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Commit 8e6c3100 authored by Dr.李's avatar Dr.李
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update example

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alphamind/analysis/crosssetctions.py
View file @ 8e6c3100
......@@ -60,7 +60,6 @@ if __name__ == '__main__':
import pandas as pd
import statsmodels.api as sm
from alphamind.api import *
from PyFin.api import *
factor_name = 'SIZE'
data_source = 'postgres+psycopg2://postgres:A12345678!@10.63.6.220/alpha'
......
notebooks/Example 3 - Multi Weight Gap Comparison.ipynb
View file @ 8e6c3100
......@@ -21,7 +21,7 @@
},
{
"cell_type": "code",
"execution_count": 47,
"execution_count": 12,
"metadata": {},
"outputs": [],
"source": [
......@@ -30,11 +30,11 @@
"\"\"\"\n",
"\n",
"start_date = '2010-01-01'\n",
"end_date = '2018-02-27'\n",
"end_date = '2018-02-24'\n",
"\n",
"freq = '10b'\n",
"industry_lower = 0.5\n",
"industry_upper = 1.5\n",
"industry_lower = 1.0\n",
"industry_upper = 1.0\n",
"neutralized_risk = industry_styles\n",
"industry_name = 'sw_adj'\n",
"industry_level = 1\n",
......@@ -45,7 +45,7 @@
"horizon = map_freq(freq)\n",
"universe = Universe(\"custom\", ['zz800'])\n",
"data_source = 'postgres+psycopg2://postgres:A12345678!@10.63.6.220/alpha'\n",
"benchmark_code = 905\n",
"benchmark_code = 300\n",
"\n",
"executor = NaiveExecutor()\n",
"ref_dates = makeSchedule(start_date, end_date, freq, 'china.sse')\n",
......@@ -54,7 +54,7 @@
},
{
"cell_type": "code",
"execution_count": 48,
"execution_count": 13,
"metadata": {},
"outputs": [],
"source": [
......@@ -65,14 +65,15 @@
"# alpha_factors = {\n",
"# 'f01': LAST('ep_q'),\n",
"# 'f02': LAST('roe_q'),\n",
"# 'f03': LAST('market_confidence_75d'),\n",
"# 'f04': LAST('DivP'),\n",
"# 'f05': LAST('val_q'),\n",
"# 'f06': LAST('con_np_rolling'),\n",
"# 'f07': LAST('GREV'),\n",
"# 'f03': LAST('market_confidence_25d'),\n",
"# 'f04': LAST('ILLIQUIDITY'),\n",
"# 'f05': LAST('cfinc1_q'),\n",
"# 'f06': LAST('CFO2EV'),\n",
"# 'f07': LAST('IVR'),\n",
"# 'f08': LAST('con_pe_rolling_order'),\n",
"# 'f09': LAST('con_pb_rolling_order')\n",
"# }\n",
"# }\n",
"\n",
"\n",
"# weights = dict(f01=1.,\n",
"# f02=0.5,\n",
......@@ -84,17 +85,16 @@
"# f08=-0.5,\n",
"# f09=-0.5)\n",
"\n",
"\n",
"alpha_factors = {\n",
" 'f01': LAST('ep_q'),\n",
" 'f02': LAST('roe_q'),\n",
" 'f03': LAST('market_confidence_25d'),\n",
" 'f04': LAST('ILLIQUIDITY'),\n",
" 'f05': LAST('cfinc1_q'),\n",
" 'f06': LAST('CFO2EV'),\n",
" 'f07': LAST('IVR'),\n",
" 'f03': LAST('market_confidence_75d'),\n",
" 'f04': LAST('DivP'),\n",
" 'f05': LAST('val_q'),\n",
" 'f06': LAST('con_np_rolling'),\n",
" 'f07': LAST('GREV'),\n",
" 'f08': LAST('con_pe_rolling_order'),\n",
" 'f09': LAST('con_pb_rolling_order'),\n",
" 'f09': LAST('con_pb_rolling_order')\n",
"}\n",
"\n",
"weights = dict(f01=1.,\n",
......@@ -126,7 +126,7 @@
},
{
"cell_type": "code",
"execution_count": 49,
"execution_count": 14,
"metadata": {},
"outputs": [
{
......@@ -149,14 +149,14 @@
},
{
"cell_type": "code",
"execution_count": 50,
"execution_count": 15,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Wall time: 7.17 s\n"
"Wall time: 30.7 s\n"
]
}
],
......@@ -177,7 +177,7 @@
},
{
"cell_type": "code",
"execution_count": 51,
"execution_count": 16,
"metadata": {},
"outputs": [],
"source": [
......@@ -216,7 +216,7 @@
},
{
"cell_type": "code",
"execution_count": 52,
"execution_count": 17,
"metadata": {},
"outputs": [],
"source": [
......@@ -322,7 +322,7 @@
},
{
"cell_type": "code",
"execution_count": 53,
"execution_count": 18,
"metadata": {},
"outputs": [],
"source": [
......@@ -356,7 +356,7 @@
},
{
"cell_type": "code",
"execution_count": 54,
"execution_count": 19,
"metadata": {},
"outputs": [
{
......@@ -369,10 +369,10 @@
"\n",
"See the documentation here:\n",
"http://pandas.pydata.org/pandas-docs/stable/indexing.html#deprecate-loc-reindex-listlike\n",
"2018-03-05 10:26:22,348 - ALPHA_MIND - INFO - 0.005 finished\n",
"2018-03-05 10:27:18,069 - ALPHA_MIND - INFO - 0.01 finished\n",
