0.0, + "KLAC": 0.0, + "LRCX": 3194.7199707031255, + "LULU": 6688.640136718749, + "MAR": 0.0, + "MCHP": 5773.680221557614, + "MDB": 11071.480102539068, + "MDLZ": 0.0, + "MELI": 6680.0, + "META": 40173.99999999998, + "MNST": 4366.200057983397, + "MRNA": 7775.970024108913, + "MRVL": 0.0, + "MSFT": 61342.80151367184, + "MU": 7582.038012496768, + "NFLX": 22309.080505371086, + "NVDA": 136274.15344238284, + "NXPI": 6613.53988647461, + "ODFL": 766.6199951171876, + "ON": 222.5999908447265, + "ORLY": 5078.099975585938, + "PANW": 9846.369964599606, + "PAYX": 0.0, + "PCAR": 0.0, + "PDD": 9000.959960937525, + "PEP": 0.0, + "PYPL": 0.0, + "QCOM": 8394.10496520997, + "REGN": 3732.719970703122, + "ROP": 0.0, + "ROST": 137.8600006103515, + "SBUX": 6708.960021972654, + "SIRI": 2527.559972763061, + "SNPS": 0.0, + "SPLK": 0.0, + "TEAM": 0.0, + "TMUS": 164.38000488281253, + "TSLA": 203060.33531188974, + "TTD": 13006.640121459977, + "TTWO": 482.66999816894537, + "TXN": 0.0, + "USDOLLAR": -1344.1051811016562, + "VRSK": 0.0, + "VRTX": 1300.5599670410168, + "WBA": 0.0, + "WBD": 0.0, + "WDAY": 0.0, + "XEL": 0.0, + "ZS": 7557.000000000001 } } \ No newline at end of file diff --git a/examples/strategies/ndx100_daily_target_weights.json b/examples/strategies/ndx100_daily_target_weights.json index 06e416853..03a44a7b2 100644 --- a/examples/strategies/ndx100_daily_target_weights.json +++ b/examples/strategies/ndx100_daily_target_weights.json @@ -1454,5 +1454,109 @@ "WDAY": 1.0345332647798194e-08, "XEL": 7.028257690674349e-09, "ZS": 0.007685865990443595 + }, + "2024-01-19 14:30:00+00:00": { + "AAPL": 0.06939258725579395, + "ABNB": 3.0523966989173046e-09, + "ADBE": 0.01248544226807314, + "ADI": 2.8864325112731434e-08, + "ADP": 1.0528550025540278e-08, + "ADSK": 2.629827433432123e-08, + "AEP": 4.651708280732266e-09, + "AMAT": 0.004311044369566575, + "AMD": 0.03831032915328838, + "AMGN": 0.010730815536062943, + "AMZN": 0.05616216137585218, + "ANSS": 3.336162498936425e-08, + "ASML": 0.009918325476270381, + "AVGO": 0.027836392031575046, + "AZN": 9.738108681750512e-09, + "BIIB": 0.00348364043436978, + "BKNG": 0.0061013398359424775, + "BKR": 5.4766283247084646e-09, + "CCEP": 3.132786947717918e-08, + "CDNS": 4.9408545428248456e-08, + "CDW": 0.0010427750197289883, + "CEG": 0.036123620559613163, + "CHTR": 6.561270617967051e-08, + "CMCSA": 0.007767372976301277, + "COST": 3.8256828982134035e-08, + "CPRT": 5.445162569884205e-08, + "CRWD": 0.004338325548282777, + "CSCO": 0.015061240149155743, + "CSGP": 6.759649411262949e-08, + "CSX": 1.6090330341077586e-08, + "CTAS": 8.670365963833912e-09, + "CTSH": 0.008222650098780482, + "DASH": -1.5265966590329809e-09, + "DDOG": 1.6809677194770823e-07, + "DLTR": 0.0046164685044020395, + "DXCM": 0.004319104796126937, + "EA": 0.004087809333726721, + "EXC": 6.050428211380757e-09, + "FANG": 0.0024686977230176294, + "FAST": 0.00034895409011359026, + "FTNT": 0.001666984214658208, + "GEHC": 0.0026533397802430093, + "GFS": 0.0004686195615064023, + "GILD": 0.0072550330348988825, + "GOOG": 0.02833113071683076, + "GOOGL": 0.014233312391421317, + "HON": 7.943141860844556e-09, + "IDXX": 1.7749368882542816e-08, + "ILMN": 6.854417176547017e-08, + "INTC": 0.002359627047973545, + "INTU": 0.0005922488307058131, + "ISRG": 0.006117664345566189, + "KDP": 4.437321358351441e-08, + "KHC": 4.469610683396838e-09, + "KLAC": 1.0414695338936126e-07, + "LRCX": 0.002831584018954851, + "LULU": 0.00685270016574261, + "MAR": 2.443348936151229e-08, + "MCHP": 0.0059158340720235555, + "MDB": 0.01125630770635356, + "MDLZ": 1.2427143743608762e-08, + "MELI": 0.007484117094883656, + "META": 0.040756851846519074, + "MNST": 0.004471133801755743, + "MRNA": 0.007967007686294983, + "MRVL": 2.1535131960460565e-08, + "MSFT": 0.062225778831900946, + "MU": 0.007670523002354139, + "NFLX": 0.02274184918906398, + "NVDA": 0.13817337834025453, + "NXPI": 0.006772945720962716, + "ODFL": 0.000782716804915079, + "ON": 0.0002281542054336001, + "ORLY": 0.004593593774712196, + "PANW": 0.010088093715601501, + "PAYX": 2.150592107445209e-08, + "PCAR": 1.5357651731508422e-08, + "PDD": 0.009221141917050804, + "PEP": 7.015658535374298e-08, + "PYPL": 7.999593623929177e-09, + "QCOM": 0.008599895512685337, + "REGN": 0.0036979720059748086, + "ROP": 9.485466000049168e-08, + "ROST": 0.00014102538575092756, + "SBUX": 0.006873035561161653, + "SIRI": 0.002589706314939557, + "SNPS": 1.1119243287505321e-08, + "SPLK": 6.304485187369243e-09, + "TEAM": 4.740936640934574e-05, + "TMUS": 8.615712941508521e-07, + "TSLA": 0.21456560939127114, + "TTD": 0.013206615106827984, + "TTWO": 0.0005050993935163407, + "TXN": 1.988047935983768e-08, + "USDOLLAR": -3.307986198202231e-08, + "VRSK": 1.3359419129970238e-08, + "VRTX": 0.001341244120160727, + "WBA": 2.5700248907147625e-08, + "WBD": 5.306923943334351e-09, + "WDAY": 1.1688183039387943e-08, + "XEL": 7.550360087052139e-09, + "ZS": 0.007589548582278191 } } \ No newline at end of file From 4ec1a2c7ec23907c0e0c7a0bd9078f5814cc879d Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Fri, 19 Jan 2024 19:02:34 +0400 Subject: [PATCH 09/14] [auto commit] sp500_daily reconciliation & execution on 2024-01-19 --- .../sp500_daily_initial_holdings.json | 558 +++++++++++++++++- .../sp500_daily_target_weights.json | 506 ++++++++++++++++ 2 files changed, 1038 insertions(+), 26 deletions(-) diff --git a/examples/strategies/sp500_daily_initial_holdings.json b/examples/strategies/sp500_daily_initial_holdings.json index 1aaabe7e4..5274819f8 100644 --- a/examples/strategies/sp500_daily_initial_holdings.json +++ b/examples/strategies/sp500_daily_initial_holdings.json @@ -6074,7 +6074,7 @@ "2024-01-18 14:30:00+00:00": { "A": 0.0, "AAL": 692.1800222396851, - "AAPL": 37160.35087585452, + "AAPL": 38148.449249267585, "ABBV": 8950.027879578303, "ABNB": 0.0, "ABT": 2983.5439614055163, @@ -6101,7 +6101,7 @@ "AMCR": 0.0, "AMD": 21439.799606323228, "AME": 0.0, - "AMGN": 7259.039794921874, + "AMGN": 7253.999999999998, "AMP": 2605.469940185548, "AMT": 1231.4999999999998, "AMZN": 32234.47090148927, @@ -6122,7 +6122,7 @@ "AXON": 5523.319946289063, "AXP": 0.0, "AZO": 2658.1799316406273, - "BA": 1013.1500244140624, + "BA": 1028.1999969482417, "BAC": 0.0, "BALL": 0.0, "BAX": 0.0, @@ -6174,7 +6174,7 @@ "CMA": 0.0, "CMCSA": 3812.6082067350917, "CME": 6269.129867553708, - "CMG": 6842.729736328127, + "CMG": 6965.999999999996, "CMI": 0.0, "CMS": 0.0, "CNC": 746.1000061035154, @@ -6188,17 +6188,17 @@ "CPRT": 668.9199829101565, "CPT": 0.0, "CRL": 0.0, - "CRM": 7512.120239257808, - "CSCO": 4911.591613329912, + "CRM": 7643.9999999999945, + "CSCO": 4917.457128771081, "CSGP": 163.6199951171875, "CSX": 0.0, "CTAS": 0.0, "CTLT": 0.0, "CTRA": 0.0, "CTSH": 5233.6498947143555, - "CTVA": 45.00000000000001, + "CTVA": 44.689998626709006, "CVS": 0.0, - "CVX": -5.060440746002489e-13, + "CVX": -5.081049262617853e-13, "CZR": 5094.659843444826, "D": 0.0, "DAL": 1380.0999717712405, @@ -6208,8 +6208,8 @@ "DG": 0.0, "DGX": 0.0, "DHI": 615.1199951171876, - "DHR": 2255.3999328613295, - "DIS": 1666.3499450683591, + "DHR": 2236.999969482424, + "DIS": 1631.8800659179685, "DLR": 2.874571791381581e-14, "DLTR": 1485.0, "DOV": 0.0, @@ -6269,7 +6269,7 @@ "FSLR": -5.079806414926894e-14, "FTNT": 1525.0000000000005, "FTV": 0.0, - "GD": 3.272499013811925e-13, + "GD": 3.2898715156148947e-13, "GE": 0.0, "GEHC": 6622.85560765494, "GEN": 0.0, @@ -6290,7 +6290,7 @@ "HAS": 381.11999511718744, "HBAN": 0.0, "HCA": 4185.150146484375, - "HD": 11412.160156249996, + "HD": 11395.839843749993, "HES": 0.0, "HIG": 2129.400039672851, "HII": 1022.6400146484372, @@ -6330,9 +6330,9 @@ "JBL": 2941.9200439453125, "JCI": 0.0, "JKHY": 1153.8100128173835, - "JNJ": 13941.74999999999, + "JNJ": 13919.99999999999, "JNPR": 0.0, - "JPM": 5727.7392142217495, + "JPM": 5720.208978494639, "K": 433.9999999999998, "KDP": 0.0, "KEY": 0.0, @@ -6343,7 +6343,7 @@ "KMB": 6975.090156555178, "KMI": 0.0, "KMX": 0.0, - "KO": 179.5800018310547, + "KO": 179.06999588012695, "KR": 0.0, "KVUE": 0.0, "L": 70.7099990844726, @@ -6368,7 +6368,7 @@ "MAA": 0.0, "MAR": -5.682096089653634e-13, "MAS": 0.0, - "MCD": 8704.200439453118, + "MCD": 8762.699890136713, "MCHP": 3090.960021972654, "MCK": 0.0, "MCO": 0.0, @@ -6389,12 +6389,12 @@ "MOS": 0.0, "MPC": 7729.050155639654, "MPWR": 598.6699829101556, - "MRK": 4648.020011901857, + "MRK": 4588.350059509278, "MRNA": 6300.63013458252, "MRO": 0.0, "MS": 5683.610122680664, "MSCI": 0.0, - "MSFT": 37634.06106567381, + "MSFT": 37996.84011840822, "MSI": 0.0, "MTB": 1469.8199462890632, "MTCH": 0.0, @@ -6407,7 +6407,7 @@ "NEM": 0.0, "NFLX": 14880.929962158201, "NI": 0.0, - "NKE": 202.10000610351557, + "NKE": 202.00000000000009, "NOC": 475.14001464843716, "NOW": 2227.259948730468, "NRG": 0.0, @@ -6440,8 +6440,8 @@ "PEP": 4964.100036621095, "PFE": 0.0, "PFG": 154.3200073242187, - "PG": 149.15499877929673, - "PGR": 5024.100036621093, + "PG": 149.1661333384126, + "PGR": 5049.36292598603, "PH": 0.0, "PHM": 631.1999816894532, "PKG": 492.480010986328, @@ -6461,7 +6461,7 @@ "PWR": 1207.620025634766, "PXD": -4.82926721233328e-13, "PYPL": 0.0, - "QCOM": 5582.771804809571, + "QCOM": 5582.8497619628915, "QRVO": 0.0, "RCL": 1361.690010070801, "REG": 0.0, @@ -6531,13 +6531,13 @@ "UDR": 0.0, "UHS": 0.0, "ULTA": 4722.399902343746, - "UNH": 11989.44067382813, + "UNH": 11620.290252685556, "UNP": 0.0, "UPS": 0.0, "URI": 0.0, "USB": 0.0, - "USDOLLAR": 430.4661510061832, - "V": 6874.920349121089, + "USDOLLAR": 430.46616342511027, + "V": 6964.880126953122, "VFC": 0.0, "VICI": 0.0, "VLO": 0.0, @@ -6560,7 +6560,7 @@ "WHR": 0.0, "WM": 1092.0, "WMB": 0.0, - "WMT": 10166.940307617193, + "WMT": 10153.080230712894, "WRB": 0.0, "WRK": 0.0, "WST": 0.0, @@ -6576,5 +6576,511 @@ "ZBRA": 0.0, "ZION": 0.0, "ZTS": 0.0 + }, + "2024-01-19 14:30:00+00:00": { + "A": 0.0, + "AAL": 732.9899959564208, + "AAPL": 37866.000366210974, + "ABBV": 9266.659253987233, + "ABNB": 0.0, + "ABT": 2968.6523747773076, + "ACGL": 0.0, + "ACN": -1.7771025048450552e-13, + "ADBE": 7125.719970703123, + "ADI": 0.0, + "ADM": 0.0, + "ADP": 0.0, + "ADSK": 0.0, + "AEE": 0.0, + "AEP": 0.0, + "AES": 0.0, + "AFL": 2779.919929504394, + "AIG": 0.0, + "AIZ": 335.98001098632835, + "AJG": 