Added code for pairs trading with randomly chosen pairs (instead of c…

…ointegrated pairs).
IanLKaplan · Feb 17, 2023 · 4e24364 · 4e24364
1 parent b59f370
commit 4e24364
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Showing 494 changed files with 634 additions and 137 deletions.
diff --git a/pairs_trading_backtest.py b/pairs_trading_backtest.py
diff --git a/s_and_p_data/A.csv b/s_and_p_data/A.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,154.6
 2023-02-14,153.04
 2023-02-15,151.75
+2023-02-16,148.28
diff --git a/s_and_p_data/AAL.csv b/s_and_p_data/AAL.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,16.51
 2023-02-14,16.79
 2023-02-15,16.8
+2023-02-16,16.39
diff --git a/s_and_p_data/AAP.csv b/s_and_p_data/AAP.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,152.19
 2023-02-14,150.76
 2023-02-15,151.29
+2023-02-16,150.19
diff --git a/s_and_p_data/AAPL.csv b/s_and_p_data/AAPL.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,153.85
 2023-02-14,153.2
 2023-02-15,155.33
+2023-02-16,153.71
diff --git a/s_and_p_data/ABBV.csv b/s_and_p_data/ABBV.csv
@@ -2548,3 +2548,4 @@ Date,Close
 2023-02-13,153.73
 2023-02-14,152.59
 2023-02-15,151.06
+2023-02-16,149.53
diff --git a/s_and_p_data/ABC.csv b/s_and_p_data/ABC.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,158.61
 2023-02-14,157.36
 2023-02-15,158.81
+2023-02-16,160.47
diff --git a/s_and_p_data/ABT.csv b/s_and_p_data/ABT.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,108.52
 2023-02-14,107.26
 2023-02-15,107.28
+2023-02-16,106.08
diff --git a/s_and_p_data/ACN.csv b/s_and_p_data/ACN.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,288.35
 2023-02-14,284.77
 2023-02-15,287.65
+2023-02-16,281.22
diff --git a/s_and_p_data/ADBE.csv b/s_and_p_data/ADBE.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,375.0
 2023-02-14,377.9
 2023-02-15,375.94
+2023-02-16,365.16
diff --git a/s_and_p_data/ADI.csv b/s_and_p_data/ADI.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,180.45
 2023-02-14,182.54
 2023-02-15,196.18
+2023-02-16,193.83
diff --git a/s_and_p_data/ADM.csv b/s_and_p_data/ADM.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,81.9
 2023-02-14,81.78
 2023-02-15,81.74
+2023-02-16,81.42
diff --git a/s_and_p_data/ADP.csv b/s_and_p_data/ADP.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,227.36
 2023-02-14,224.59
 2023-02-15,227.85
+2023-02-16,227.48
diff --git a/s_and_p_data/ADSK.csv b/s_and_p_data/ADSK.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,224.0
 2023-02-14,228.04
 2023-02-15,229.28
+2023-02-16,222.13
diff --git a/s_and_p_data/AEE.csv b/s_and_p_data/AEE.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,85.84
 2023-02-14,85.2
 2023-02-15,85.83
+2023-02-16,85.84
diff --git a/s_and_p_data/AEP.csv b/s_and_p_data/AEP.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,91.09
 2023-02-14,90.48
 2023-02-15,90.92
+2023-02-16,90.7
diff --git a/s_and_p_data/AES.csv b/s_and_p_data/AES.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,26.35
 2023-02-14,26.29
 2023-02-15,26.69
+2023-02-16,26.37
diff --git a/s_and_p_data/AFL.csv b/s_and_p_data/AFL.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,71.01
 2023-02-14,69.21
 2023-02-15,69.27
+2023-02-16,69.13
diff --git a/s_and_p_data/AIG.csv b/s_and_p_data/AIG.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,61.96
 2023-02-14,61.52
 2023-02-15,61.83
+2023-02-16,62.16
diff --git a/s_and_p_data/AIZ.csv b/s_and_p_data/AIZ.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,133.57