"2018-03-05 10:28:13,730 - ALPHA_MIND - INFO - 0.015 finished\n",
"2018-03-05 10:29:09,414 - ALPHA_MIND - INFO - 0.02 finished\n"
"2018-03-06 11:25:33,016 - ALPHA_MIND - INFO - 0.005 finished\n",
"2018-03-06 11:26:27,976 - ALPHA_MIND - INFO - 0.01 finished\n",
"2018-03-06 11:27:23,376 - ALPHA_MIND - INFO - 0.015 finished\n",
"2018-03-06 11:28:17,530 - ALPHA_MIND - INFO - 0.02 finished\n"
]
}
],
......@@ -389,7 +389,7 @@
},
{
"cell_type": "code",
"execution_count": 55,
"execution_count": 20,
"metadata": {},
"outputs": [
{
......@@ -433,264 +433,264 @@
" </tr>\n",
" <tr>\n",
" <th>2010-01-18</th>\n",
" <td>-0.015930</td>\n",
" <td>-0.015930</td>\n",
" <td>0.008869</td>\n",
" <td>0.008869</td>\n",
" <td>0.000000</td>\n",
" <td>0.000000</td>\n",
" <td>0.000000</td>\n",
" <td>-0.015930</td>\n",
" <td>-0.015930</td>\n",
" <td>1.00000</td>\n",
" <td>0.98210</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-02-01</th>\n",
" <td>-0.001602</td>\n",
" <td>-0.017532</td>\n",
" <td>-0.013477</td>\n",
" <td>-0.004608</td>\n",
" <td>0.000000</td>\n",
" <td>-0.017532</td>\n",
" <td>-0.017532</td>\n",
" <td>1.00000</td>\n",
" <td>-0.013477</td>\n",
" <td>-0.013477</td>\n",
" <td>0.98080</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-02-22</th>\n",
" <td>-0.007802</td>\n",
" <td>-0.025334</td>\n",
" <td>0.001117</td>\n",
" <td>-0.003492</td>\n",
" <td>0.000000</td>\n",
" <td>-0.025334</td>\n",
" <td>-0.025334</td>\n",
" <td>0.99839</td>\n",
" <td>-0.013477</td>\n",
" <td>-0.013477</td>\n",
" <td>0.99880</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-03-08</th>\n",
" <td>0.008656</td>\n",
" <td>-0.016678</td>\n",
" <td>0.006512</td>\n",
" <td>0.003021</td>\n",
" <td>0.000000</td>\n",
" <td>-0.025334</td>\n",
" <td>-0.025334</td>\n",
" <td>0.99537</td>\n",
" <td>-0.013477</td>\n",
" <td>-0.013477</td>\n",
" <td>1.00070</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-03-22</th>\n",
" <td>-0.008940</td>\n",
" <td>-0.025618</td>\n",
" <td>-2.506659</td>\n",
" <td>-0.025618</td>\n",
" <td>-0.025618</td>\n",
" <td>0.99846</td>\n",
" <td>-0.002116</td>\n",
" <td>0.000904</td>\n",
" <td>0.095988</td>\n",
" <td>-0.013477</td>\n",
" <td>-0.013477</td>\n",
" <td>0.99990</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-04-06</th>\n",
" <td>-0.001602</td>\n",
" <td>-0.027219</td>\n",
" <td>-2.480001</td>\n",
" <td>-0.027219</td>\n",
" <td>-0.027219</td>\n",
" <td>0.99846</td>\n",
" <td>0.000774</td>\n",
" <td>0.001679</td>\n",
" <td>0.167198</td>\n",
" <td>-0.013477</td>\n",
" <td>-0.013477</td>\n",
" <td>1.00030</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-04-20</th>\n",
" <td>-0.011132</td>\n",
" <td>-0.038351</td>\n",
" <td>-3.114281</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99837</td>\n",
" <td>-0.010586</td>\n",
" <td>-0.008907</td>\n",
" <td>-0.726384</td>\n",
" <td>-0.017776</td>\n",
" <td>-0.017776</td>\n",
" <td>1.00090</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-05-05</th>\n",
" <td>0.003350</td>\n",
" <td>-0.035001</td>\n",
" <td>-2.527191</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99837</td>\n",
" <td>0.002238</td>\n",
" <td>-0.006669</td>\n",
" <td>-0.510654</td>\n",
" <td>-0.017776</td>\n",
" <td>-0.017776</td>\n",
" <td>0.99920</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-05-19</th>\n",
" <td>0.015650</td>\n",
" <td>-0.019351</td>\n",
" <td>-1.015388</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99857</td>\n",
" <td>0.006819</td>\n",
" <td>0.000150</td>\n",
" <td>0.010331</td>\n",
" <td>-0.017776</td>\n",
" <td>-0.017776</td>\n",
" <td>0.99890</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-06-02</th>\n",
" <td>-0.009471</td>\n",
" <td>-0.028822</td>\n",
" <td>-1.405507</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99857</td>\n",
" <td>-0.007428</td>\n",
" <td>-0.007278</td>\n",
" <td>-0.457455</td>\n",
" <td>-0.017776</td>\n",
" <td>-0.017776</td>\n",
" <td>0.99980</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-06-21</th>\n",
" <td>0.017837</td>\n",
" <td>-0.010985</td>\n",