0.0, + "AKAM": 0.0, + "ALB": 0.0, + "ALGN": 528.4000244140624, + "ALL": 5.990433650895518e-14, + "ALLE": 0.0, + "AMAT": 1463.130065917969, + "AMCR": 0.0, + "AMD": 20559.200378417965, + "AME": 0.0, + "AMGN": 7313.520263671873, + "AMP": 2643.410034179689, + "AMT": 1227.960021972655, + "AMZN": 32458.130386352554, + "ANET": 2084.879882812499, + "ANSS": 987.3599853515622, + "AON": -6.027033101202796e-14, + "AOS": 0.0, + "APA": 0.0, + "APD": 0.0, + "APH": 1363.0400085449226, + "APTV": 78.68000030517581, + "ARE": 0.0, + "ATO": 0.0, + "AVB": 0.0, + "AVGO": 19674.270996093754, + "AVY": 0.0, + "AWK": 0.0, + "AXON": 5609.559906005859, + "AXP": 0.0, + "AZO": 2728.010009765626, + "BA": 1054.4499969482413, + "BAC": 0.0, + "BALL": 0.0, + "BAX": 0.0, + "BBWI": 0.0, + "BBY": 1136.000000000001, + "BDX": 0.0, + "BEN": 223.1218587244704, + "BF-B": 0.0, + "BG": 0.0, + "BIIB": 2222.640060424805, + "BIO": 0.0, + "BK": 0.0, + "BKNG": 3561.8898925781236, + "BKR": 0.0, + "BLDR": 2845.460083007812, + "BLK": 797.7500000000011, + "BMY": 0.0, + "BR": 0.0, + "BRK-B": 0.0, + "BRO": 149.4600067138672, + "BSX": 0.0, + "BWA": 0.0, + "BX": 1291.619979858399, + "BXP": 0.0, + "C": 0.0, + "CAG": 0.0, + "CAH": 106.68000030517581, + "CARR": 20697.16005706788, + "CAT": 0.0, + "CB": 4192.5599670410165, + "CBOE": 0.0, + "CBRE": 3646.8298950195317, + "CCI": 1194.0500335693364, + "CCL": 0.0, + "CDAY": 0.0, + "CDNS": 0.0, + "CDW": 2483.1400604248042, + "CE": 437.55001831054676, + "CEG": 36444.1490020752, + "CF": 6376.699714660645, + "CFG": 0.0, + "CHD": 3137.280029296874, + "CHRW": 0.0, + "CHTR": 1820.8999633789072, + "CI": 1239.3599853515632, + "CINF": 109.73999786376952, + "CL": 1123.22004699707, + "CLX": 1586.5299530029295, + "CMA": 0.0, + "CMCSA": 3856.0670090963863, + "CME": 6315.320037841798, + "CMG": 6983.999999999997, + "CMI": 0.0, + "CMS": 0.0, + "CNC": 767.2000122070314, + "CNP": 0.0, + "COF": 4530.599945068357, + "COO": 0.0, + "COP": 0.0, + "COR": 2873.1299285888645, + "COST": 0.0, + "CPB": 0.0, + "CPRT": 676.060012817383, + "CPT": 0.0, + "CRL": 0.0, + "CRM": 7742.280273437494, + "CSCO": 4961.4503592528545, + "CSGP": 164.32000732421866, + "CSX": 0.0, + "CTAS": 0.0, + "CTLT": 0.0, + "CTRA": 0.0, + "CTSH": 5223.989936828613, + "CTVA": 44.169998168945334, + "CVS": 0.0, + "CVX": -5.035923708267443e-13, + "CZR": 5354.400157928469, + "D": 0.0, + "DAL": 1412.6600112915037, + "DD": 0.0, + "DE": 1.0898406456073796e-13, + "DFS": 1657.329963684082, + "DG": 0.0, + "DGX": 0.0, + "DHI": 612.5200195312501, + "DHR": 2265.899963378907, + "DIS": 1661.759994506836, + "DLR": 2.8605948661382417e-14, + "DLTR": 1457.7200469970703, + "DOV": 0.0, + "DOW": 0.0, + "DPZ": 3426.3999023437505, + "DRI": 320.7200012207033, + "DTE": 0.0, + "DUK": 96.3000030517578, + "DVA": 1369.1599960327146, + "DVN": 0.0, + "DXCM": 3050.880065917968, + "EA": 2497.4999999999977, + "EBAY": 0.0, + "ECL": 0.0, + "ED": 0.0, + "EFX": 0.0, + "EG": 745.1199951171875, + "EIX": 0.0, + "EL": 0.0, + "ELV": 0.0, + "EMN": 0.0, + "EMR": 0.0, + "ENPH": 4675.000000000002, + "EOG": 0.0, + "EPAM": 1200.1600341796875, + "EQIX": -1.1248445568786226e-13, + "EQR": 0.0, + "EQT": 0.0, + "ES": 0.0, + "ESS": 0.0, + "ETN": 0.0, + "ETR": 0.0, + "ETSY": 0.0, + "EVRG": 0.0, + "EW": 0.0, + "EXC": 0.0, + "EXPD": 644.9999999999997, + "EXPE": 0.0, + "EXR": 5.226735990336205e-14, + "F": 0.0, + "FANG": 12277.859649658201, + "FAST": 953.1200256347655, + "FCX": 0.0, + "FDS": 927.0599975585944, + "FDX": 3427.0599060058594, + "FE": 0.0, + "FFIV": 722.0, + "FI": 138.21000671386733, + "FICO": 2520.500000000001, + "FIS": 0.0, + "FITB": 0.0, + "FLT": 837.4499816894532, + "FMC": 0.0, + "FOX": 0.0, + "FOXA": 0.0, + "FRT": 0.0, + "FSLR": -5.044285909863097e-14, + "FTNT": 1538.749980926514, + "FTV": 0.0, + "GD": 3.3223687298549963e-13, + "GE": 0.0, + "GEHC": 6686.125471932399, + "GEN": 0.0, + "GILD": 3973.4798736572266, + "GIS": 2410.3400115966797, + "GL": 121.76515610445567, + "GLW": 0.0, + "GM": 0.0, + "GNRC": 0.0, + "GOOG": 12582.229370117195, + "GOOGL": 14184.520538330089, + "GPC": 0.0, + "GPN": 128.479995727539, + "GRMN": 1372.03003692627, + "GS": 0.0, + "GWW": 0.0, + "HAL": 0.0, + "HAS": 381.83999633789074, + "HBAN": 0.0, + "HCA": 4291.3499450683585, + "HD": 11481.919921874998, + "HES": 0.0, + "HIG": 2183.2200317382803, + "HII": 1044.599975585937, + "HLT": -1.1778479736563412e-13, + "HOLX": 590.0800170898438, + "HON": 0.0, + "HPE": 0.0, + "HPQ": 0.0, + "HRL": 0.0, + "HSIC": 0.0, + "HST": 0.0, + "HSY": 5555.820053100585, + "HUBB": 1.1356521938313958e-13, + "HUM": 2463.0000000000014, + "HWM": 994.5000000000008, + "IBM": 0.0, + "ICE": 1906.3499450683607, + "IDXX": 1.0921613536701113e-13, + "IEX": 0.0, + "IFF": 0.0, + "ILMN": 669.9999999999998, + "INCY": 1348.1599731445315, + "INTC": 0.0, + "INTU": 1229.7600097656245, + "INVH": 0.0, + "IP": 0.0, + "IPG": 0.0, + "IQV": 0.0, + "IR": 157.1399993896484, + "IRM": 0.0, + "ISRG": 5236.000000000005, + "IT": 465.1000061035163, + "ITW": 0.0, + "IVZ": 0.0, + "J": 0.0, + "JBHT": 0.0, + "JBL": 2989.679992675782, + "JCI": 0.0, + "JKHY": 1163.3300170898447, + "JNJ": 14020.049468994139, + "JNPR": 0.0, + "JPM": 5734.927356426784, + "K": 436.8800048828123, + "KDP": 0.0, + "KEY": 0.0, + "KEYS": 0.0, + "KHC": 0.0, + "KIM": 0.0, + "KLAC": -3.542754612368418e-13, + "KMB": 7267.029891967777, + "KMI": 0.0, + "KMX": 0.0, + "KO": 180.7799949645996, + "KR": 0.0, + "KVUE": 0.0, + "L": 71.94999694824213, + "LDOS": 0.0, + "LEN": 0.0, + "LH": 0.0, + "LHX": 0.0, + "LIN": 4.561141711169038e-13, + "LKQ": 0.0, + "LLY": 1244.7800292968748, + "LMT": 6908.399963378908, + "LNT": 0.0, + "LOW": -2.62324086770032e-13, + "LRCX": 1597.3599853515636, + "LULU": 3822.0800781250005, + "LUV": 30.13999938964845, + "LVS": 691.7399978637696, + "LW": 2539.6599578857413, + "LYB": 3452.100112915038, + "LYV": 2552.2000427246094, + "MA": 23826.381438114066, + "MAA": 0.0, + "MAR": -5.806119035987492e-13, + "MAS": 0.0, + "MCD": 8939.999999999996, + "MCHP": 3149.280120849608, + "MCK": 0.0, + "MCO": 0.0, + "MDLZ": 0.0, + "MDT": 517.5600128173827, + "MET": 68.1999969482422, + "META": 22739.999999999996, + "MGM": 860.9999847412109, + "MHK": 0.0, + "MKC": 0.0, + "MKTX": 1062.479980468749, + "MLM": 0.0, + "MMC": 0.0, + "MMM": 0.0, + "MNST": 3332.100044250488, + "MO": 2429.4001007080083, + "MOH": 381.5700073242188, + "MOS": 0.0, + "MPC": 7768.320373535157, + "MPWR": 620.9999999999997, + "MRK": 4728.399963378909, + "MRNA": 6299.520019531252, + "MRO": 0.0, + "MS": 5621.970245361329, + "MSCI": 0.0, + "MSFT": 37992.96093749999, + "MSI": 0.0, + "MTB": 1599.4799194335933, + "MTCH": 0.0, + "MTD": 0.0, + "MU": 3872.6998901367183, + "NCLH": 0.0, + "NDAQ": 0.0, + "NDSN": 0.0, + "NEE": 0.0, + "NEM": 0.0, + "NFLX": 15034.38034057618, + "NI": 0.0, + "NKE": 202.0399932861328, + "NOC": 475.36999511718716, + "NOW": 2251.3200073242174, + "NRG": 0.0, + "NSC": -2.8319155515486715e-14, + "NTAP": 3839.6836336253477, + "NTRS": 0.0, + "NUE": 0.0, + "NVDA": 77125.37194824213, + "NVR": 0.0, + "NWS": 0.0, + "NWSA": 0.0, + "NXPI": 5120.159912109375, + "O": 0.0, + "ODFL": 1533.2399902343745, + "OKE": 0.0, + "OMC": 0.0, + "ON": 296.79998779296864, + "ORCL": 8011.282735643982, + "ORLY": 3046.859985351563, + "OTIS": 1568.519989013673, + "OXY": 0.0, + "PANW": 7469.659973144534, + "PARA": 0.0, + "PAYC": 0.0, + "PAYX": 0.0, + "PCAR": 0.0, + "PCG": 0.0, + "PEAK": 0.0, + "PEG": 0.0, + "PEP": 5014.199981689452, + "PFE": 0.0, + "PFG": 155.19999694824213, + "PG": 149.18626394665154, + "PGR": 5155.795390517204, + "PH": 0.0, + "PHM": 627.9600219726565, + "PKG": 493.25999450683565, + "PLD": 0.0, + "PM": 0.0, + "PNC": 0.0, + "PNR": 0.0, + "PNW": 0.0, + "PODD": 2456.399963378905, + "POOL": 1161.0300292968752, + "PPG": 291.72000122070307, + "PPL": 0.0, + "PRU": 1331.8499603271484, + "PSA": 0.0, + "PSX": 2431.6200637817383, + "PTC": 348.98001098632807, + "PWR": 1218.0000000000007, + "PXD": -4.818362293153556e-13, + "PYPL": 0.0, + "QCOM": 5743.334976196289, + "QRVO": 0.0, + "RCL": 1386.1100234985358, + "REG": 0.0, + "REGN": 1866.359985351562, + "RF": 0.0, + "RHI": 0.0, + "RJF": 0.0, + "RL": 0.0, + "RMD": 2773.919921875001, + "ROK": 301.39001464843744, + "ROL": 0.0, + "ROP": 4896.721016775902, + "ROST": 1516.4600067138665, + "RSG": 0.0, + "RTX": 0.0, + "RVTY": 0.0, + "SBAC": 5343.590042114253, + "SBUX": 4659.000015258788, + "SCHW": 189.08999633789057, + "SHW": 1537.100067138672, + "SJM": 129.52999877929682, + "SLB": 0.0, + "SNA": 0.0, + "SNPS": 0.0, + "SO": 826.9200439453124, + "SPG": 0.0, + "SPGI": 0.0, + "SRE": 0.0, + "STE": 442.20001220703136, + "STLD": 674.759994506836, + "STT": 319.6000061035157, + "STX": 761.3999862670901, + "STZ": 4835.499999999998, + "SWK": 0.0, + "SWKS": 0.0, + "SYF": 0.0, + "SYK": 2520.639892578124, + "SYY": 0.0, + "T": 0.0, + "TAP": 0.0, + "TDG": 8467.200195312504, + "TDY": 0.0, + "TECH": 0.0, + "TEL": 0.0, + "TER": 0.0, + "TFC": 0.0, + "TFX": 0.0, + "TGT": 0.0, + "TJX": 380.64001464843744, + "TMO": 0.0, + "TMUS": 657.52001953125, + "TPR": 861.1200256347657, + "TRGP": 1076.009956359863, + "TRMB": 0.0, + "TROW": 0.0, + "TRV": 0.0, + "TSCO": 2305.5999755859366, + "TSLA": 116124.47303771967, + "TSN": 214.7200012207031, + "TT": 0.0, + "TTWO": 804.449996948243, + "TXN": 0.0, + "TXT": 0.0, + "TYL": 0.0, + "UAL": 2700.960083007813, + "UBER": 0.0, + "UDR": 0.0, + "UHS": 0.0, + "ULTA": 4796.7999267578125, + "UNH": 12360.000000000007, + "UNP": 0.0, + "UPS": 0.0, + "URI": 0.0, + "USB": 0.0, + "USDOLLAR": 683.3231937848889, + "V": 6972.679809570313, + "VFC": 0.0, + "VICI": 0.0, + "VLO": 0.0, + "VLTO": 2.255896574473712e-13, + "VMC": 0.0, + "VRSK": 0.0, + "VRSN": 1022.4999999999999, + "VRTX": 2167.5999450683594, + "VTR": 0.0, + "VTRS": 0.0, + "VZ": 0.0, + "WAB": 0.0, + "WAT": 310.6300048828124, + "WBA": 0.0, + "WBD": 0.0, + "WDC": 108.00000000000001, + "WEC": 0.0, + "WELL": 0.0, + "WFC": 0.0, + "WHR": 0.0, + "WM": 1104.359985351563, + "WMB": 0.0, + "WMT": 10296.089538574222, + "WRB": 0.0, + "WRK": 0.0, + "WST": 0.0, + "WTW": 0.0, + "WY": 0.0, + "WYNN": 2545.289909362795, + "XEL": 0.0, + "XOM": 0.0, + "XRAY": 0.0, + "XYL": 0.0, + "YUM": 0.0, + "ZBH": 0.0, + "ZBRA": 0.0, + "ZION": 0.0, + "ZTS": 0.0 } } \ No newline at end of file diff --git