 2023-02-14,130.25
 2023-02-15,131.95
+2023-02-16,132.94
diff --git a/s_and_p_data/AJG.csv b/s_and_p_data/AJG.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,195.22
 2023-02-14,188.25
 2023-02-15,190.33
+2023-02-16,188.63
diff --git a/s_and_p_data/AKAM.csv b/s_and_p_data/AKAM.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,87.97
 2023-02-14,87.79
 2023-02-15,78.66
+2023-02-16,77.07
diff --git a/s_and_p_data/ALB.csv b/s_and_p_data/ALB.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,269.93
 2023-02-14,270.7
 2023-02-15,272.79
+2023-02-16,285.62
diff --git a/s_and_p_data/ALGN.csv b/s_and_p_data/ALGN.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,325.26
 2023-02-14,331.52
 2023-02-15,338.39
+2023-02-16,326.17
diff --git a/s_and_p_data/ALK.csv b/s_and_p_data/ALK.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,50.16
 2023-02-14,50.58
 2023-02-15,50.27
+2023-02-16,49.12
diff --git a/s_and_p_data/ALL.csv b/s_and_p_data/ALL.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,136.51
 2023-02-14,135.04
 2023-02-15,137.15
+2023-02-16,137.1
diff --git a/s_and_p_data/ALLE.csv b/s_and_p_data/ALLE.csv
@@ -2326,3 +2326,4 @@ Date,Close
 2023-02-13,119.92
 2023-02-14,119.86
 2023-02-15,121.58
+2023-02-16,118.75
diff --git a/s_and_p_data/AMAT.csv b/s_and_p_data/AMAT.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,116.53
 2023-02-14,118.44
 2023-02-15,119.46
+2023-02-16,115.39
diff --git a/s_and_p_data/AMCR.csv b/s_and_p_data/AMCR.csv
@@ -2706,3 +2706,4 @@ Date,Close
 2023-02-13,11.45
 2023-02-14,11.4
 2023-02-15,11.51
+2023-02-16,11.41
diff --git a/s_and_p_data/AMD.csv b/s_and_p_data/AMD.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,83.13
 2023-02-14,85.95
 2023-02-15,85.18
+2023-02-16,80.08
diff --git a/s_and_p_data/AME.csv b/s_and_p_data/AME.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,145.83
 2023-02-14,144.37
 2023-02-15,146.2
+2023-02-16,144.55
diff --git a/s_and_p_data/AMGN.csv b/s_and_p_data/AMGN.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,243.66
 2023-02-14,241.03
 2023-02-15,240.07
+2023-02-16,234.22
diff --git a/s_and_p_data/AMP.csv b/s_and_p_data/AMP.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,355.33
 2023-02-14,352.74
 2023-02-15,350.3
+2023-02-16,349.47
diff --git a/s_and_p_data/AMT.csv b/s_and_p_data/AMT.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,217.26
 2023-02-14,215.15
 2023-02-15,216.6
+2023-02-16,212.0
diff --git a/s_and_p_data/AMZN.csv b/s_and_p_data/AMZN.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,99.54
 2023-02-14,99.7
 2023-02-15,101.16
+2023-02-16,98.15
diff --git a/s_and_p_data/ANET.csv b/s_and_p_data/ANET.csv
@@ -2189,3 +2189,4 @@ Date,Close
 2023-02-13,136.0
 2023-02-14,141.46
 2023-02-15,141.53
+2023-02-16,141.68
diff --git a/s_and_p_data/ANSS.csv b/s_and_p_data/ANSS.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,272.76
 2023-02-14,274.28
 2023-02-15,277.9
+2023-02-16,273.24
diff --git a/s_and_p_data/AON.csv b/s_and_p_data/AON.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,321.43
 2023-02-14,312.44
 2023-02-15,315.07
+2023-02-16,310.25
diff --git a/s_and_p_data/AOS.csv b/s_and_p_data/AOS.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,68.03
 2023-02-14,67.48
 2023-02-15,68.03
+2023-02-16,67.72
diff --git a/s_and_p_data/APA.csv b/s_and_p_data/APA.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,42.51
 2023-02-14,42.47
 2023-02-15,41.31