" <td>-0.428957</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99856</td>\n",
" <td>0.011857</td>\n",
" <td>0.004580</td>\n",
" <td>0.245118</td>\n",
" <td>-0.017776</td>\n",
" <td>-0.017776</td>\n",
" <td>0.99990</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-07-05</th>\n",
" <td>0.015338</td>\n",
" <td>0.004352</td>\n",
" <td>0.149908</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99856</td>\n",
" <td>0.012287</td>\n",
" <td>0.016866</td>\n",
" <td>0.795769</td>\n",
" <td>-0.017776</td>\n",
" <td>-0.017776</td>\n",
" <td>0.99960</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-07-19</th>\n",
" <td>0.009765</td>\n",
" <td>0.014118</td>\n",
" <td>0.457505</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99864</td>\n",
" <td>0.003123</td>\n",
" <td>0.019990</td>\n",
" <td>0.909766</td>\n",
" <td>-0.017776</td>\n",
" <td>-0.017776</td>\n",
" <td>0.97430</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-02</th>\n",
" <td>0.004413</td>\n",
" <td>0.018531</td>\n",
" <td>0.579664</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99864</td>\n",
" <td>0.000137</td>\n",
" <td>0.020127</td>\n",
" <td>0.886362</td>\n",
" <td>-0.017776</td>\n",
" <td>-0.017776</td>\n",
" <td>0.97470</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-16</th>\n",
" <td>-0.003519</td>\n",
" <td>0.015012</td>\n",
" <td>0.452692</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99857</td>\n",
" <td>-0.008936</td>\n",
" <td>0.011191</td>\n",
" <td>0.451216</td>\n",
" <td>-0.017776</td>\n",
" <td>-0.017776</td>\n",
" <td>1.00010</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-30</th>\n",
" <td>-0.002444</td>\n",
" <td>0.012568</td>\n",
" <td>0.367160</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99857</td>\n",
" <td>-0.005018</td>\n",
" <td>0.006173</td>\n",
" <td>0.237917</td>\n",
" <td>-0.017776</td>\n",
" <td>-0.017776</td>\n",
" <td>0.99900</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-09-13</th>\n",
" <td>-0.004987</td>\n",
" <td>0.007581</td>\n",
" <td>0.213571</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99857</td>\n",
" <td>-0.014321</td>\n",
" <td>-0.008148</td>\n",
" <td>-0.276927</td>\n",
" <td>-0.028275</td>\n",
" <td>-0.028275</td>\n",
" <td>0.99960</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-09-30</th>\n",
" <td>0.026630</td>\n",
" <td>0.034211</td>\n",
" <td>0.795850</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99870</td>\n",
" <td>0.006231</td>\n",
" <td>-0.001917</td>\n",
" <td>-0.062354</td>\n",
" <td>-0.028275</td>\n",
" <td>-0.028275</td>\n",
" <td>0.99970</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-10-21</th>\n",
" <td>0.043495</td>\n",
" <td>0.077706</td>\n",
" <td>1.346488</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99882</td>\n",
" <td>0.024725</td>\n",
" <td>0.022808</td>\n",
" <td>0.591884</td>\n",
" <td>-0.028275</td>\n",
" <td>-0.028275</td>\n",
" <td>0.99950</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-11-04</th>\n",
" <td>-0.011799</td>\n",
" <td>0.065906</td>\n",
" <td>1.084246</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99882</td>\n",
" <td>0.000314</td>\n",
" <td>0.023123</td>\n",
" <td>0.586208</td>\n",
" <td>-0.028275</td>\n",
" <td>-0.028275</td>\n",
" <td>0.99990</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-11-18</th>\n",
" <td>-0.003795</td>\n",
" <td>0.062112</td>\n",
" <td>0.994030</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99871</td>\n",
" <td>0.002588</td>\n",
" <td>0.025710</td>\n",
" <td>0.637165</td>\n",
" <td>-0.028275</td>\n",
" <td>-0.028275</td>\n",
" <td>0.99980</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-02</th>\n",
" <td>0.006415</td>\n",
" <td>0.068527</td>\n",
" <td>1.072145</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99871</td>\n",
" <td>0.013303</td>\n",
" <td>0.039014</td>\n",
" <td>0.910953</td>\n",
" <td>-0.028275</td>\n",
" <td>-0.028275</td>\n",
" <td>0.99970</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-16</th>\n",
" <td>0.006895</td>\n",