a/examples/strategies/sp500_daily_target_weights.json b/examples/strategies/sp500_daily_target_weights.json index 635746967..363d07e36 100644 --- a/examples/strategies/sp500_daily_target_weights.json +++ b/examples/strategies/sp500_daily_target_weights.json @@ -6576,5 +6576,511 @@ "ZBRA": 2.4574782644957955e-09, "ZION": 2.0097473064814527e-09, "ZTS": 5.75334458572313e-09 + }, + "2024-01-19 14:30:00+00:00": { + "A": 4.6915917617489274e-11, + "AAL": 0.0007381054755408388, + "AAPL": 0.03813026014609234, + "ABBV": 0.009331330389333639, + "ABNB": 2.360622282722791e-11, + "ABT": 0.002989370143436731, + "ACGL": 1.0573119960385336e-10, + "ACN": 1.2667442709136894e-10, + "ADBE": 0.007026586295486391, + "ADI": 1.201352039029087e-10, + "ADM": 7.320492302458674e-11, + "ADP": 8.551634141954335e-11, + "ADSK": 1.0147522177516257e-10, + "AEE": 5.0463647189229157e-11, + "AEP": 5.447802062954569e-11, + "AES": 3.00897095447195e-11, + "AFL": 0.0027993207034841664, + "AIG": 5.721328338234862e-11, + "AIZ": 0.0003380515019336903, + "AJG": 1.1303873739147245e-10, + "AKAM": 9.585318397443071e-11, + "ALB": 4.590806045127792e-11, + "ALGN": 0.0005533770610678023, + "ALL": 1.3432110618133248e-10, + "ALLE": 3.997918426880337e-11, + "AMAT": 0.001473341009769826, + "AMCR": 1.4096222940932718e-11, + "AMD": 0.020702678978828493, + "AME": 6.606735358654153e-11, + "AMGN": 0.007364561570600764, + "AMP": 0.002661858354466046, + "AMT": 0.0012365298598068556, + "AMZN": 0.032684649366611335, + "ANET": 0.0020994310167539655, + "ANSS": 0.0009935144031058122, + "AON": 1.1583942309070844e-10, + "AOS": 6.288046604472906e-11, + "APA": 3.4289263524486146e-11, + "APD": 1.1246444128041384e-10, + "APH": 0.0013725523788949822, + "APTV": 7.922879183986299e-05, + "ARE": 4.855234194165386e-11, + "ATO": 8.149094993440816e-11, + "AVB": 6.579732403865827e-11, + "AVGO": 0.019811569571152956, + "AVY": 7.667841959015924e-11, + "AWK": 1.6568761553380268e-10, + "AXON": 0.0056564864652089136, + "AXP": 1.2516783578893596e-10, + "AZO": 0.0027087412452896213, + "BA": 0.001061808550791438, + "BAC": 6.809469759690636e-11, + "BALL": 1.2323093378157193e-10, + "BAX": 1.067333028000933e-10, + "BBWI": 9.672806603313704e-11, + "BBY": 0.0011439279693967739, + "BDX": 8.932331557690877e-11, + "BEN": 0.00022467903670825192, + "BF-B": 8.487890832383117e-11, + "BG": 1.0150886616256998e-10, + "BIIB": 0.0022381514323271717, + "BIO": 3.690067422069021e-11, + "BK": 5.4039914588084907e-11, + "BKNG": 0.0027117179502853007, + "BKR": 4.192860146562844e-11, + "BLDR": 0.0028655913306679637, + "BLK": 0.0006364761630048137, + "BMY": 1.941655992002678e-10, + "BR": 1.1194481297766863e-10, + "BRK-B": 9.069377359104236e-11, + "BRO": 0.00015050303357917966, + "BSX": 1.1473418158131285e-10, + "BWA": 7.493316044067506e-11, + "BX": 0.0013006338372104807, + "BXP": 6.137408182550489e-11, + "C": 8.659349129557574e-11, + "CAG": 1.2332274492616686e-10, + "CAH": 0.00010742398812851814, + "CARR": 0.02085624411848508, + "CAT": 5.2807891311600456e-11, + "CB": 0.0042152842863767935, + "CBOE": 1.4996703331404148e-10, + "CBRE": 0.0036771367053760363, + "CCI": 0.0012023837648382062, + "CCL": 2.8908734475758836e-11, + "CDAY": 2.3058627106577373e-11, + "CDNS": 2.2032203332492037e-10, + "CDW": 0.0025004695191485032, + "CE": 0.00043739261448544185, + "CEG": 0.036737674510764436, + "CF": 0.006426738780305941, + "CFG": 5.418400680252215e-11, + "CHD": 0.0031591764163521156, + "CHRW": 1.0259469845448702e-10, + "CHTR": 0.0017789955211914852, + "CI": 0.0011727924247856613, + "CINF": 0.00011050579992753411, + "CL": 0.0011310588473483656, + "CLX": 0.0015976025858718147, + "CMA": 4.772437433846295e-11, + "CMCSA": 0.0038829781791204646, + "CME": 0.006359393933621146, + "CMG": 0.006522617191467684, + "CMI": 7.419527579641688e-11, + "CMS": 5.3102564879516055e-11, + "CNC": 0.0007725542279352092, + "CNP": 4.302897922426087e-11, + "COF": 0.004566304445835278, + "COO": 9.665052539782182e-11, + "COP": 8.94411852312652e-11, + "COR": 0.0028931807335787086, + "COST": 7.529979360133288e-11, + "CPB": 1.286643465320332e-10, + "CPRT": 0.0006807781712990432, + "CPT": 5.457956193710933e-11, + "CRL": 2.7876505184246627e-11, + "CRM": 0.00779631279042961, + "CSCO": 0.004996075567531605, + "CSGP": 0.00016546522211353582, + "CSX": 8.325192674650753e-11, + "CTAS": 1.0234025565197544e-10, + "CTLT": 2.9532811064392716e-11, + "CTRA": 3.656889086306472e-11, + "CTSH": 0.0052604480860182126, + "CTVA": 4.447823118418024e-05, + "CVS": 7.48103918529322e-11, + "CVX": 1.655446975329962e-10, + "CZR": 0.005420109917879372, + "D": 1.2010381955403874e-10, + "DAL": 0.0014225187721582505, + "DD": 5.927285398248e-11, + "DE": 1.370579923591872e-10, + "DFS": 0.0016688963619081363, + "DG": 8.538955575069397e-11, + "DGX": 1.2424898163821253e-10, + "DHI": 0.0006080996229081967, + "DHR": 0.0022619366773184617, + "DIS": 0.001673357117709458, + "DLR": 1.8004729795461298e-10, + "DLTR": 0.0014678932240807132, + "DOV": 6.31082245465244e-11, + "DOW": 7.529014703660125e-11, + "DPZ": 0.003450416702738399, + "DRI": 0.0001941896620561707, + "DTE": 8.92654901243471e-11, + "DUK": 9.697197013175823e-05, + "DVA": 0.0013891425126052414, + "DVN": 3.102048740914266e-11, + "DXCM": 0.0030947367167018917, + "EA": 0.002514929753338825, + "EBAY": 9.070426172239716e-11, + "ECL": 6.165096484042188e-11, + "ED": 1.4107155209250963e-10, + "EFX": 7.838700549803446e-11, + "EG": 0.0006431771874257338, + "EIX": 1.0701461079162396e-10, + "EL": 6.153110502138688e-11, + "ELV": 1.8562470378912333e-10, + "EMN": 5.6854516703762285e-11, + "EMR": 5.07034016549048e-11, + "ENPH": 0.004745026245534557, + "EOG": 7.088266138166803e-11, + "EPAM": 0.0012085341151344374, + "EQIX": 1.3206778415800251e-09, + "EQR": 5.481787433641722e-11, + "EQT": 3.669237328950144e-11, + "ES": 4.509750319054565e-11, + "ESS": 8.891004163464363e-11, + "ETN": 6.941204340973329e-11, + "ETR": 9.271303990351129e-11, + "ETSY": 5.1971692255185306e-11, + "EVRG": 3.751757117593318e-11, + "EW": 1.7273664345387963e-10, + "EXC": 5.872715826859485e-11, + "EXPD": 0.0006495012909302132, + "EXPE": 1.29641042570037e-10, + "EXR": 2.1766788430562716e-10, + "F": 2.1184411621946942e-11, + "FANG": 0.012374658455676892, + "FAST": 0.0009597717573920965, + "FCX": 4.5699477212453724e-11, + "FDS": 0.0008436236661140277, + "FDX": 0.003450976788459202, + "FE": 5.034448897822831e-11, + "FFIV": 0.0007270389342704952, + "FI": 0.00010182300110461528, + "FICO": 0.0025380940977319617, + "FIS": 4.897962490462153e-11, + "FITB": 1.310362221867369e-10, + "FLT": 0.0007709034431794864, + "FMC": 1.1426698329174897e-10, + "FOX": 2.6362227389708005e-11, + "FOXA": 3.758433723148488e-11, + "FRT": 4.563051040931665e-11, + "FSLR": 1.1993523803298505e-10, + "FTNT": 0.0015494886544542672, + "FTV": 3.239282487552378e-11, + "GD": 2.1922691733782498e-10, + "GE": 7.437388658027652e-11, + "GEHC": 0.006732786744453982, + "GEN": 8.5314771808513e-11, + "GILD": 0.0040012101981414545, + "GIS": 0.002427161484728259, + "GL": 0.00012261421076919165, + "GLW": 4.020148572624574e-11, + "GM": 3.2615105697238375e-11, + "GNRC": 4.1736146016045224e-11, + "GOOG": 0.012670038482050032, + "GOOGL": 0.014283511723602907, + "GPC": 1.8930256002596296e-10, + "GPN": 0.0001291788275215662, + "GRMN": 0.0013816051988394084, + "GS": 9.209781884927225e-11, + "GWW": 4.0810547549190895e-11, + "HAL": 3.4350470033117174e-11, + "HAS": 0.0003848105036699923, + "HBAN": 2.7455865715891674e-11, + "HCA": 0.004252727688759921, + "HD": 0.011548877647518442, + "HES": 1.0769158168692258e-10, + "HIG": 0.0021984566694605505, + "HII": 0.0010518900219923968, + "HLT": 1.7972062398871614e-10, + "HOLX": 0.0005941981139944454, + "HON": 5.153462600433229e-11, + "HPE": 2.134589723237722e-11, + "HPQ": 3.5337960392813005e-11, + "HRL": 1.1598349697444001e-10, + "HSIC": 9.873858319251347e-11, + "HST": 5.0490884032444607e-11, + "HSY": 0.005594593591869149, + "HUBB": 1.2945088799375168e-05, + "HUM": 0.002359365055958559, + "HWM": 0.0010014405097816112, + "IBM": 5.4868539618787137e-11, + "ICE": 0.0019196540209148922, + "IDXX": 3.391190002305524e-10, + "IEX": 6.608490722594617e-11, + "IFF": 4.571339768613601e-11, + "ILMN": 0.0006746759716321583, + "INCY": 0.001357569190842023, + "INTC": 9.575731295355442e-11, + "INTU": 0.0012342776390007301, + "INVH": 3.077724617321006e-11, + "IP": 4.7225278117384176e-11, + "IPG": 8.645939103761001e-11, + "IQV": 4.0381213934114143e-11, + "IR": 0.00015823653476760888, + "IRM": 5.970490396331655e-11, + "ISRG": 0.005272541159151099, + "IT": 0.00040326305197674594, + "ITW": 6.484265028195591e-11, + "IVZ": 3.3685980127171137e-11, + "J": 9.000498293683759e-11, + "JBHT": 8.50758465075516e-11, + "JBL": 0.0030105450176352824, + "JCI": 6.536351486591931e-11, + "JKHY": 0.0011918433656914794, + "JNJ": 0.01411789288821214, + "JNPR": 4.467199243332229e-11, + "JPM": 0.005774948770316824, + "K": 0.00043992903670157736, + "KDP": 1.0243362312073662e-10, + "KEY": 2.3484760653400623e-11, + "KEYS": 6.261472488783133e-11, + "KHC": 2.242992674293152e-11, + "KIM": 3.0593826188123896e-11, + "KLAC": 2.2840768452845974e-10, + "KMB": 0.007317746401769814, + "KMI": 1.6616778863556178e-11, + "KMX": 5.290864476404988e-11, + "KO": 0.00018204165591233345, + "KR": 9.264634164310883e-11, + "KVUE": 7.49842815325662e-12, + "L": 7.245208717958152e-05, + "LDOS": 3.9464602932203437e-11, + "LEN": 1.6143022515492242e-10, + "LH": 4.2841180857828436e-11, + "LHX": 9.72734947294605e-11, + "LIN": 2.725767493747005e-10, + "LKQ": 1.155482580259305e-10, + "LLY": 0.0012124995139050029, + "LMT": 0.0069566134802967455, + "LNT": 4.228904322222177e-11, + "LOW": 2.0318390377356173e-10, + "LRCX": 0.0012184240749773063, + "LULU": 0.0038114459843257616, + "LUV": 3.0350385898158107e-05, + "LVS": 0.0006965676495988001, + "LW": 0.0025573841230573636, + "LYB": 0.003476192170309902, + "LYV": 0.0025752245730429257, + "MA": 0.023992661742371302, + "MAA": 6.852902548918165e-11, + "MAR": 2.3338959386881817e-10, + "MAS": 6.877315815456285e-11, + "MCD": 0.008983402308286257, + "MCHP": 0.003171264470170857, + "MCK": 3.109831090540788e-10, + "MCO": 3.958901354778481e-11, + "MDLZ": 5.2248243473654476e-11, + "MDT": 0.0005211719641249166, + "MET": 