+2023-02-16,40.14
diff --git a/s_and_p_data/APD.csv b/s_and_p_data/APD.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,286.7
 2023-02-14,281.49
 2023-02-15,284.46
+2023-02-16,280.73
diff --git a/s_and_p_data/APH.csv b/s_and_p_data/APH.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,81.11
 2023-02-14,80.73
 2023-02-15,81.46
+2023-02-16,81.36
diff --git a/s_and_p_data/APTV.csv b/s_and_p_data/APTV.csv
@@ -2828,3 +2828,4 @@ Date,Close
 2023-02-13,112.79
 2023-02-14,121.1
 2023-02-15,123.07
+2023-02-16,120.73
diff --git a/s_and_p_data/ARE.csv b/s_and_p_data/ARE.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,167.0
 2023-02-14,165.08
 2023-02-15,165.4
+2023-02-16,162.01
diff --git a/s_and_p_data/ATO.csv b/s_and_p_data/ATO.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,116.81
 2023-02-14,115.77
 2023-02-15,116.91
+2023-02-16,115.69
diff --git a/s_and_p_data/ATVI.csv b/s_and_p_data/ATVI.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,76.59
 2023-02-14,76.78
 2023-02-15,77.7
+2023-02-16,77.51
diff --git a/s_and_p_data/AVB.csv b/s_and_p_data/AVB.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,181.19
 2023-02-14,180.08
 2023-02-15,181.14
+2023-02-16,180.12
diff --git a/s_and_p_data/AVGO.csv b/s_and_p_data/AVGO.csv
@@ -3405,3 +3405,4 @@ Date,Close
 2023-02-13,601.12
 2023-02-14,602.31
 2023-02-15,607.69
+2023-02-16,600.54
diff --git a/s_and_p_data/AVY.csv b/s_and_p_data/AVY.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,185.29
 2023-02-14,184.24
 2023-02-15,185.63
+2023-02-16,182.05
diff --git a/s_and_p_data/AWK.csv b/s_and_p_data/AWK.csv
@@ -3730,3 +3730,4 @@ Date,Close
 2023-02-13,151.71
 2023-02-14,149.31
 2023-02-15,149.25
+2023-02-16,147.46
diff --git a/s_and_p_data/AXP.csv b/s_and_p_data/AXP.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,181.33
 2023-02-14,181.02
 2023-02-15,180.67
+2023-02-16,177.94
diff --git a/s_and_p_data/AZO.csv b/s_and_p_data/AZO.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,2543.51
 2023-02-14,2546.27
 2023-02-15,2580.27
+2023-02-16,2571.35
diff --git a/s_and_p_data/BA.csv b/s_and_p_data/BA.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,215.65
 2023-02-14,218.45
 2023-02-15,217.44
+2023-02-16,212.21
diff --git a/s_and_p_data/BAC.csv b/s_and_p_data/BAC.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,35.65
 2023-02-14,35.62
 2023-02-15,35.56
+2023-02-16,35.28
diff --git a/s_and_p_data/BALL.csv b/s_and_p_data/BALL.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,55.92
 2023-02-14,56.93
 2023-02-15,58.98
+2023-02-16,57.39
diff --git a/s_and_p_data/BAX.csv b/s_and_p_data/BAX.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,40.5
 2023-02-14,39.91
 2023-02-15,40.06
+2023-02-16,39.8
diff --git a/s_and_p_data/BBWI.csv b/s_and_p_data/BBWI.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,44.73
 2023-02-14,44.93
 2023-02-15,43.24
+2023-02-16,42.91
diff --git a/s_and_p_data/BBY.csv b/s_and_p_data/BBY.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,87.26
 2023-02-14,88.31
 2023-02-15,88.95
+2023-02-16,88.2
diff --git a/s_and_p_data/BDX.csv b/s_and_p_data/BDX.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,247.25
 2023-02-14,243.41
 2023-02-15,243.55
+2023-02-16,241.94
diff --git a/s_and_p_data/BEN.csv b/s_and_p_data/BEN.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,31.76
 2023-02-14,31.71
 2023-02-15,31.74
+2023-02-16,31.2
diff --git a/s_and_p_data/BF-B.csv b/s_and_p_data/BF-B.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,65.89