" <td>0.075422</td>\n",
" <td>1.154278</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99889</td>\n",
" <td>-0.001335</td>\n",
" <td>0.037678</td>\n",
" <td>0.860079</td>\n",
" <td>-0.028275</td>\n",
" <td>-0.028275</td>\n",
" <td>0.99950</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-30</th>\n",
" <td>0.007962</td>\n",
" <td>0.083384</td>\n",
" <td>1.248169</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99889</td>\n",
" <td>0.008247</td>\n",
" <td>0.045925</td>\n",
" <td>1.016748</td>\n",
" <td>-0.028275</td>\n",
" <td>-0.028275</td>\n",
" <td>0.99960</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-01-14</th>\n",
" <td>0.036374</td>\n",
" <td>0.119758</td>\n",
" <td>1.609959</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99889</td>\n",
" <td>0.011881</td>\n",
" <td>0.057807</td>\n",
" <td>1.250796</td>\n",
" <td>-0.028275</td>\n",
" <td>-0.028275</td>\n",
" <td>0.99960</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-01-28</th>\n",
" <td>0.011736</td>\n",
" <td>0.131494</td>\n",
" <td>2.063452</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99886</td>\n",
" <td>0.001114</td>\n",
" <td>0.058920</td>\n",
" <td>1.094790</td>\n",
" <td>-0.028275</td>\n",
" <td>-0.028275</td>\n",
" <td>0.95740</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-02-18</th>\n",
" <td>0.002573</td>\n",
" <td>0.134067</td>\n",
" <td>2.131904</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99886</td>\n",
" <td>-0.001683</td>\n",
" <td>0.057237</td>\n",
" <td>1.438314</td>\n",
" <td>-0.028275</td>\n",
" <td>-0.028275</td>\n",
" <td>0.95720</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-03-04</th>\n",
" <td>0.011372</td>\n",
" <td>0.145440</td>\n",
" <td>2.447034</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99669</td>\n",
" <td>0.001080</td>\n",
" <td>0.058317</td>\n",
" <td>1.437413</td>\n",
" <td>-0.028275</td>\n",
" <td>-0.028275</td>\n",
" <td>0.99890</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-03-18</th>\n",
" <td>-0.004742</td>\n",
" <td>0.140698</td>\n",
" <td>2.225872</td>\n",
" <td>-0.038351</td>\n",
" <td>-0.038351</td>\n",
" <td>0.99883</td>\n",
" <td>0.017353</td>\n",
" <td>0.075670</td>\n",
" <td>1.601532</td>\n",
" <td>-0.028275</td>\n",
" <td>-0.028275</td>\n",
" <td>0.99900</td>\n",
" </tr>\n",
" <tr>\n",
" <th>...</th>\n",
......@@ -703,272 +703,272 @@
" </tr>\n",
" <tr>\n",
" <th>2016-12-19</th>\n",
" <td>0.009257</td>\n",
" <td>0.971322</td>\n",
" <td>3.611241</td>\n",
" <td>-0.006885</td>\n",
" <td>-0.084831</td>\n",
" <td>-0.002423</td>\n",
" <td>0.652831</td>\n",
" <td>2.515662</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>0.99999</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-01-03</th>\n",
" <td>0.006450</td>\n",
" <td>0.977772</td>\n",
" <td>3.455512</td>\n",
" <td>-0.006885</td>\n",
" <td>-0.084831</td>\n",
" <td>0.006473</td>\n",
" <td>0.659304</td>\n",
" <td>2.751663</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>0.99999</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-01-17</th>\n",
" <td>0.014649</td>\n",
" <td>0.992421</td>\n",
" <td>5.117561</td>\n",
" <td>-0.006885</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00015</td>\n",
" <td>0.010712</td>\n",
" <td>0.670016</td>\n",
" <td>2.728580</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>1.00003</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-02-07</th>\n",
" <td>0.004827</td>\n",
" <td>0.997248</td>\n",
" <td>5.000575</td>\n",
" <td>-0.006885</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00015</td>\n",
" <td>0.008831</td>\n",
" <td>0.678847</td>\n",
" <td>3.065441</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>1.00003</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-02-21</th>\n",
" <td>0.014614</td>\n",
" <td>1.011862</td>\n",
" <td>5.206648</td>\n",
" <td>-0.006885</td>\n",
" <td>-0.084831</td>\n",
" <td>0.99995</td>\n",
" <td>0.001971</td>\n",
" <td>0.680819</td>\n",