6.86759239166536e-05, + "META": 0.022884183003817768, + "MGM": 0.0008670089285780687, + "MHK": 1.332890114283891e-10, + "MKC": 7.813146124703025e-11, + "MKTX": 0.0011126593601378297, + "MLM": 5.338886609232248e-11, + "MMC": 5.010547348441703e-11, + "MMM": 8.632463821439156e-11, + "MNST": 0.0033553544885525357, + "MO": 0.0024463545227454047, + "MOH": 0.00038554128655984534, + "MOS": 2.7638972321509558e-11, + "MPC": 0.00782253441235227, + "MPWR": 0.0005847542460942278, + "MRK": 0.004761398817973111, + "MRNA": 0.006413271183645184, + "MRO": 1.7339695659270302e-11, + "MS": 0.005661205353988978, + "MSCI": 2.98186876998639e-10, + "MSFT": 0.038258106413360325, + "MSI": 8.566378010091953e-11, + "MTB": 0.0016213819566247324, + "MTCH": 7.613460766143955e-11, + "MTD": 1.5181780934884434e-10, + "MU": 0.003899726844944067, + "NCLH": 5.871018030657787e-11, + "NDAQ": 8.451308620431448e-11, + "NDSN": 6.114167964186946e-11, + "NEE": 5.652869356106326e-11, + "NEM": 7.833559568062217e-11, + "NFLX": 0.015139302625584855, + "NI": 3.5115133312146426e-11, + "NKE": 0.00020344847085771695, + "NOC": 0.000408361014080654, + "NOW": 0.002246257383510284, + "NRG": 7.500678276854302e-11, + "NSC": 1.6422513378147455e-10, + "NTAP": 0.003878619141363731, + "NTRS": 6.94992870125645e-11, + "NUE": 9.09371779106617e-11, + "NVDA": 0.07748608239714025, + "NVR": 0.0008263761647958385, + "NWS": 2.786257374729603e-11, + "NWSA": 2.8314261328670117e-11, + "NXPI": 0.005155894660236441, + "O": 1.0156788526857666e-10, + "ODFL": 0.001534098564834017, + "OKE": 6.89359088856699e-11, + "OMC": 9.124858877607643e-11, + "ON": 0.00029887123981515307, + "ORCL": 0.00806719248290561, + "ORLY": 0.002900452034075226, + "OTIS": 0.0015794662333846155, + "OXY": 5.049291281029882e-11, + "PANW": 0.007521791446599781, + "PARA": 2.7005437245282747e-11, + "PAYC": 1.9855599455261598e-10, + "PAYX": 1.8375296957857294e-10, + "PCAR": 1.3139630826611488e-10, + "PCG": 3.2526138531042544e-11, + "PEAK": 2.669783030990053e-11, + "PEG": 1.1643397791640168e-10, + "PEP": 0.005049193082752669, + "PFE": 6.368020661740859e-11, + "PFG": 0.00015628311807849987, + "PG": 0.00015022495627496445, + "PGR": 0.00519177686430464, + "PH": 6.59275127064815e-11, + "PHM": 0.0006323424612582825, + "PKG": 0.0004966999702237274, + "PLD": 6.954349758226884e-11, + "PM": 1.315891224734309e-10, + "PNC": 1.7546333208391992e-10, + "PNR": 4.168514309121927e-11, + "PNW": 4.7918894110003566e-11, + "PODD": 0.0025074965700450755, + "POOL": 0.0011691320645083431, + "PPG": 0.00029375540454833687, + "PPL": 5.266215681247688e-11, + "PRU": 0.0013411447611450357, + "PSA": 6.621054279321452e-11, + "PSX": 0.0024485897995425395, + "PTC": 0.0003514065848168126, + "PWR": 0.0012265003161272719, + "PXD": 1.4071980726527192e-10, + "PYPL": 2.294709478754735e-11, + "QCOM": 0.005783416912555536, + "QRVO": 1.894870091785372e-11, + "RCL": 0.0013957832949800762, + "REG": 4.5742300178722095e-11, + "REGN": 0.0018209241239184304, + "RF": 3.1447744722373587e-11, + "RHI": 7.159345056818295e-11, + "RJF": 1.6333374308109155e-10, + "RL": 8.244605404772358e-11, + "RMD": 0.0027933827530551487, + "ROK": 0.00029503003298131847, + "ROL": 4.841708088833681e-11, + "ROP": 0.004904954734340124, + "ROST": 0.0015270428107435378, + "RSG": 9.44942336006206e-11, + "RTX": 1.4000103181134754e-10, + "RVTY": 3.662076115954791e-11, + "SBAC": 0.005399523559237776, + "SBUX": 0.004691514307408947, + "SCHW": 0.0001904096274764653, + "SHW": 0.0015385267469067137, + "SJM": 0.00013043370428883144, + "SLB": 3.5193958261766624e-11, + "SNA": 8.708177743079434e-11, + "SNPS": 5.6355994519172584e-11, + "SO": 0.0008326910228489414, + "SPG": 6.923545088952159e-11, + "SPGI": 6.56182895754439e-11, + "SRE": 1.2825256689002824e-10, + "STE": 0.00044527747565647314, + "STLD": 0.0006794687364990843, + "STT": 0.00032183044933087166, + "STX": 0.0007667136300358566, + "STZ": 0.004869246168176341, + "SWK": 7.765651211814963e-11, + "SWKS": 3.916715841613219e-11, + "SYF": 6.60688670856093e-11, + "SYK": 0.0025382303022840444, + "SYY": 8.062373821712006e-11, + "T": 6.97424803287443e-11, + "TAP": 1.198419268068803e-10, + "TDG": 0.00863006346062662, + "TDY": 1.9992907922754215e-10, + "TECH": 1.7005044142230888e-10, + "TEL": 6.897522940079515e-11, + "TER": 5.0166165500689913e-11, + "TFC": 5.0804011136846573e-11, + "TFX": 1.537727510768141e-10, + "TGT": 7.728311572292283e-11, + "TJX": 0.00038329606185747935, + "TMO": 1.3728580585544643e-10, + "TMUS": 0.0006621081951462382, + "TPR": 0.000867129852078026, + "TRGP": 0.0010835191715301573, + "TRMB": 5.7185178497386746e-11, + "TROW": 8.928024591428877e-11, + "TRV": 1.1259256086667436e-10, + "TSCO": 0.002321690329365337, + "TSLA": 0.1201293967803592, + "TSN": 0.00021621852424976007, + "TT": 7.09737022513751e-11, + "TTWO": 0.0008100641935549856, + "TXN": 6.836841677457844e-11, + "TXT": 4.5518390872487094e-11, + "TYL": 1.1842521726018296e-10, + "UAL": 0.002719809798806842, + "UBER": 3.6383502219536746e-11, + "UDR": 3.5036797034259735e-11, + "UHS": 5.1090641196116675e-11, + "ULTA": 0.00487163348632623, + "UNH": 0.01244625732419608, + "UNP": 1.0430691567896609e-10, + "UPS": 3.3721394891589436e-11, + "URI": 1.2012369773760722e-10, + "USB": 5.663921342308576e-11, + "USDOLLAR": 2.1268441202323442e-08, + "V": 0.0068208553945987025, + "VFC": 2.675982052755732e-11, + "VICI": 3.6012884915281957e-11, + "VLO": 9.510311413219716e-11, + "VLTO": 2.93615459424028e-11, + "VMC": 3.397585104715458e-11, + "VRSK": 7.020481081056745e-11, + "VRSN": 0.001029634023486231, + "VRTX": 0.002182726556700685, + "VTR": 6.507980427970016e-11, + "VTRS": 2.4675485672731724e-11, + "VZ": 1.2376796340954637e-10, + "WAB": 5.1744307158335945e-11, + "WAT": 0.0003127977986266861, + "WBA": 5.1915042590215424e-11, + "WBD": 1.881908315308405e-11, + "WDC": 0.00010875369494511402, + "WEC": 1.5094240840683107e-10, + "WELL": 6.207539037038454e-11, + "WFC": 1.304077485818139e-10, + "WHR": 8.269271853019073e-11, + "WM": 0.0011051343657647343, + "WMB": 1.3525214970938396e-10, + "WMT": 0.010367944187139095, + "WRB": 1.1244633143064188e-10, + "WRK": 2.770767716718709e-11, + "WST": 5.047578164426962e-11, + "WTW": 1.0852596102773021e-10, + "WY": 3.4123650193472034e-11, + "WYNN": 0.0025630548328907745, + "XEL": 5.983359533860876e-11, + "XOM": 9.774849209359266e-11, + "XRAY": 1.0195882873085097e-10, + "XYL": 8.878715136803951e-11, + "YUM": 1.3122979737475945e-10, + "ZBH": 4.53464296728819e-11, + "ZBRA": 4.879781895863969e-11, + "ZION": 3.872832702541729e-11, + "ZTS": 1.0164618645323922e-10 } } \ No newline at end of file From bce2ac70646efd663278135e8e45f7741abe056f Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Mon, 22 Jan 2024 19:00:16 +0400 Subject: [PATCH 10/14] [auto commit] dow30_daily reconciliation & execution on 2024-01-22 --- .../dow30_daily_initial_holdings.json | 35 ++++++++++++++++++- .../dow30_daily_target_weights.json | 33 +++++++++++++++++ 2 files changed, 67 insertions(+), 1 deletion(-) diff --git a/examples/strategies/dow30_daily_initial_holdings.json b/examples/strategies/dow30_daily_initial_holdings.json index 5c73c173b..86538ee27 100644 --- a/examples/strategies/dow30_daily_initial_holdings.json +++ b/examples/strategies/dow30_daily_initial_holdings.json @@ -554,10 +554,43 @@ "PG": 0.0, "TRV": 0.0, "UNH": 101455.00000000004, - "USDOLLAR": -306.8671889118696, + "USDOLLAR": -306.86715953857953, "V": 75626.75793457037, "VZ": 0.0, "WBA": 0.0, "WMT": 9152.079589843746 + }, + "2024-01-22 14:30:00+00:00": { + "AAPL": 243644.10386657724, + "AMGN": 32722.201293945298, + "AXP": 0.0, + "BA": 0.0, + "CAT": 0.0, + "CRM": 97907.552947998, + "CSCO": 49614.52862061979, + "CVX": 0.0, + "DIS": 0.0, + "DOW": 0.0, + "GS": 0.0, + "HD": 120744.95507812504, + "HON": 0.0, + "IBM": 0.0, + "INTC": 0.0, + "JNJ": 0.0, + "JPM": 0.0, + "KO": 0.0, + "MCD": 1.4036535466707327e-12, + "MMM": 0.0, + "MRK": 0.0, + "MSFT": 303215.1516723634, + "NKE": 1.391143383979548e-12, + "PG": 0.0, + "TRV": 0.0, + "UNH": 99276.18048095702, + "USDOLLAR": 252.36304933406203, + "V": 76771.67724609376, + "VZ": 0.0, + "WBA": 0.0, + "WMT": 8953.449630737297 } } \ No newline at end of file diff --git a/examples/strategies/dow30_daily_target_weights.json b/examples/strategies/dow30_daily_target_weights.json index 10cab1fc4..8bad7aac8 100644 --- a/examples/strategies/dow30_daily_target_weights.json +++ b/examples/strategies/dow30_daily_target_weights.json @@ -559,5 +559,38 @@ "VZ": 7.765445125507747e-10, "WBA": 1.1399866753400675e-09, "WMT": 0.008756043421257409 + }, + "2024-01-22 14:30:00+00:00": { + "AAPL": 0.23583738949289437, + "AMGN": 0.03167373802719129, + "AXP": 8.673505945546815e-10, + "BA": 1.8411748960939961e-09, + "CAT": 7.730623732570995e-10, + "CRM": 0.0948522588510953, + "CSCO": 0.04802486059579919, + "CVX": 8.410229077452107e-10, + "DIS": 1.2795317021712922e-09, + "DOW": 1.2656228643084529e-09, + "GS": 8.308540456721861e-10, + "HD": 0.1169593171665021, + "HON": 6.035495864783529e-10, + "IBM": 4.764479690416453e-10, + "INTC": 1.543344295536247e-09, + "JNJ": 1.2304303864673142e-09, + "JPM": 1.8082009359648247e-09, + "KO": 8.834711199373293e-10, + "MCD": 3.1037373579247917e-09, + "MMM": 5.62554267264257e-10, + "MRK": 9.844683983409207e-10, + "MSFT": 0.2934041442015321, + "NKE": 3.958606872221122e-09, + "PG": 7.151115407058406e-10, + "TRV": 6.553988318683648e-10, + "UNH": 0.09633698688187581, + "USDOLLAR": 6.8132209528576175e-09, + "V": 0.0743117243908269, + "VZ": 6.16201327639564e-10, + "WBA": 9.021571465286269e-10, + "WMT": 0.00859954783676269 } } \ No newline at end of file From 43b8c8d6ee1320e3d6db8cc9cf077a255885bb22 Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Mon, 22 Jan 2024 19:00:43 +0400 Subject: [PATCH 11/14] [auto commit] ndx100_daily reconciliation & execution on 2024-01-22 --- .../ndx100_daily_initial_holdings.json | 108 +++++++++++++++++- .../ndx100_daily_target_weights.json | 104 +++++++++++++++++ 2 files changed, 210 insertions(+), 2 deletions(-) diff --git a/examples/strategies/ndx100_daily_initial_holdings.json b/examples/strategies/ndx100_daily_initial_holdings.json index c9c656359..da99c3969 100644 --- a/examples/strategies/ndx100_daily_initial_holdings.json +++ b/examples/strategies/ndx100_daily_initial_holdings.json @@ -1640,7 +1640,7 @@ "PDD": 9000.959960937525, "PEP": 0.0, "PYPL": 0.0, - "QCOM": 8394.10496520997, + "QCOM": 8393.819686889654, "REGN": 3732.719970703122, "ROP": 0.0, "ROST": 137.8600006103515, @@ -1654,7 +1654,7 @@ "TTD": 13006.640121459977, "TTWO": 482.66999816894537, "TXN": 0.0, - "USDOLLAR": -1344.1051811016562, + "USDOLLAR": -1344.1051127595094, "VRSK": 0.0, "VRTX": 1300.5599670410168, "WBA": 0.0, @@ -1662,5 +1662,109 @@ "WDAY": 0.0, "XEL": 0.0, "ZS": 7557.000000000001 + }, + "2024-01-22 14:30:00+00:00": { + "AAPL": 68843.40109252933, + "ABNB": 0.0, + "ADBE": 12914.999999999993, + "ADI": 0.0, + "ADP": 0.0, + "ADSK": 0.0, + "AEP": 0.0, + "AMAT": 4372.679809570314, + "AMD": 39412.13986206055, + "AMGN": 10495.80041503907, + "AMZN": 55852.83978271482, + "ANSS": 0.0, + "ASML": 9963.20031738282, + "AVGO": 27973.749999999985, + "AZN": 0.0, + "BIIB": 3504.200042724607, + "BKNG": 7306.140136718757, + "BKR": 0.0, + "CCEP": 0.0, + "CDNS": 0.0, + "CDW": 1137.4999999999995, + "CEG": 36169.35971069346, + "CHTR": 0.0, + "CMCSA": 7744.779701232911, + "COST": 0.0, + "CPRT": 0.0, + "CRWD": 4507.200164794919, + "CSCO": 14931.633975281055, + "CSGP": 0.0, + "CSX": 0.0, + "CTAS": 0.0, + "CTSH": 8181.0800323486355, + "DASH": 0.0, + "DDOG": 0.0, + "DLTR": 4444.819854736326, + "DXCM": 4263.59989929199, + "EA": 3991.559982299801, + "EXC": 0.0, + "FANG": 2420.4799804687495, + "FAST": 347.9999923706054, + "FTNT": 1608.8800277709968, + "GEHC": 2599.799957275391, + "GFS": 475.839996337891, + "GILD": 6601.000000000001, + "GOOG": 28106.191268920902, + "GOOGL": 14121.600585937498, + "HON": 0.0, + "IDXX": 0.0, + "ILMN": 0.0, + "INTC": 2393.649925231933, + "INTU": 626.5499877929688, + "ISRG": 6046.560058593752, + "KDP": 0.0, + "KHC": 0.0, + "KLAC": 0.0, + "LRCX": 2487.3900146484375, + "LULU": 6761.999999999997, + "MAR": 0.0, + "MCHP": 5939.999999999997, + "MDB": 11389.83996582032, + "MDLZ": 0.0, + "MELI": 6993.799804687499, + "META": 40734.75128173825, + "MNST": 4354.0400695800745, + "MRNA": 7919.750000000027, + "MRVL": 0.0, + "MSFT": 61203.0583190918, + "MU": 7688.472844361813, + "NFLX": 22427.299438476544, + "NVDA": 139914.16772460946, + "NXPI": 6808.530151367188, + "ODFL": 780.9000244140624, + "ON": 223.5, + "ORLY": 4114.43994140625, + "PANW": 10042.410247802729, + "PAYX": 0.0, + "PCAR": 0.0, + "PDD": 8880.000000000024, + "PEP": 0.0, + "PYPL": 0.0, + "QCOM": 8706.750000000007, + "REGN": 3745.919921874998, + "ROP": 0.0, + "ROST": 137.72999572753903, + "SBUX": 6753.60021972656, + "SIRI": 2575.1599273681636, + "SNPS": 0.0, + "SPLK": 0.0, + "TEAM": 0.0, + "TMUS": 2.858077938938661e-14, + "TSLA": 211623.21452331566, + "TTD": 13413.729278564466, + "TTWO": 494.91000366210926, + "TXN": 0.0, + "USDOLLAR": 76.15507390769099, + "VRSK": 0.0, + "VRTX": 1312.9200439453125, + "WBA": 0.0, + "WBD": 0.0, + "WDAY": 0.0, + "XEL": 0.0, + "ZS": 7669.759765624996 } } \ No newline at end of file diff --git a/examples/strategies/ndx100_daily_target_weights.json b/examples/strategies/ndx100_daily_target_weights.json index 03a44a7b2..ea36b965b 100644 --- a/examples/strategies/ndx100_daily_target_weights.json +++ b/examples/strategies/ndx100_daily_target_weights.json @@ -1558,5 +1558,109 @@ "WDAY": 1.1688183039387943e-08, "XEL": 7.550360087052139e-09, "ZS": 0.007589548582278191 + }, + "2024-01-22 14:30:00+00:00": { + "AAPL": 0.0690885362820782, + "ABNB": 1.7220392100176075e-09, + "ADBE": 0.01265649847213353, + "ADI": 1.686234303082174e-08, + "ADP": 6.030674506381048e-09, + "ADSK": 1.4815845312458725e-08, + "AEP": 2.671725370480503e-09, + "AMAT": 0.0043831071325672365, + "AMD": 0.039094101636358215, + "AMGN": 0.010622201288504106, + "AMZN": 0.05604705364399198, + "ANSS": 1.9298846999741963e-08, + "ASML": 0.00999254803017237, + "AVGO": 0.028070425566371224, + "AZN": 5.6149821576856406e-09, + "BIIB": 0.0035164820577112694, + "BKNG": 0.0061792506483861484, + "BKR": 3.1072554571298234e-09, + "CCEP": 1.8781291817614945e-08, + "CDNS": 2.8491464643396607e-08, + "CDW": 0.0013454911446511778, + "CEG": 0.03630709641552072, + "CHTR": 4.2243746474149605e-08, + "CMCSA": 0.007771728218784636, + "COST": 2.3746203753285056e-08, + "CPRT": 3.3040188398496765e-08, + "CRWD": 0.00452276777460859, + "CSCO": 0.014983584309677632, + "CSGP": 4.1669979338389085e-08, + "CSX": 9.237952917235714e-09, + "CTAS": 4.9575942655277684e-09, + "CTSH": 0.00821115931227441, + "DASH": -9.070614388973163e-10, + "DDOG": 1.447649670152261e-07, + "DLTR": 0.0045408404765575035, + "DXCM": 0.004337766985831672, + "EA": 0.004005441621857919, + "EXC": 3.472879591024296e-09, + "FANG": 0.0024948876302576858, + "FAST": 0.00036415940687196805, + "FTNT": 0.0016537013977485499, + "GEHC": 0.002609001827251963, + "GFS": 0.0004786409282703003, + "GILD": 0.006851948409905909, + "GOOG": 0.02820416454867232, + "GOOGL": 0.014170690608288315, + "HON": 4.551535825551937e-09, + "IDXX": 1.0278377213273073e-08, + "ILMN": 4.149264330242981e-08, + "INTC": 0.0024019986660502664, + "INTU": 0.0006285844308371836, + "ISRG": 0.006082219398161084, + "KDP": 2.7671928696930938e-08, + "KHC": 2.5972680834117612e-09, + "KLAC": 6.2319027556552e-08, + "LRCX": 0.002589684721373865, + "LULU": 0.006840385820363672, + "MAR": 1.4276603810069945e-08, + "MCHP": 0.005960996886470256, + "MDB": 0.011197232162728589, + "MDLZ": 7.2833385631820885e-09, + "MELI": 0.007604319899962265, + "META": 0.04087619834381569, + "MNST": 0.004369201724081274, + "MRNA": 0.007947332857003409, + "MRVL": 1.1955225109452405e-08, + "MSFT": 0.061984694268197, + "MU": 0.007674171955790067, + "NFLX": 0.022661741304110233, + "NVDA": 0.13853707512333915, + "NXPI": 0.00683183697473807, + "ODFL": 0.000785196485568546, + "ON": 0.00022431869375198223, + "ORLY": 0.004402815556720576, + "PANW": 0.010077861008184806, + "PAYX": 1.2641262379804863e-08, + "PCAR": 9.033208895216846e-09, + "PDD": 0.008923581670801166, + "PEP": 4.844606952355588e-08, + "PYPL": 4.8504962520967314e-09, + "QCOM": 0.00873669840930544, + "REGN": 0.0037597478810259314, + "ROP": 6.483680786992506e-08, + "ROST": 0.00013828664379113005, + "SBUX": 0.006777076370281701, + "SIRI": 0.0025841236520302933, + "SNPS": 6.304210240457466e-09, + "SPLK": 3.452767672577045e-09, + "TEAM": 4.830342137331453e-05, + "TMUS": 2.0253511063333943e-07, + "TSLA": 0.21396904831414124, + "TTD": 0.013243377554405541, + "TTWO": 0.0005656319089582536, + "TXN": 1.1509797982890001e-08, + "USDOLLAR": -1.2164399046065669e-08, + "VRSK": 7.775290423462244e-09, + "VRTX": 0.0014655683104091374, + "WBA": 1.5461163344503266e-08, + "WBD": 3.003314786807342e-09, + "WDAY": 6.590034168092988e-09, + "XEL": 4.357314625159238e-09, + "ZS": 0.0076064231256065965 } } \ No newline at end of file From d4bed027070b3d58f322f3e0d0c40756e03c6dbd Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Mon, 22 Jan 2024 19:02:39 +0400 Subject: [PATCH 12/14] [auto commit] sp500_daily reconciliation & execution on 2024-01-22 --- .../sp500_daily_initial_holdings.json | 512 +++++++++++++++++- .../sp500_daily_target_weights.json | 506 +++++++++++++++++ 2 files changed, 1015 insertions(+), 3 deletions(-) diff --git a/examples/strategies/sp500_daily_initial_holdings.json b/examples/strategies/sp500_daily_initial_holdings.json index 5274819f8..53b706ebb 100644 --- a/examples/strategies/sp500_daily_initial_holdings.json +++ b/examples/strategies/sp500_daily_initial_holdings.json @@ -6675,7 +6675,7 @@ "CHTR": 1820.8999633789072, "CI": 1239.3599853515632, "CINF": 109.73999786376952, - "CL": 1123.22004699707, + "CL": 1129.930058240037, "CLX": 1586.5299530029295, "CMA": 0.0, "CMCSA": 3856.0670090963863, @@ -6967,7 +6967,7 @@ "PWR": 1218.0000000000007, "PXD": -4.818362293153556e-13, "PYPL": 0.0, - "QCOM": 5743.334976196289, + "QCOM": 5743.139785766601, "QRVO": 0.0, "RCL": 1386.1100234985358, "REG": 0.0, @@ -7042,7 +7042,7 @@ "UPS": 0.0, "URI": 0.0, "USB": 0.0, - "USDOLLAR": 683.3231937848889, + "USDOLLAR": 683.3232197084302, "V": 6972.679809570313, "VFC": 0.0, "VICI": 0.0, @@ -7082,5 +7082,511 @@ "ZBRA": 0.0, "ZION": 0.0, "ZTS": 0.0 + }, + "2024-01-22 14:30:00+00:00": { + "A": 0.0, + "AAL": 739.8800020217894, + "AAPL": 38460.0006103516, + "ABBV": 9296.622758245936, + "ABNB": 0.0, + "ABT": 3002.6157404386813, + "ACGL": 0.0, + "ACN": -1.7892438081147774e-13, + "ADBE": 7379.999999999998, + "ADI": 0.0, + "ADM": 0.0, + "ADP": 0.0, + "ADSK": 0.0, + "AEE": 0.0, + "AEP": 0.0, + "AES": 0.0, + "AFL": 2788.5, + "AIG": 0.0, + "AIZ": 335.7799987792969, + "AJG": 0.0, + "AKAM": 0.0, + "ALB": 0.0, + "ALGN": 537.9999999999999, + "ALL": 6.007051990215766e-14, + "ALLE": 0.0, + "AMAT": 1513.6199340820317, + "AMCR": 0.0, + "AMD": 21624.359924316403, + "AME": 0.0, + "AMGN": 7408.80029296875, + "AMP": 2678.6200256347665, + "AMT": 1224.600036621093, + "AMZN": 33103.78987121583, + "ANET": 2141.360107421874, + "ANSS": 1011.2699890136716, + "AON": -6.072477927430444e-14, + "AOS": 0.0, + "APA": 0.0, + "APD": 0.0, + "APH": 1366.8199615478522, + "APTV": 79.47000122070314, + "ARE": 0.0, + "ATO": 0.0, + "AVB": 0.0, + "AVGO": 20676.249999999996, + "AVY": 0.0, + "AWK": 0.0, + "AXON": 5678.639892578127, + "AXP": 0.0, + "AZO": 2738.989990234376, + "BA": 1065.3500366210928, + "BAC": 0.0, + "BALL": 0.0, + "BAX": 0.0, + "BBWI": 0.0, + "BBY": 1140.1600341796886, + "BDX": 0.0, + "BEN": 227.0830782243024, + "BF-B": 0.0, + "BG": 0.0, + "BIIB": 2252.7000274658203, + "BIO": 0.0, + "BK": 0.0, + "BKNG": 3653.070068359375, + "BKR": 0.0, + "BLDR": 2987.2400207519527, + "BLK": 806.4050292968757, + "BMY": 0.0, + "BR": 0.0, + "BRK-B": 0.0, + "BRO": 150.0, + "BSX": 0.0, + "BWA": 0.0, + "BX": 1315.5999832153318, + "BXP": 0.0, + "C": 0.0, + "CAG": 0.0, + "CAH": 105.65000152587893, + "CARR": 21003.83994293214, + "CAT": 0.0, + "CB": 4278.059967041016, + "CBOE": 0.0, + "CBRE": 3702.7300262451163, + "CCI": 1192.5100402832031, + "CCL": 0.0, + "CDAY": 0.0, + "CDNS": 0.0, + "CDW": 2502.4999999999995, + "CE": 433.85998535156244, + "CEG": 37428.419700622544, + "CF": 6355.449714660645, + "CFG": 0.0, + "CHD": 3094.3999023437495, + "CHRW": 0.0, + "CHTR": 1855.5000305175786, + "CI": 1208.6400146484373, + "CINF": 111.75000000000004, + "CL": 