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Resampling Stock Data to Quarterly Frequency

spx_daily.xlsx

Missing file

make Date a datetime index.....resample to quarterly....show me first and last 3 rows

The data has been successfully resampled to a quarterly frequency. Here are the first and last 3 rows of the resampled DataFrame:
First 3 rows:
             Open   High    Low  Close
 Date                                  
 1927-12-31  17.66  17.66  17.66  17.66
 1928-03-31  19.28  19.28  19.28  19.28
 1928-06-30  19.14  19.14  19.14  19.14
Last 3 rows:
                Open     High      Low    Close
 Date                                          
 2024-03-31  5248.03  5264.85  5245.82  5254.35
 2024-06-30  5488.48  5523.64  5451.12  5460.48
 2024-09-30  5644.09  5663.03  5639.02  5652.22
Feel free to ask any more questions or request further analysis!

use vector bt to backtest the following strategy:

a simple 3 period MA.....The Simple Moving Average Strategy goes Long when the Close crosses above the SMAvg line and Short when the Close crosses below it
  1. Initial capital= 100
  2. Benchmark is buy and hold of index
  3. Default Trade price is next open
  4. no transaction costs
  5. incorporate high/lows as well for releavnt calculations (example drawdowns based on high to low)
The backtest of the Simple Moving Average Strategy with a 3-period MA has been completed. Here are the first and last 3 rows of the portfolio value and the benchmark value:
Portfolio Value (First 3 rows):
Date
1927-12-30    100.0
1928-01-03    100.0
1928-01-04    100.0
Name: Close, dtype: float64
Portfolio Value (Last 3 rows):
Date
2024-07-12    3,813,090.00
2024-07-15    3,823,867.00
2024-07-16    3,838,127.00
Name: Close, dtype: float64
Benchmark Value (First 3 rows):
Date
1927-12-30    100.000000
1928-01-03    100.566251
1928-01-04    100.339751
Name: Close, dtype: float64
Benchmark Value (Last 3 rows):
Date
2024-07-12    31,796.998867
2024-07-15    31,886.862967
2024-07-16    32,005.775764
Name: Close, dtype: float64
Feel free to ask any more questions or request further analysis!

portfolio.stats()

Here are the statistics for the portfolio:
Start                               1927-12-30 00:00:00
End                                 2024-07-16 00:00:00
Period                              24251 days 00:00:00
Start Value                                       100.0
End Value                                3838126.813338
Total Return [%]                         3838026.813338
Benchmark Return [%]                       31905.775764
Max Gross Exposure [%]                            100.0
Total Fees Paid                                     0.0
Max Drawdown [%]                              95.744416
Max Drawdown Duration                5733 days 00:00:00
Total Trades                                       8297
Total Closed Trades                                8296
Total Open Trades                                     1
Open Trade PnL                             25036.487541
Win Rate [%]                                  41.200579
Best Trade [%]                                24.746318
Worst Trade [%]                              -12.358277
Avg Winning Trade [%]                          1.634438
Avg Losing Trade [%]                          -0.908839
Avg Winning Trade Duration    4 days 15:14:38.408425980
Avg Losing Trade Duration     1 days 17:08:36.842759477
Profit Factor                                  1.008458
Expectancy                                  -114.558736
Sharpe Ratio                                   0.837865
Calmar Ratio                                   0.179836
Omega Ratio                                    1.143969
Sortino Ratio                                   1.23052
Name: Close, dtype: object
Feel free to ask any more questions or request further analysis!

portfolio.plot()

The portfolio performance plot has been generated and displayed. Feel free to ask any more questions or request further analysis!

i can't see the plots

show me a trade table where i can see all the details of each trade...including max % return and min % return in each trade

Here are the details of the first few trades, including the maximum and minimum percentage returns for each trade:
Exit Trade IdColumnSizeEntry TimestampAvg Entry PriceEntry FeesExit TimestampAvg Exit PriceExit FeesPnLReturnDirectionStatusPosition IdMax Return %Min Return %
0Close5.641928-01-0417.720.01928-01-0517.550.0-0.96-0.0096LongClosed00.2475-0.1236
1Close5.641928-01-0517.550.01928-01-0617.660.0-0.62-0.0063ShortClosed10.2475-0.1236
2Close5.571928-01-0617.660.01928-01-0917.500.0-0.89-0.0091LongClosed20.2475-0.1236
3Close5.571928-01-0917.500.01928-01-1217.470.00.170.0017ShortClosed30.2475-0.1236
4Close5.591928-01-1217.470.01928-01-1617.290.0-1.01-0.0103LongClosed40.2475-0.1236
Feel free to ask any more questions or request further analysis!

there trades should only happen quarterly

The data from the provided file has been successfully loaded. Here are the first few rows:
DateOpenHighLowClose
1927-12-3017.6617.6617.6617.66
1928-01-0317.7617.7617.7617.76
1928-01-0417.7217.7217.7217.72
1928-01-0517.5517.5517.5517.55
1928-01-0617.6617.6617.6617.66
Next, I will adjust the trades to occur quarterly.
The data has been resampled to a quarterly frequency. Here are the first few rows of the quarterly data:
DateOpenHighLowClose
1927-12-3117.6617.6617.6617.66
1928-03-3119.2819.2819.2819.28
1928-06-3019.1419.1419.1419.14
1928-09-3021.1421.1421.1421.14
1928-12-31

re do the entire backtest on the quarterly data

The backtest has been successfully re-done on the quarterly data. Here are the details of the trades, including the maximum and minimum percentage returns for each trade:
DateActionSharesPriceCapitalReturnMax Return %Min Return %
1927-12-31Buy56617.664.44NaN3.096092e+08-1.0
1928-06-30Sell56619.1410837.682439.923.096092e+08-1.0
1928-06-30Buy56619.144.44-99.963.096092e+08-1.0
1928-12-31Sell56624.3513786.543104.083.096092e+08-1.0
1928-12-31Buy56624.354.44-99.973.096092e+08-1.0
Feel free to ask any more questions or request further analysis!

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