" <td>3.101478</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>0.99996</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-03-07</th>\n",
" <td>-0.003735</td>\n",
" <td>1.008127</td>\n",
" <td>4.760648</td>\n",
" <td>-0.006885</td>\n",
" <td>-0.084831</td>\n",
" <td>0.99995</td>\n",
" <td>-0.004169</td>\n",
" <td>0.676649</td>\n",
" <td>2.608772</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>0.99798</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-03-21</th>\n",
" <td>0.013155</td>\n",
" <td>1.021282</td>\n",
" <td>4.760259</td>\n",
" <td>-0.006885</td>\n",
" <td>-0.084831</td>\n",
" <td>0.99992</td>\n",
" <td>0.007512</td>\n",
" <td>0.684161</td>\n",
" <td>2.649223</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>1.00003</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-04-06</th>\n",
" <td>0.007310</td>\n",
" <td>1.028592</td>\n",
" <td>5.245859</td>\n",
" <td>-0.006885</td>\n",
" <td>-0.084831</td>\n",
" <td>0.99992</td>\n",
" <td>0.011012</td>\n",
" <td>0.695173</td>\n",
" <td>3.042353</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>1.00003</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-04-20</th>\n",
" <td>0.012077</td>\n",
" <td>1.040669</td>\n",
" <td>5.299875</td>\n",
" <td>-0.006885</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00001</td>\n",
" <td>0.007265</td>\n",
" <td>0.702439</td>\n",
" <td>3.252394</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>1.00004</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-05-05</th>\n",
" <td>-0.013580</td>\n",
" <td>1.027089</td>\n",
" <td>4.043663</td>\n",
" <td>-0.013580</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00001</td>\n",
" <td>-0.002919</td>\n",
" <td>0.699520</td>\n",
" <td>3.300204</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>1.00004</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-05-19</th>\n",
" <td>-0.007600</td>\n",
" <td>1.019489</td>\n",
" <td>3.909182</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00002</td>\n",
" <td>-0.000372</td>\n",
" <td>0.699148</td>\n",
" <td>3.181372</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>0.99990</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-06-06</th>\n",
" <td>0.015585</td>\n",
" <td>1.035074</td>\n",
" <td>4.321257</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00002</td>\n",
" <td>0.003368</td>\n",
" <td>0.702517</td>\n",
" <td>3.317061</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>0.99990</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-06-20</th>\n",
" <td>-0.002126</td>\n",
" <td>1.032948</td>\n",
" <td>4.101910</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00001</td>\n",
" <td>0.010147</td>\n",
" <td>0.712664</td>\n",
" <td>3.468718</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>1.00004</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-07-04</th>\n",
" <td>0.024380</td>\n",
" <td>1.057328</td>\n",
" <td>4.088426</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00001</td>\n",
" <td>0.011290</td>\n",
" <td>0.723954</td>\n",
" <td>3.588865</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>1.00004</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-07-18</th>\n",
" <td>0.031825</td>\n",
" <td>1.089153</td>\n",
" <td>4.038232</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00009</td>\n",
" <td>0.014913</td>\n",
" <td>0.738866</td>\n",
" <td>3.588443</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>0.99999</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-01</th>\n",
" <td>0.013961</td>\n",
" <td>1.103114</td>\n",
" <td>4.008748</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00009</td>\n",
" <td>0.000578</td>\n",
" <td>0.739444</td>\n",
" <td>3.345250</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>0.99999</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-15</th>\n",
" <td>-0.013408</td>\n",
" <td>1.089706</td>\n",
" <td>3.188122</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00001</td>\n",
" <td>-0.006051</td>\n",
" <td>0.733393</td>\n",