 2023-02-14,65.31
 2023-02-15,65.58
+2023-02-16,65.42
diff --git a/s_and_p_data/BIIB.csv b/s_and_p_data/BIIB.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,290.46
 2023-02-14,289.08
 2023-02-15,278.98
+2023-02-16,271.53
diff --git a/s_and_p_data/BIO.csv b/s_and_p_data/BIO.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,471.92
 2023-02-14,462.52
 2023-02-15,460.52
+2023-02-16,455.91
diff --git a/s_and_p_data/BK.csv b/s_and_p_data/BK.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,51.92
 2023-02-14,51.71
 2023-02-15,51.77
+2023-02-16,51.29
diff --git a/s_and_p_data/BKNG.csv b/s_and_p_data/BKNG.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,2423.03
 2023-02-14,2471.05
 2023-02-15,2516.58
+2023-02-16,2493.18
diff --git a/s_and_p_data/BKR.csv b/s_and_p_data/BKR.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,32.78
 2023-02-14,32.46
 2023-02-15,32.15
+2023-02-16,32.26
diff --git a/s_and_p_data/BLK.csv b/s_and_p_data/BLK.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,736.91
 2023-02-14,729.15
 2023-02-15,724.19
+2023-02-16,713.0
diff --git a/s_and_p_data/BMY.csv b/s_and_p_data/BMY.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,73.17
 2023-02-14,72.25
 2023-02-15,71.47
+2023-02-16,70.85
diff --git a/s_and_p_data/BR.csv b/s_and_p_data/BR.csv
@@ -4004,3 +4004,4 @@ Date,Close
 2023-02-13,147.67
 2023-02-14,144.55
 2023-02-15,144.67
+2023-02-16,143.59
diff --git a/s_and_p_data/BRK-B.csv b/s_and_p_data/BRK-B.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,313.74
 2023-02-14,310.79
 2023-02-15,309.63
+2023-02-16,308.18
diff --git a/s_and_p_data/BRO.csv b/s_and_p_data/BRO.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,58.47
 2023-02-14,57.26
 2023-02-15,57.92
+2023-02-16,57.37
diff --git a/s_and_p_data/BSX.csv b/s_and_p_data/BSX.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,47.69
 2023-02-14,47.28
 2023-02-15,47.29
+2023-02-16,46.48
diff --git a/s_and_p_data/BWA.csv b/s_and_p_data/BWA.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,49.86
 2023-02-14,49.69
 2023-02-15,49.38
+2023-02-16,50.32
diff --git a/s_and_p_data/BXP.csv b/s_and_p_data/BXP.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,73.23
 2023-02-14,72.34
 2023-02-15,73.19
+2023-02-16,71.37
diff --git a/s_and_p_data/C.csv b/s_and_p_data/C.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,51.0
 2023-02-14,51.61
 2023-02-15,51.82
+2023-02-16,51.46
diff --git a/s_and_p_data/CAG.csv b/s_and_p_data/CAG.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,36.78
 2023-02-14,36.06
 2023-02-15,35.88
+2023-02-16,35.82
diff --git a/s_and_p_data/CAH.csv b/s_and_p_data/CAH.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,79.46
 2023-02-14,78.75
 2023-02-15,78.58
+2023-02-16,78.64
diff --git a/s_and_p_data/CARR.csv b/s_and_p_data/CARR.csv
@@ -733,3 +733,4 @@ Date,Close
 2023-02-13,45.44
 2023-02-14,45.13
 2023-02-15,45.48
+2023-02-16,45.23
diff --git a/s_and_p_data/CAT.csv b/s_and_p_data/CAT.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,248.15
 2023-02-14,244.36
 2023-02-15,248.7
+2023-02-16,246.52
diff --git a/s_and_p_data/CB.csv b/s_and_p_data/CB.csv
@@ -4058,3 +4058,4 @@ Date,Close
 2023-02-13,215.5
 2023-02-14,213.32
 2023-02-15,212.95
+2023-02-16,210.26
diff --git a/s_and_p_data/CBOE.csv b/s_and_p_data/CBOE.csv
@@ -3190,3 +3190,4 @@ Date,Close
 2023-02-13,128.58
 2023-02-14,126.55
 2023-02-15,128.54
+2023-02-16,126.73