1131.338400218847, + "CLX": 1566.1800537109377, + "CMA": 0.0, + "CMCSA": 3939.362960610573, + "CME": 6268.51020812988, + "CMG": 7025.999999999999, + "CMI": 0.0, + "CMS": 0.0, + "CNC": 745.3500366210935, + "CNP": 0.0, + "COF": 4638.600219726558, + "COO": 0.0, + "COP": 0.0, + "COR": 2837.639984130857, + "COST": 0.0, + "CPB": 0.0, + "CPRT": 686.0700149536135, + "CPT": 0.0, + "CRL": 0.0, + "CRM": 7946.120239257808, + "CSCO": 5039.6603395901175, + "CSGP": 165.80000305175784, + "CSX": 0.0, + "CTAS": 0.0, + "CTLT": 0.0, + "CTRA": 0.0, + "CTSH": 5325.42002105713, + "CTVA": 45.16500091552736, + "CVS": 0.0, + "CVX": -5.042319716541666e-13, + "CZR": 5481.000000000001, + "D": 0.0, + "DAL": 1393.4199943542478, + "DD": 0.0, + "DE": 1.0879891785916029e-13, + "DFS": 1661.75, + "DG": 0.0, + "DGX": 0.0, + "DHI": 622.5999755859376, + "DHR": 2307.700042724611, + "DIS": 1671.6600494384763, + "DLR": 2.934502858892238e-14, + "DLTR": 1438.0299530029295, + "DOV": 0.0, + "DOW": 0.0, + "DPZ": 3414.159912109377, + "DRI": 159.63000488281259, + "DTE": 0.0, + "DUK": 95.59999847412107, + "DVA": 1366.0400238037112, + "DVN": 0.0, + "DXCM": 3100.7999267578107, + "EA": 2477.5199890136705, + "EBAY": 0.0, + "ECL": 0.0, + "ED": 0.0, + "EFX": 0.0, + "EG": 746.5399780273435, + "EIX": 0.0, + "EL": 0.0, + "ELV": 0.0, + "EMN": 0.0, + "EMR": 0.0, + "ENPH": 4696.12014770508, + "EOG": 0.0, + "EPAM": 1214.0, + "EQIX": -1.1392759938075432e-13, + "EQR": 0.0, + "EQT": 0.0, + "ES": 0.0, + "ESS": 0.0, + "ETN": 0.0, + "ETR": 0.0, + "ETSY": 0.0, + "EVRG": 0.0, + "EW": 0.0, + "EXC": 0.0, + "EXPD": 644.0000152587888, + "EXPE": 0.0, + "EXR": 5.239536181810136e-14, + "F": 0.0, + "FANG": 12404.959899902338, + "FAST": 974.3999786376955, + "FCX": 0.0, + "FDS": 928.2399902343757, + "FDX": 3463.5999145507812, + "FE": 0.0, + "FFIV": 720.4799804687498, + "FI": 139.52499389648452, + "FICO": 2544.000000000002, + "FIS": 0.0, + "FITB": 0.0, + "FLT": 852.9600219726559, + "FMC": 0.0, + "FOX": 0.0, + "FOXA": 0.0, + "FRT": 0.0, + "FSLR": -5.0716096559198467e-14, + "FTNT": 1547.0000267028818, + "FTV": 0.0, + "GD": 3.295948302579808e-13, + "GE": 0.0, + "GEHC": 6762.140294873793, + "GEN": 0.0, + "GILD": 3703.000000000001, + "GIS": 2395.139953613281, + "GL": 122.28611605130298, + "GLW": 0.0, + "GM": 0.0, + "GNRC": 0.0, + "GOOG": 12789.060577392585, + "GOOGL": 14415.800598144535, + "GPC": 0.0, + "GPN": 131.3600006103515, + "GRMN": 1386.5500335693364, + "GS": 0.0, + "GWW": 0.0, + "HAL": 0.0, + "HAS": 388.5599975585938, + "HBAN": 0.0, + "HCA": 4328.8499450683585, + "HD": 11499.519531250004, + "HES": 0.0, + "HIG": 2217.279968261718, + "HII": 1028.4399414062495, + "HLT": -1.1888517961759342e-13, + "HOLX": 588.1599731445311, + "HON": 0.0, + "HPE": 0.0, + "HPQ": 0.0, + "HRL": 0.0, + "HSIC": 0.0, + "HST": 0.0, + "HSY": 5517.8301239013645, + "HUBB": 1.1494817333283703e-13, + "HUM": 2399.9999999999995, + "HWM": 1004.5800247192383, + "IBM": 0.0, + "ICE": 1902.0000457763688, + "IDXX": 1.0935753280220778e-13, + "IEX": 0.0, + "IFF": 0.0, + "ILMN": 685.1000213623049, + "INCY": 1359.7100067138667, + "INTC": 0.0, + "INTU": 1253.0999755859368, + "INVH": 0.0, + "IP": 0.0, + "IPG": 0.0, + "IQV": 0.0, + "IR": 158.03999328613278, + "IRM": 0.0, + "ISRG": 5290.740051269536, + "IT": 468.7600097656255, + "ITW": 0.0, + "IVZ": 0.0, + "J": 0.0, + "JBHT": 0.0, + "JBL": 3020.6400146484375, + "JCI": 0.0, + "JKHY": 1170.6099700927741, + "JNJ": 14093.99999999999, + "JNPR": 0.0, + "JPM": 5834.53141076976, + "K": 429.0799865722654, + "KDP": 0.0, + "KEY": 0.0, + "KEYS": 0.0, + "KHC": 0.0, + "KIM": 0.0, + "KLAC": -3.680259610149034e-13, + "KMB": 7233.990036010746, + "KMI": 0.0, + "KMX": 0.0, + "KO": 179.26500320434567, + "KR": 0.0, + "KVUE": 0.0, + "L": 72.34999847412105, + "LDOS": 0.0, + "LEN": 0.0, + "LH": 0.0, + "LHX": 0.0, + "LIN": 4.50243583007556e-13, + "LKQ": 0.0, + "LLY": 1259.9999999999995, + "LMT": 6863.849945068362, + "LNT": 0.0, + "LOW": -2.6139998270794836e-13, + "LRCX": 1658.260009765626, + "LULU": 3863.999999999999, + "LUV": 30.11000061035157, + "LVS": 681.3799743652344, + "LW": 2513.209922790527, + "LYB": 3445.440101623535, + "LYV": 2563.679931640627, + "MA": 24180.569831558743, + "MAA": 0.0, + "MAR": -5.845546889945355e-13, + "MAS": 0.0, + "MCD": 9028.500366210934, + "MCHP": 3239.999999999999, + "MCK": 0.0, + "MCO": 0.0, + "MDLZ": 0.0, + "MDT": 519.5399780273438, + "MET": 68.9000015258789, + "META": 23277.000732421868, + "MGM": 864.1999816894529, + "MHK": 0.0, + "MKC": 0.0, + "MKTX": 1067.9999999999995, + "MLM": 0.0, + "MMC": 0.0, + "MMM": 0.0, + "MNST": 3322.8200531005837, + "MO": 2415.0, + "MOH": 366.1099853515626, + "MOS": 0.0, + "MPC": 7812.17962646485, + "MPWR": 636.2100219726558, + "MRK": 4761.600036621097, + "MRNA": 6516.250000000003, + "MRO": 0.0, + "MS": 5725.819938659665, + "MSCI": 0.0, + "MSFT": 38401.918945312515, + "MSI": 0.0, + "MTB": 1681.7999267578127, + "MTCH": 0.0, + "MTD": 0.0, + "MU": 3972.149848937987, + "NCLH": 0.0, + "NDAQ": 0.0, + "NDSN": 0.0, + "NEE": 0.0, + "NEM": 0.0, + "NFLX": 15114.049621582031, + "NI": 0.0, + "NKE": 203.50000000000009, + "NOC": 469.4200134277337, + "NOW": 2280.5700073242174, + "NRG": 0.0, + "NSC": -2.891758244391779e-14, + "NTAP": 3925.9834397967243, + "NTRS": 0.0, + "NUE": 0.0, + "NVDA": 79865.16870117185, + "NVR": 0.0, + "NWS": 0.0, + "NWSA": 0.0, + "NXPI": 5271.1201171875, + "O": 0.0, + "ODFL": 1561.800048828124, + "OKE": 0.0, + "OMC": 0.0, + "ON": 297.99999999999994, + "ORCL": 8065.511898898462, + "ORLY": 3085.829956054687, + "OTIS": 1584.3599395751962, + "OXY": 0.0, + "PANW": 7618.380187988283, + "PARA": 0.0, + "PAYC": 0.0, + "PAYX": 0.0, + "PCAR": 0.0, + "PCG": 0.0, + "PEAK": 0.0, + "PEG": 0.0, + "PEP": 4978.8002014160165, + "PFE": 0.0, + "PFG": 157.36000061035156, + "PG": 147.89818141215187, + "PGR": 5147.353189256096, + "PH": 0.0, + "PHM": 641.339996337891, + "PKG": 491.22001647949185, + "PLD": 0.0, + "PM": 0.0, + "PNC": 0.0, + "PNR": 0.0, + "PNW": 0.0, + "PODD": 2482.3200073242174, + "POOL": 1169.9699707031255, + "PPG": 283.4200134277344, + "PPL": 0.0, + "PRU": 1352.0000000000002, + "PSA": 0.0, + "PSX": 2449.0998840332036, + "PTC": 353.9800109863284, + "PWR": 1219.3799743652357, + "PXD": -4.807012524718842e-13, + "PYPL": 0.0, + "QCOM": 5957.25, + "QRVO": 0.0, + "RCL": 1405.1399765014648, + "REG": 0.0, + "REGN": 1872.9599609375002, + "RF": 0.0, + "RHI": 0.0, + "RJF": 0.0, + "RL": 0.0, + "RMD": 2784.0000000000023, + "ROK": 304.1700134277346, + "ROL": 0.0, + "ROP": 4957.107711647918, + "ROST": 1515.0299530029295, + "RSG": 0.0, + "RTX": 0.0, + "RVTY": 0.0, + "SBAC": 5342.669845581054, + "SBUX": 4690.000152587889, + "SCHW": 191.5499954223633, + "SHW": 1525.09994506836, + "SJM": 128.7100067138671, + "SLB": 0.0, + "SNA": 0.0, + "SNPS": 0.0, + "SO": 827.2800292968755, + "SPG": 0.0, + "SPGI": 0.0, + "SRE": 0.0, + "STE": 444.61999511718744, + "STLD": 673.1999816894529, + "STT": 303.99999999999994, + "STX": 782.9099807739266, + "STZ": 4833.220092773436, + "SWK": 0.0, + "SWKS": 0.0, + "SYF": 0.0, + "SYK": 2534.159912109375, + "SYY": 0.0, + "T": 0.0, + "TAP": 0.0, + "TDG": 8466.799804687502, + "TDY": 0.0, + "TECH": 0.0, + "TEL": 0.0, + "TER": 0.0, + "TFC": 0.0, + "TFX": 0.0, + "TGT": 0.0, + "TJX": 382.07998657226585, + "TMO": 0.0, + "TMUS": 661.2000122070315, + "TPR": 880.800018310547, + "TRGP": 1072.3699722290035, + "TRMB": 0.0, + "TROW": 0.0, + "TRV": 0.0, + "TSCO": 2317.1000671386705, + "TSLA": 120563.67687988283, + "TSN": 212.03999328613276, + "TT": 0.0, + "TTWO": 824.8500061035161, + "TXN": 0.0, + "TXT": 0.0, + "TYL": 0.0, + "UAL": 2669.679885864258, + "UBER": 0.0, + "UDR": 0.0, + "UHS": 0.0, + "ULTA": 4745.199890136718, + "UNH": 12094.56005859375, + "UNP": 0.0, + "UPS": 0.0, + "URI": 0.0, + "USB": 0.0, + "USDOLLAR": -2183.570284627523, + "V": 6805.999755859371, + "VFC": 0.0, + "VICI": 0.0, + "VLO": 0.0, + "VLTO": 2.3091199405928705e-13, + "VMC": 0.0, + "VRSK": 0.0, + "VRSN": 1032.6000213623047, + "VRTX": 2188.2000732421857, + "VTR": 0.0, + "VTRS": 0.0, + "VZ": 0.0, + "WAB": 0.0, + "WAT": 313.60998535156244, + "WBA": 0.0, + "WBD": 0.0, + "WDC": 115.66000366210938, + "WEC": 0.0, + "WELL": 0.0, + "WFC": 0.0, + "WHR": 0.0, + "WM": 1106.9400329589846, + "WMB": 0.0, + "WMT": 10255.769577026367, + "WRB": 0.0, + "WRK": 0.0, + "WST": 0.0, + "WTW": 0.0, + "WY": 0.0, + "WYNN": 2538.0000000000014, + "XEL": 0.0, + "XOM": 0.0, + "XRAY": 0.0, + "XYL": 0.0, + "YUM": 0.0, + "ZBH": 0.0, + "ZBRA": 0.0, + "ZION": 0.0, + "ZTS": 0.0 } } \ No newline at end of file diff --git a/examples/strategies/sp500_daily_target_weights.json b/examples/strategies/sp500_daily_target_weights.json index 363d07e36..dc5f0d349 100644 --- a/examples/strategies/sp500_daily_target_weights.json +++ b/examples/strategies/sp500_daily_target_weights.json @@ -7082,5 +7082,511 @@ "ZBRA": 4.879781895863969e-11, "ZION": 3.872832702541729e-11, "ZTS": 1.0164618645323922e-10 + }, + "2024-01-22 14:30:00+00:00": { + "A": 4.0594843694788006e-11, + "AAL": 0.0007347301307913783, + "AAPL": 0.038192298579965325, + "ABBV": 0.009297476346615211, + "ABNB": 1.955167013794079e-11, + "ABT": 0.002981716094937715, + "ACGL": 1.0016197134948608e-10, + "ACN": 1.1541152157069892e-10, + "ADBE": 0.007110386294214268, + "ADI": 1.0075427961417108e-10, + "ADM": 6.563956015910497e-11, + "ADP": 7.682442267861791e-11, + "ADSK": 8.656318360917076e-11, + "AEE": 4.60547737444669e-11, + "AEP": 4.978567015806169e-11, + "AES": 2.5564610598678623e-11, + "AFL": 0.0027690909584767508, + "AIG": 5.200306690739933e-11, + "AIZ": 0.00033344231011796005, + "AJG": 1.0639784670943529e-10, + "AKAM": 8.435734886137795e-11, + "ALB": 3.9008490500191344e-11, + "ALGN": 0.0005472685268539149, + "ALL": 1.3348547655261788e-10, + "ALLE": 3.5502765187092054e-11, + "AMAT": 0.00150308430586255, + "AMCR": 1.2294788193678145e-11, + "AMD": 0.021142885294904434, + "AME": 5.960963377842574e-11, + "AMGN": 0.007440058797325877, + "AMP": 0.0026599767907801676, + "AMT": 0.001216076520987853, + "AMZN": 0.03281257731042419, + "ANET": 0.0021264557051890003, + "ANSS": 0.0010042035078085005, + "AON": 1.1080025330802672e-10, + "AOS": 5.640930980950585e-11, + "APA": 2.9585996410743384e-11, + "APD": 1.066850930658983e-10, + "APH": 0.001357306153956105, + "APTV": 