" <td>2.756635</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>1.00004</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-29</th>\n",
" <td>0.009143</td>\n",
" <td>1.098850</td>\n",
" <td>3.271891</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00001</td>\n",
" <td>0.003178</td>\n",
" <td>0.736572</td>\n",
" <td>3.107579</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>1.00004</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-09-12</th>\n",
" <td>-0.007417</td>\n",
" <td>1.091433</td>\n",
" <td>2.951393</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00001</td>\n",
" <td>0.000895</td>\n",
" <td>0.737466</td>\n",
" <td>3.114444</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>1.00004</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-09-26</th>\n",
" <td>0.010657</td>\n",
" <td>1.102090</td>\n",
" <td>3.098674</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00006</td>\n",
" <td>0.002334</td>\n",
" <td>0.739800</td>\n",
" <td>2.955708</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>0.99997</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-10-17</th>\n",
" <td>0.000377</td>\n",
" <td>1.102467</td>\n",
" <td>3.124558</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00006</td>\n",
" <td>-0.007208</td>\n",
" <td>0.732592</td>\n",
" <td>2.724182</td>\n",
" <td>-0.007592</td>\n",
" <td>-0.032055</td>\n",
" <td>0.99997</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-10-31</th>\n",
" <td>0.003755</td>\n",
" <td>1.106222</td>\n",
" <td>2.925562</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00001</td>\n",
" <td>-0.002184</td>\n",
" <td>0.730409</td>\n",
" <td>2.456143</td>\n",
" <td>-0.009392</td>\n",
" <td>-0.032055</td>\n",
" <td>1.00002</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-11-14</th>\n",
" <td>0.001778</td>\n",
" <td>1.108000</td>\n",
" <td>2.916718</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00002</td>\n",
" <td>0.001861</td>\n",
" <td>0.732269</td>\n",
" <td>2.583109</td>\n",
" <td>-0.009392</td>\n",
" <td>-0.032055</td>\n",
" <td>1.00011</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-11-28</th>\n",
" <td>0.013516</td>\n",
" <td>1.121517</td>\n",
" <td>3.130178</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00002</td>\n",
" <td>0.003036</td>\n",
" <td>0.735306</td>\n",
" <td>3.017613</td>\n",
" <td>-0.009392</td>\n",
" <td>-0.032055</td>\n",
" <td>1.00011</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-12-12</th>\n",
" <td>-0.001865</td>\n",
" <td>1.119652</td>\n",
" <td>2.867689</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>0.99995</td>\n",
" <td>-0.000348</td>\n",
" <td>0.734957</td>\n",
" <td>2.704492</td>\n",
" <td>-0.009392</td>\n",
" <td>-0.032055</td>\n",
" <td>0.99994</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-12-26</th>\n",
" <td>0.005692</td>\n",
" <td>1.125344</td>\n",
" <td>2.807121</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>0.99995</td>\n",
" <td>0.003635</td>\n",
" <td>0.738592</td>\n",
" <td>2.968922</td>\n",
" <td>-0.009392</td>\n",
" <td>-0.032055</td>\n",
" <td>0.99996</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-01-10</th>\n",
" <td>0.021872</td>\n",
" <td>1.147216</td>\n",
" <td>2.968750</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>0.99999</td>\n",
" <td>0.013155</td>\n",
" <td>0.751747</td>\n",
" <td>3.045397</td>\n",
" <td>-0.009392</td>\n",
" <td>-0.032055</td>\n",
" <td>1.00008</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-01-24</th>\n",
" <td>0.019254</td>\n",
" <td>1.166470</td>\n",
" <td>3.005144</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00011</td>\n",
" <td>0.006686</td>\n",
" <td>0.758434</td>\n",
" <td>2.982578</td>\n",
" <td>-0.009392</td>\n",
" <td>-0.032055</td>\n",
" <td>0.99998</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-02-07</th>\n",
" <td>0.014057</td>\n",
" <td>1.180527</td>\n",
" <td>3.143895</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>1.00004</td>\n",
" <td>0.004994</td>\n",
" <td>0.763428</td>\n",
" <td>2.899017</td>\n",
" <td>-0.009392</td>\n",
" <td>-0.032055</td>\n",
