spx_daily.xlsx
Missing file
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
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
Date
1927-12-30 100.0
1928-01-03 100.0
1928-01-04 100.0
Name: Close, dtype: float64
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
Date
1927-12-30 100.000000
1928-01-03 100.566251
1928-01-04 100.339751
Name: Close, dtype: float64
Date
2024-07-12 31,796.998867
2024-07-15 31,886.862967
2024-07-16 32,005.775764
Name: Close, dtype: float64
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
Exit Trade Id | Column | Size | Entry Timestamp | Avg Entry Price | Entry Fees | Exit Timestamp | Avg Exit Price | Exit Fees | PnL | Return | Direction | Status | Position Id | Max Return % | Min Return % |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
0 | Close | 5.64 | 1928-01-04 | 17.72 | 0.0 | 1928-01-05 | 17.55 | 0.0 | -0.96 | -0.0096 | Long | Closed | 0 | 0.2475 | -0.1236 |
1 | Close | 5.64 | 1928-01-05 | 17.55 | 0.0 | 1928-01-06 | 17.66 | 0.0 | -0.62 | -0.0063 | Short | Closed | 1 | 0.2475 | -0.1236 |
2 | Close | 5.57 | 1928-01-06 | 17.66 | 0.0 | 1928-01-09 | 17.50 | 0.0 | -0.89 | -0.0091 | Long | Closed | 2 | 0.2475 | -0.1236 |
3 | Close | 5.57 | 1928-01-09 | 17.50 | 0.0 | 1928-01-12 | 17.47 | 0.0 | 0.17 | 0.0017 | Short | Closed | 3 | 0.2475 | -0.1236 |
4 | Close | 5.59 | 1928-01-12 | 17.47 | 0.0 | 1928-01-16 | 17.29 | 0.0 | -1.01 | -0.0103 | Long | Closed | 4 | 0.2475 | -0.1236 |
Date | Open | High | Low | Close |
---|---|---|---|---|
1927-12-30 | 17.66 | 17.66 | 17.66 | 17.66 |
1928-01-03 | 17.76 | 17.76 | 17.76 | 17.76 |
1928-01-04 | 17.72 | 17.72 | 17.72 | 17.72 |
1928-01-05 | 17.55 | 17.55 | 17.55 | 17.55 |
1928-01-06 | 17.66 | 17.66 | 17.66 | 17.66 |
Date | Open | High | Low | Close |
---|---|---|---|---|
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 |
1928-09-30 | 21.14 | 21.14 | 21.14 | 21.14 |
1928-12-31 |
Date | Action | Shares | Price | Capital | Return | Max Return % | Min Return % |
---|---|---|---|---|---|---|---|
1927-12-31 | Buy | 566 | 17.66 | 4.44 | NaN | 3.096092e+08 | -1.0 |
1928-06-30 | Sell | 566 | 19.14 | 10837.68 | 2439.92 | 3.096092e+08 | -1.0 |
1928-06-30 | Buy | 566 | 19.14 | 4.44 | -99.96 | 3.096092e+08 | -1.0 |
1928-12-31 | Sell | 566 | 24.35 | 13786.54 | 3104.08 | 3.096092e+08 | -1.0 |
1928-12-31 | Buy | 566 | 24.35 | 4.44 | -99.97 | 3.096092e+08 | -1.0 |