7.891653865747962e-05, + "ARE": 4.314988134333983e-11, + "ATO": 7.568080031995614e-11, + "AVB": 6.003907244755531e-11, + "AVGO": 0.02040688271353968, + "AVY": 6.922919667444687e-11, + "AWK": 1.6098517099251413e-10, + "AXON": 0.00565219018780551, + "AXP": 1.1664217739218228e-10, + "AZO": 0.0027199244519295466, + "BA": 0.0010579345173635658, + "BAC": 6.175050906776099e-11, + "BALL": 1.165755135709472e-10, + "BAX": 1.0203255392126389e-10, + "BBWI": 8.737100500016174e-11, + "BBY": 0.0011322239580481676, + "BDX": 8.45780093359971e-11, + "BEN": 0.00022550251071920405, + "BF-B": 7.84649214333108e-11, + "BG": 9.43667073641413e-11, + "BIIB": 0.002237020231230786, + "BIO": 3.2149149569778575e-11, + "BK": 4.903571152928065e-11, + "BKNG": 0.0027163338616094483, + "BKR": 3.683642355997225e-11, + "BLDR": 0.002966448429236835, + "BLK": 0.0006787580123474591, + "BMY": 2.0454740305809888e-10, + "BR": 1.0412936605470196e-10, + "BRK-B": 8.419459433438213e-11, + "BRO": 0.0001489559111073953, + "BSX": 1.0959593539796667e-10, + "BWA": 6.747645925321758e-11, + "BX": 0.0013064426048381278, + "BXP": 5.568412185865235e-11, + "C": 7.960769211991063e-11, + "CAG": 1.2041445142753054e-10, + "CAH": 0.00010491446878134726, + "CARR": 0.02090758397868235, + "CAT": 4.6480584643705457e-11, + "CB": 0.004248281907396234, + "CBOE": 1.4771828511349194e-10, + "CBRE": 0.0037002576859282606, + "CCI": 0.0011842744603674255, + "CCL": 2.5170061657448985e-11, + "CDAY": 1.9349915039410073e-11, + "CDNS": 1.8741019966827502e-10, + "CDW": 0.0024850814063881086, + "CE": 0.00043050872011783387, + "CEG": 0.03732950057874925, + "CF": 0.006351706777602825, + "CFG": 4.944217465986454e-11, + "CHD": 0.003112177085477923, + "CHRW": 9.64233859028009e-11, + "CHTR": 0.0018242311953668919, + "CI": 0.0012002233155822592, + "CINF": 0.00011097215538602785, + "CL": 0.0011234637807889382, + "CLX": 0.0015653405642104521, + "CMA": 4.1642698642508254e-11, + "CMCSA": 0.003911943982221835, + "CME": 0.006228455549342941, + "CMG": 0.006574368979895683, + "CMI": 6.818670643353294e-11, + "CMS": 4.849820099560985e-11, + "CNC": 0.0007401620990792024, + "CNP": 3.8536821007844416e-11, + "COF": 0.004621949527336354, + "COO": 8.951682430567181e-11, + "COP": 8.156124844616778e-11, + "COR": 0.002817888552725671, + "COST": 6.955335905806426e-11, + "CPB": 1.2762825679798652e-10, + "CPRT": 0.0006812946650444194, + "CPT": 4.928265782049628e-11, + "CRL": 2.3992706327362745e-11, + "CRM": 0.007890811495233324, + "CSCO": 0.005004581808129264, + "CSGP": 0.00016464489256547233, + "CSX": 7.554781970679449e-11, + "CTAS": 9.187079495689567e-11, + "CTLT": 2.5386417271110755e-11, + "CTRA": 3.205305443252764e-11, + "CTSH": 0.005288355501729334, + "CTVA": 4.48506196151393e-05, + "CVS": 7.06145247589778e-11, + "CVX": 1.6256097005539518e-10, + "CZR": 0.0054561549986949, + "D": 1.1444872048834165e-10, + "DAL": 0.0013837211231973632, + "DD": 5.30479342710445e-11, + "DE": 1.3032563065206043e-10, + "DFS": 0.0016501835840386865, + "DG": 7.788980225396168e-11, + "DGX": 1.1881693552519908e-10, + "DHI": 0.0006178518458975484, + "DHR": 0.0022909354304366737, + "DIS": 0.0016600244364736664, + "DLR": 1.7473085831048335e-10, + "DLTR": 0.0014280205808268412, + "DOV": 5.588666778481606e-11, + "DOW": 6.659095592844505e-11, + "DPZ": 0.0034062855498397746, + "DRI": 0.00013146016919461493, + "DTE": 8.373886788489909e-11, + "DUK": 9.493453800533411e-05, + "DVA": 0.0013868023129668958, + "DVN": 2.6720923836676283e-11, + "DXCM": 0.0031112990765210144, + "EA": 0.0024602754270502004, + "EBAY": 7.905351386420292e-11, + "ECL": 5.5617693366944904e-11, + "ED": 1.3826771277495892e-10, + "EFX": 6.970770886920026e-11, + "EG": 0.0007030633465348652, + "EIX": 1.0088225500014708e-10, + "EL": 5.42652378372171e-11, + "ELV": 2.077105174956598e-10, + "EMN": 5.018944536667918e-11, + "EMR": 4.4877687935864513e-11, + "ENPH": 0.004675894663243221, + "EOG": 6.354913928333078e-11, + "EPAM": 0.0012054616838739697, + "EQIX": 1.6367160482301175e-09, + "EQR": 4.9658840680435724e-11, + "EQT": 3.179565303034441e-11, + "ES": 4.083034390431359e-11, + "ESS": 8.18884714916176e-11, + "ETN": 6.113758060445845e-11, + "ETR": 8.739499140702225e-11, + "ETSY": 4.2728849052897385e-11, + "EVRG": 3.339979247418737e-11, + "EW": 1.5833510019871081e-10, + "EXC": 5.297869530679744e-11, + "EXPD": 0.0006395174262827668, + "EXPE": 1.1325846192197904e-10, + "EXR": 2.0901248789958968e-10, + "F": 1.888282238641657e-11, + "FANG": 0.012353014752389518, + "FAST": 0.0009676177371391776, + "FCX": 3.911236977599064e-11, + "FDS": 0.0008685157215807892, + "FDX": 0.0034394916385696466, + "FE": 4.566423223457111e-11, + "FFIV": 0.000715465239000034, + "FI": 0.0001326023865109056, + "FICO": 0.002526786664354925, + "FIS": 4.38609217622744e-11, + "FITB": 1.1954830809987321e-10, + "FLT": 0.0007975747510302301, + "FMC": 1.0353575412797344e-10, + "FOX": 2.3231816337438487e-11, + "FOXA": 3.3587090604620125e-11, + "FRT": 4.059854468533015e-11, + "FSLR": 1.018036200688016e-10, + "FTNT": 0.0015362321063688985, + "FTV": 2.8216840576032874e-11, + "GD": 2.3408201759050847e-10, + "GE": 6.796050086073846e-11, + "GEHC": 0.006715072308340578, + "GEN": 7.85317856110162e-11, + "GILD": 0.0036772257544118174, + "GIS": 0.0023784687811580574, + "GL": 0.00012143470084977702, + "GLW": 3.5221798562697935e-11, + "GM": 2.870957796230885e-11, + "GNRC": 3.461264763134451e-11, + "GOOG": 0.012700042021800516, + "GOOGL": 0.014315459054645957, + "GPC": 1.837927069217106e-10, + "GPN": 0.00013044253601912206, + "GRMN": 0.001376898963939176, + "GS": 8.344983040884016e-11, + "GWW": 3.63975518803728e-11, + "HAL": 3.0322195852470896e-11, + "HAS": 0.00039167923261105295, + "HBAN": 2.5204613887479156e-11, + "HCA": 0.004283972406329836, + "HD": 0.011419476511994818, + "HES": 9.91576656785447e-11, + "HIG": 0.0022018480522784495, + "HII": 0.0010212816028835976, + "HLT": 1.6622075621431192e-10, + "HOLX": 0.0005840661205347651, + "HON": 4.626959506792079e-11, + "HPE": 1.8943892365869648e-11, + "HPQ": 3.090955109824622e-11, + "HRL": 1.0980404622693941e-10, + "HSIC": 9.233301674044549e-11, + "HST": 4.5773951914100163e-11, + "HSY": 0.00549651096483493, + "HUBB": 1.8033154842338724e-05, + "HUM": 0.002383292930873798, + "HWM": 0.0009975877026103873, + "IBM": 4.927518482965212e-11, + "ICE": 0.0018887611893254207, + "IDXX": 3.238782283523421e-10, + "IEX": 5.900293165776816e-11, + "IFF": 4.096329895627239e-11, + "ILMN": 0.0006803315203085763, + "INCY": 0.001350486211006022, + "INTC": 8.452438404095903e-11, + "INTU": 0.0012276034237610144, + "INVH": 2.729750663722332e-11, + "IP": 4.232756912793379e-11, + "IPG": 7.833483904399e-11, + "IQV": 3.503458118114966e-11, + "IR": 0.0001569398484273472, + "IRM": 5.337065524403767e-11, + "ISRG": 0.0052539140716212854, + "IT": 0.00042803101450330133, + "ITW": 5.860680281115758e-11, + "IVZ": 3.0115294415831125e-11, + "J": 8.298879839976637e-11, + "JBHT": 7.779713752280071e-11, + "JBL": 0.0029996153700532044, + "JCI": 5.901664328362348e-11, + "JKHY": 0.001201194977981359, + "JNJ": 0.01399589852244861, + "JNPR": 3.841691208983062e-11, + "JPM": 0.0057939196014277, + "K": 0.0004260935597757947, + "KDP": 9.757356373173213e-11, + "KEY": 2.1357734069753125e-11, + "KEYS": 5.3552605048927446e-11, + "KHC": 1.996420651235725e-11, + "KIM": 2.7161657348617198e-11, + "KLAC": 1.744365378932268e-10, + "KMB": 0.007264395623610337, + "KMI": 1.4383973392771362e-11, + "KMX": 4.626464745487698e-11, + "KO": 0.00017801726989942577, + "KR": 8.782445871610542e-11, + "KVUE": 6.042007496791503e-12, + "L": 7.184639044491403e-05, + "LDOS": 3.509833094754484e-11, + "LEN": 1.520785223594715e-10, + "LH": 3.845265495704837e-11, + "LHX": 9.141252528298e-11, + "LIN": 2.9091093597068896e-10, + "LKQ": 1.050120465915418e-10, + "LLY": 0.0012512294342827723, + "LMT": 0.006906443042648302, + "LNT": 3.785115275551705e-11, + "LOW": 2.029063549446645e-10, + "LRCX": 0.0011333812646112879, + "LULU": 0.003802665546309849, + "LUV": 2.990046473723166e-05, + "LVS": 0.0006766373452081086, + "LW": 0.00249571734391572, + "LYB": 0.003421458842677553, + "LYV": 0.0025708226006883354, + "MA": 0.024012261296349716, + "MAA": 6.304474163314645e-11, + "MAR": 2.2619793158495285e-10, + "MAS": 6.198696000758561e-11, + "MCD": 0.008965656867226996, + "MCHP": 0.0032174485532465756, + "MCK": 3.911268342891013e-10, + "MCO": 3.443168345175398e-11, + "MDLZ": 4.785018058121106e-11, + "MDT": 0.0005159237275746011, + "MET": 6.842040898436086e-05, + "META": 0.022994001090054984, + "MGM": 0.0008581848961577166, + "MHK": 1.2174692348917275e-10, + "MKC": 7.287361116581491e-11, + "MKTX": 0.0011292521643200923, + "MLM": 4.7723704142575814e-11, + "MMC": 4.578256553638082e-11, + "MMM": 7.979550980899472e-11, + "MNST": 0.003299694875749489, + "MO": 0.0023981904242950645, + "MOH": 0.00038523468290544414, + "MOS": 2.408478103117218e-11, + "MPC": 0.007757803373599942, + "MPWR": 0.0005504336053300677, + "MRK": 0.004728457456519688, + "MRNA": 0.006486421705233819, + "MRO": 1.4996793147784176e-11, + "MS": 0.005685965939909823, + "MSCI": 2.6706696922587784e-10, + "MSFT": 0.03813462138659501, + "MSI": 7.77695023305945e-11, + "MTB": 0.0016973105295387998, + "MTCH": 6.430545066508929e-11, + "MTD": 1.3738696870410954e-10, + "MU": 0.00394450165160931, + "NCLH": 5.211959119026165e-11, + "NDAQ": 7.870469266003431e-11, + "NDSN": 5.412831133482856e-11, + "NEE": 5.075118663053395e-11, + "NEM": 7.065940516530276e-11, + "NFLX": 0.01500885421289209, + "NI": 3.1208819135734294e-11, + "NKE": 0.00020208291589559035, + "NOC": 0.0004661489581400258, + "NOW": 0.002204681804644224, + "NRG": 6.943615203285768e-11, + "NSC": 1.560185041969727e-10, + "NTAP": 0.003912301188847772, + "NTRS": 6.252281597841999e-11, + "NUE": 8.214300393602412e-11, + "NVDA": 0.07772477234840067, + "NVR": 0.0008286576171735475, + "NWS": 2.4732799356809868e-11, + "NWSA": 2.496632978289142e-11, + "NXPI": 0.005234430855716408, + "O": 9.600256206814781e-11, + "ODFL": 0.0015468945437646748, + "OKE": 6.109263256589054e-11, + "OMC": 8.307607043317384e-11, + "ON": 0.00029592567891699966, + "ORCL": 0.008009373452525266, + "ORLY": 0.003013426316322978, + "OTIS": 0.001573331866661663, + "OXY": 