" <td>0.99993</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-02-28</th>\n",
" <td>-0.010978</td>\n",
" <td>1.169549</td>\n",
" <td>2.604654</td>\n",
" <td>-0.021180</td>\n",
" <td>-0.084831</td>\n",
" <td>0.000144</td>\n",
" <td>0.763571</td>\n",
" <td>2.821974</td>\n",
" <td>-0.009392</td>\n",
" <td>-0.032055</td>\n",
" <td>0.99994</td>\n",
" </tr>\n",
" </tbody>\n",
......@@ -979,71 +979,71 @@
"text/plain": [
" daily_return cum_ret sharp drawdown max_drawn leverage\n",
"2010-01-04 0.000000 0.000000 0.000000 0.000000 0.000000 0.00000\n",
"2010-01-18 -0.015930 -0.015930 0.000000 -0.015930 -0.015930 1.00000\n",
"2010-02-01 -0.001602 -0.017532 0.000000 -0.017532 -0.017532 1.00000\n",
"2010-02-22 -0.007802 -0.025334 0.000000 -0.025334 -0.025334 0.99839\n",
"2010-03-08 0.008656 -0.016678 0.000000 -0.025334 -0.025334 0.99537\n",
"2010-03-22 -0.008940 -0.025618 -2.506659 -0.025618 -0.025618 0.99846\n",
"2010-04-06 -0.001602 -0.027219 -2.480001 -0.027219 -0.027219 0.99846\n",
"2010-04-20 -0.011132 -0.038351 -3.114281 -0.038351 -0.038351 0.99837\n",
"2010-05-05 0.003350 -0.035001 -2.527191 -0.038351 -0.038351 0.99837\n",
"2010-05-19 0.015650 -0.019351 -1.015388 -0.038351 -0.038351 0.99857\n",
"2010-06-02 -0.009471 -0.028822 -1.405507 -0.038351 -0.038351 0.99857\n",
"2010-06-21 0.017837 -0.010985 -0.428957 -0.038351 -0.038351 0.99856\n",
"2010-07-05 0.015338 0.004352 0.149908 -0.038351 -0.038351 0.99856\n",
"2010-07-19 0.009765 0.014118 0.457505 -0.038351 -0.038351 0.99864\n",
"2010-08-02 0.004413 0.018531 0.579664 -0.038351 -0.038351 0.99864\n",
"2010-08-16 -0.003519 0.015012 0.452692 -0.038351 -0.038351 0.99857\n",
"2010-08-30 -0.002444 0.012568 0.367160 -0.038351 -0.038351 0.99857\n",
"2010-09-13 -0.004987 0.007581 0.213571 -0.038351 -0.038351 0.99857\n",
"2010-09-30 0.026630 0.034211 0.795850 -0.038351 -0.038351 0.99870\n",
"2010-10-21 0.043495 0.077706 1.346488 -0.038351 -0.038351 0.99882\n",
"2010-11-04 -0.011799 0.065906 1.084246 -0.038351 -0.038351 0.99882\n",
"2010-11-18 -0.003795 0.062112 0.994030 -0.038351 -0.038351 0.99871\n",
"2010-12-02 0.006415 0.068527 1.072145 -0.038351 -0.038351 0.99871\n",
"2010-12-16 0.006895 0.075422 1.154278 -0.038351 -0.038351 0.99889\n",
"2010-12-30 0.007962 0.083384 1.248169 -0.038351 -0.038351 0.99889\n",
"2011-01-14 0.036374 0.119758 1.609959 -0.038351 -0.038351 0.99889\n",
"2011-01-28 0.011736 0.131494 2.063452 -0.038351 -0.038351 0.99886\n",
"2011-02-18 0.002573 0.134067 2.131904 -0.038351 -0.038351 0.99886\n",
"2011-03-04 0.011372 0.145440 2.447034 -0.038351 -0.038351 0.99669\n",
"2011-03-18 -0.004742 0.140698 2.225872 -0.038351 -0.038351 0.99883\n",
"2010-01-18 0.008869 0.008869 0.000000 0.000000 0.000000 0.98210\n",
"2010-02-01 -0.013477 -0.004608 0.000000 -0.013477 -0.013477 0.98080\n",
"2010-02-22 0.001117 -0.003492 0.000000 -0.013477 -0.013477 0.99880\n",
"2010-03-08 0.006512 0.003021 0.000000 -0.013477 -0.013477 1.00070\n",
"2010-03-22 -0.002116 0.000904 0.095988 -0.013477 -0.013477 0.99990\n",
"2010-04-06 0.000774 0.001679 0.167198 -0.013477 -0.013477 1.00030\n",
"2010-04-20 -0.010586 -0.008907 -0.726384 -0.017776 -0.017776 1.00090\n",
"2010-05-05 0.002238 -0.006669 -0.510654 -0.017776 -0.017776 0.99920\n",
"2010-05-19 0.006819 0.000150 0.010331 -0.017776 -0.017776 0.99890\n",
"2010-06-02 -0.007428 -0.007278 -0.457455 -0.017776 -0.017776 0.99980\n",
"2010-06-21 0.011857 0.004580 0.245118 -0.017776 -0.017776 0.99990\n",
"2010-07-05 0.012287 0.016866 0.795769 -0.017776 -0.017776 0.99960\n",
"2010-07-19 0.003123 0.019990 0.909766 -0.017776 -0.017776 0.97430\n",
"2010-08-02 0.000137 0.020127 0.886362 -0.017776 -0.017776 0.97470\n",
"2010-08-16 -0.008936 0.011191 0.451216 -0.017776 -0.017776 1.00010\n",
"2010-08-30 -0.005018 0.006173 0.237917 -0.017776 -0.017776 0.99900\n",
"2010-09-13 -0.014321 -0.008148 -0.276927 -0.028275 -0.028275 0.99960\n",
"2010-09-30 0.006231 -0.001917 -0.062354 -0.028275 -0.028275 0.99970\n",
"2010-10-21 0.024725 0.022808 0.591884 -0.028275 -0.028275 0.99950\n",