4.4293191713738915e-11, + "PANW": 0.007565354102654974, + "PARA": 2.4209839406519877e-11, + "PAYC": 1.5513939076203956e-10, + "PAYX": 1.7089259244992066e-10, + "PCAR": 1.2231671587350174e-10, + "PCG": 2.8710039544664797e-11, + "PEAK": 2.3415268929723906e-11, + "PEG": 1.0993592949299254e-10, + "PEP": 0.00494414518351964, + "PFE": 5.904304004259256e-11, + "PFG": 0.00015626471537348992, + "PG": 0.00014686850178434295, + "PGR": 0.005111525200732218, + "PH": 5.836211715366712e-11, + "PHM": 0.0006368759744572928, + "PKG": 0.00048780042617677354, + "PLD": 6.2729189095912e-11, + "PM": 1.3052973989989475e-10, + "PNC": 1.6533575725597822e-10, + "PNR": 3.637340456574802e-11, + "PNW": 4.359309402135474e-11, + "PODD": 0.0025138641638584526, + "POOL": 0.0011618260077562385, + "PPG": 0.0002814470821663639, + "PPL": 4.770165817963828e-11, + "PRU": 0.0013425894681125233, + "PSA": 6.028977998531961e-11, + "PSX": 0.0024320528241137413, + "PTC": 0.00035151417452281204, + "PWR": 0.0012108926581226068, + "PXD": 1.3303717989899118e-10, + "PYPL": 2.0281255825279364e-11, + "QCOM": 0.005915784527379196, + "QRVO": 1.584308328626767e-11, + "RCL": 0.0013953593404422231, + "REG": 4.100312159243342e-11, + "REGN": 0.0018563329734312965, + "RF": 2.821080286365054e-11, + "RHI": 6.334822796747809e-11, + "RJF": 1.5212574925433937e-10, + "RL": 7.523211249990597e-11, + "RMD": 0.0027815060398381193, + "ROK": 0.00030131668283306633, + "ROL": 4.371176853517702e-11, + "ROP": 0.0049225989864316345, + "ROST": 0.0015044844286272346, + "RSG": 8.97309124133198e-11, + "RTX": 1.3286964164565655e-10, + "RVTY": 3.171651793514704e-11, + "SBAC": 0.005384542671784183, + "SBUX": 0.004657355291381837, + "SCHW": 0.00019021671506706477, + "SHW": 0.0015144827126905023, + "SJM": 0.00012781404810567178, + "SLB": 3.076473519384103e-11, + "SNA": 8.009239396770857e-11, + "SNPS": 4.7931846379114215e-11, + "SO": 0.0008215217979497186, + "SPG": 6.192432870603831e-11, + "SPGI": 5.822059847265895e-11, + "SRE": 1.2200591238181382e-10, + "STE": 0.0004415247168800582, + "STLD": 0.0006685139831190232, + "STT": 0.0003018840293883088, + "STX": 0.0007774604919186115, + "STZ": 0.004799578816446222, + "SWK": 6.976876033209017e-11, + "SWKS": 3.207679534774846e-11, + "SYF": 6.046153099745261e-11, + "SYK": 0.0025165207181017052, + "SYY": 7.491270216316493e-11, + "T": 6.521572567036266e-11, + "TAP": 1.1616229648452277e-10, + "TDG": 0.00858366075631899, + "TDY": 1.89999925275268e-10, + "TECH": 1.522576627636698e-10, + "TEL": 6.158345565350991e-11, + "TER": 4.186006030299434e-11, + "TFC": 4.572129000163212e-11, + "TFX": 1.4710103033452244e-10, + "TGT": 7.210573264035591e-11, + "TJX": 0.00037942033054717264, + "TMO": 1.276570152153472e-10, + "TMUS": 0.0006565974841281756, + "TPR": 0.0008746695247030191, + "TRGP": 0.0010649056639601164, + "TRMB": 4.938362534302177e-11, + "TROW": 7.984841001835421e-11, + "TRV": 1.1272656301723655e-10, + "TSCO": 0.002300971944437573, + "TSLA": 0.11996926280571234, + "TSN": 0.00021056412506601933, + "TT": 6.3970062669158e-11, + "TTWO": 0.0008191087065976, + "TXN": 5.7938820585089656e-11, + "TXT": 4.051513099594816e-11, + "TYL": 1.0464916278385684e-10, + "UAL": 0.0026510978056797, + "UBER": 2.964326352229753e-11, + "UDR": 3.1022751786274726e-11, + "UHS": 4.573106977931839e-11, + "ULTA": 0.004832295357278827, + "UNH": 0.01213586647191577, + "UNP": 9.605133191365303e-11, + "UPS": 2.971664629108284e-11, + "URI": 1.0073231093670194e-10, + "USB": 5.128021432615127e-11, + "USDOLLAR": 1.9938690761812927e-08, + "V": 0.006758617481480775, + "VFC": 2.3667802860660068e-11, + "VICI": 3.184391849473694e-11, + "VLO": 8.782016657610908e-11, + "VLTO": 5.7853870702020984e-11, + "VMC": 2.976441920373923e-11, + "VRSK": 6.346641837363975e-11, + "VRSN": 0.0010254117694895569, + "VRTX": 0.0021729691158630907, + "VTR": 5.9522188772994e-11, + "VTRS": 2.2010247171796544e-11, + "VZ": 1.2002462447320464e-10, + "WAB": 4.611036774734177e-11, + "WAT": 0.0003114272477185277, + "WBA": 4.6526201914012816e-11, + "WBD": 1.6423173464084877e-11, + "WDC": 0.00011485492537459155, + "WEC": 1.4596515193654802e-10, + "WELL": 5.600124813271058e-11, + "WFC": 1.2574125795877235e-10, + "WHR": 7.564557765441319e-11, + "WM": 0.0010992345577710697, + "WMB": 1.253326704435183e-10, + "WMT": 0.010184384366749932, + "WRB": 1.0722966268084454e-10, + "WRK": 2.3828375753434898e-11, + "WST": 4.379441923674084e-11, + "WTW": 1.0333911386208511e-10, + "WY": 3.0066232820649927e-11, + "WYNN": 0.002520472023664076, + "XEL": 5.507327776916463e-11, + "XOM": 9.048524095971711e-11, + "XRAY": 9.384545094542381e-11, + "XYL": 7.965483053586138e-11, + "YUM": 1.2889642989281167e-10, + "ZBH": 4.041237091050169e-11, + "ZBRA": 4.132508141176179e-11, + "ZION": 3.3619458763326735e-11, + "ZTS": 9.206083623053368e-11 } } \ No newline at end of file From e26f3df286b6139fc89021eb96171568e17451d6 Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Mon, 22 Jan 2024 19:23:25 +0400 Subject: [PATCH 13/14] Temporarily limiting pandas version, need to fix code that causes issues, gh issue #128. --- pyproject.toml | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/pyproject.toml b/pyproject.toml index 7a495206b..75e11bac6 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -7,7 +7,7 @@ license = {text = "Apache License (2.0)"} authors = [{name = "Enzo Busseti"}, {name = "Stephen Boyd"}, {name = "Steven Diamond"}, {name = "BlackRock Inc."}] maintainers = [{name = "Enzo Busseti", email = "enzo.busseti@gmail.com"}] -dependencies = ["pandas", "numpy", "matplotlib", "requests", "cvxpy", +dependencies = ["pandas<2.2.0", "numpy", "matplotlib", "requests", "cvxpy", "multiprocess"] [project.optional-dependencies] From 761ee3aa79d7bf707dae9d6a45b0438725395b57 Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Mon, 22 Jan 2024 20:23:28 +0400 Subject: [PATCH 14/14] Found problem with pandas 2.2.0, fixed, resolves #128 --- cvxportfolio/data.py | 26 ++++++++++++-------------- cvxportfolio/tests/test_data.py | 10 +++++----- pyproject.toml | 2 +- 3 files changed, 18 insertions(+), 20 deletions(-) diff --git a/cvxportfolio/data.py b/cvxportfolio/data.py index fd9dce8f8..d9b06ef87 100644 --- a/cvxportfolio/data.py +++ b/cvxportfolio/data.py @@ -306,12 +306,12 @@ def _clean(data): # print(data.isnull().sum()) # if low is not the lowest, set it to nan - data['low'].loc[ - data['low'] > data[['open', 'high', 'close']].min(1)] = np.nan + data.loc[data['low'] > data[['open', 'high', 'close']].min(1), + 'low'] = np.nan # if high is not the highest, set it to nan - data['high'].loc[ - data['high'] < data[['open', 'high', 'close']].max(1)] = np.nan + data.loc[data['high'] < data[['open', 'high', 'close']].max(1), + 'high'] = np.nan # print(data) # print(data.isnull().sum()) @@ -959,7 +959,8 @@ def _add_cash_column(self, cash_key, grace_period): # be misaligned (e.g., with tz-aware timestamps) cash_returns_per_period.name = self.cash_key original_returns_index = self.returns.index - tmp = pd.concat([self.returns, cash_returns_per_period], axis=1) + tmp = pd.concat( + [self.returns, cash_returns_per_period], sort=True, axis=1) tmp[cash_key] = tmp[cash_key].ffill() self.returns = tmp.loc[original_returns_index] @@ -1082,9 +1083,8 @@ def _downsample(self, interval): # we nan-out the first non-nan element of every col for col in self.returns.columns[:-1]: - self.returns[col].loc[ - (~(self.returns[col].isnull())).idxmax() - ] = np.nan + self.returns.loc[ + (~(self.returns[col].isnull())).idxmax(), col] = np.nan # and we drop the first row, which is mostly NaNs anyway self.returns = self.returns.iloc[1:] @@ -1107,9 +1107,8 @@ def _downsample(self, interval): # we nan-out the first non-nan element of every col for col in self.volumes.columns: - self.volumes[col].loc[ - (~(self.volumes[col].isnull())).idxmax() - ] = np.nan + self.volumes.loc[ + (~(self.volumes[col].isnull())).idxmax(), col] = np.nan # and we drop the first row, which is mostly NaNs anyway self.volumes = self.volumes.iloc[1:] @@ -1129,9 +1128,8 @@ def _downsample(self, interval): # we nan-out the first non-nan element of every col for col in self.prices.columns: - self.prices[col].loc[ - (~(self.prices[col].isnull())).idxmax() - ] = np.nan + self.prices.loc[ + (~(self.prices[col].isnull())).idxmax(), col] = np.nan # and we drop the first row, which is mostly NaNs anyway self.prices = self.prices.iloc[1:] diff --git a/cvxportfolio/tests/test_data.py b/cvxportfolio/tests/test_data.py index 545384380..bb23f2b50 100644 --- a/cvxportfolio/tests/test_data.py +++ b/cvxportfolio/tests/test_data.py @@ -203,17 +203,17 @@ def _base_test_series(self, loader, storer): name="test2"), pd.Series("hello", pd.date_range("2020-01-01", "2020-01-02", tz='UTC-05:00', - freq="H"), + freq="h"), name="test3"), # test overwrite pd.Series("hello", - pd.date_range("2020-01-01", "2020-01-02", tz='UTC', freq="H"), + pd.date_range("2020-01-01", "2020-01-02", tz='UTC', freq="h"), name="test3"), # test datetime conversion pd.Series( pd.date_range("2022-01-01", "2022-01-02", tz='UTC', - freq="H"), - pd.date_range("2020-01-01", "2020-01-02", tz='UTC', freq="H"), + freq="h"), + pd.date_range("2020-01-01", "2020-01-02", tz='UTC', freq="h"), name="test4"), ]: @@ -248,7 +248,7 @@ def _base_test_series(self, loader, storer): def _base_test_dataframe(self, loader, storer): """Test storing and retrieving of a DataFrame with datetime index.""" - index = pd.date_range("2020-01-01", "2020-01-02", freq="H", tz='UTC') + index = pd.date_range("2020-01-01", "2020-01-02", freq="h", tz='UTC') data = { "one": range(len(index)), "two": np.arange(len(index)) / 19.0, diff --git a/pyproject.toml b/pyproject.toml index 75e11bac6..7a495206b 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -7,7 +7,7 @@ license = {text = "Apache License (2.0)"} authors = [{name = "Enzo Busseti"}, {name = "Stephen Boyd"}, {name = "Steven Diamond"}, {name = "BlackRock Inc."}] maintainers = [{name = "Enzo Busseti", email = "enzo.busseti@gmail.com"}] -dependencies = ["pandas<2.2.0", "numpy", "matplotlib", "requests", "cvxpy", +dependencies = ["pandas", "numpy", "matplotlib", "requests", "cvxpy", "multiprocess"] [project.optional-dependencies]