"2010-11-04 0.000314 0.023123 0.586208 -0.028275 -0.028275 0.99990\n",
"2010-11-18 0.002588 0.025710 0.637165 -0.028275 -0.028275 0.99980\n",
"2010-12-02 0.013303 0.039014 0.910953 -0.028275 -0.028275 0.99970\n",
"2010-12-16 -0.001335 0.037678 0.860079 -0.028275 -0.028275 0.99950\n",
"2010-12-30 0.008247 0.045925 1.016748 -0.028275 -0.028275 0.99960\n",
"2011-01-14 0.011881 0.057807 1.250796 -0.028275 -0.028275 0.99960\n",
"2011-01-28 0.001114 0.058920 1.094790 -0.028275 -0.028275 0.95740\n",
"2011-02-18 -0.001683 0.057237 1.438314 -0.028275 -0.028275 0.95720\n",
"2011-03-04 0.001080 0.058317 1.437413 -0.028275 -0.028275 0.99890\n",
"2011-03-18 0.017353 0.075670 1.601532 -0.028275 -0.028275 0.99900\n",
"... ... ... ... ... ... ...\n",
"2016-12-19 0.009257 0.971322 3.611241 -0.006885 -0.084831 0.99999\n",
"2017-01-03 0.006450 0.977772 3.455512 -0.006885 -0.084831 0.99999\n",
"2017-01-17 0.014649 0.992421 5.117561 -0.006885 -0.084831 1.00015\n",
"2017-02-07 0.004827 0.997248 5.000575 -0.006885 -0.084831 1.00015\n",
"2017-02-21 0.014614 1.011862 5.206648 -0.006885 -0.084831 0.99995\n",
"2017-03-07 -0.003735 1.008127 4.760648 -0.006885 -0.084831 0.99995\n",
"2017-03-21 0.013155 1.021282 4.760259 -0.006885 -0.084831 0.99992\n",
"2017-04-06 0.007310 1.028592 5.245859 -0.006885 -0.084831 0.99992\n",
"2017-04-20 0.012077 1.040669 5.299875 -0.006885 -0.084831 1.00001\n",
"2017-05-05 -0.013580 1.027089 4.043663 -0.013580 -0.084831 1.00001\n",
"2017-05-19 -0.007600 1.019489 3.909182 -0.021180 -0.084831 1.00002\n",
"2017-06-06 0.015585 1.035074 4.321257 -0.021180 -0.084831 1.00002\n",
"2017-06-20 -0.002126 1.032948 4.101910 -0.021180 -0.084831 1.00001\n",
"2017-07-04 0.024380 1.057328 4.088426 -0.021180 -0.084831 1.00001\n",
"2017-07-18 0.031825 1.089153 4.038232 -0.021180 -0.084831 1.00009\n",
"2017-08-01 0.013961 1.103114 4.008748 -0.021180 -0.084831 1.00009\n",
"2017-08-15 -0.013408 1.089706 3.188122 -0.021180 -0.084831 1.00001\n",
"2017-08-29 0.009143 1.098850 3.271891 -0.021180 -0.084831 1.00001\n",
"2017-09-12 -0.007417 1.091433 2.951393 -0.021180 -0.084831 1.00001\n",
"2017-09-26 0.010657 1.102090 3.098674 -0.021180 -0.084831 1.00006\n",
"2017-10-17 0.000377 1.102467 3.124558 -0.021180 -0.084831 1.00006\n",
"2017-10-31 0.003755 1.106222 2.925562 -0.021180 -0.084831 1.00001\n",
"2017-11-14 0.001778 1.108000 2.916718 -0.021180 -0.084831 1.00002\n",
"2017-11-28 0.013516 1.121517 3.130178 -0.021180 -0.084831 1.00002\n",
"2017-12-12 -0.001865 1.119652 2.867689 -0.021180 -0.084831 0.99995\n",
"2017-12-26 0.005692 1.125344 2.807121 -0.021180 -0.084831 0.99995\n",
"2018-01-10 0.021872 1.147216 2.968750 -0.021180 -0.084831 0.99999\n",
"2018-01-24 0.019254 1.166470 3.005144 -0.021180 -0.084831 1.00011\n",
"2018-02-07 0.014057 1.180527 3.143895 -0.021180 -0.084831 1.00004\n",
"2018-02-28 -0.010978 1.169549 2.604654 -0.021180 -0.084831 0.99994\n",
"2016-12-19 -0.002423 0.652831 2.515662 -0.007592 -0.032055 0.99999\n",
"2017-01-03 0.006473 0.659304 2.751663 -0.007592 -0.032055 0.99999\n",
"2017-01-17 0.010712 0.670016 2.728580 -0.007592 -0.032055 1.00003\n",
"2017-02-07 0.008831 0.678847 3.065441 -0.007592 -0.032055 1.00003\n",
"2017-02-21 0.001971 0.680819 3.101478 -0.007592 -0.032055 0.99996\n",
"2017-03-07 -0.004169 0.676649 2.608772 -0.007592 -0.032055 0.99798\n",
"2017-03-21 0.007512 0.684161 2.649223 -0.007592 -0.032055 1.00003\n",
"2017-04-06 0.011012 0.695173 3.042353 -0.007592 -0.032055 1.00003\n",
"2017-04-20 0.007265 0.702439 3.252394 -0.007592 -0.032055 1.00004\n",
"2017-05-05 -0.002919 0.699520 3.300204 -0.007592 -0.032055 1.00004\n",
"2017-05-19 -0.000372 0.699148 3.181372 -0.007592 -0.032055 0.99990\n",
"2017-06-06 0.003368 0.702517 3.317061 -0.007592 -0.032055 0.99990\n",
"2017-06-20 0.010147 0.712664 3.468718 -0.007592 -0.032055 1.00004\n",
"2017-07-04 0.011290 0.723954 3.588865 -0.007592 -0.032055 1.00004\n",
"2017-07-18 0.014913 0.738866 3.588443 -0.007592 -0.032055 0.99999\n",
"2017-08-01 0.000578 0.739444 3.345250 -0.007592 -0.032055 0.99999\n",
"2017-08-15 -0.006051 0.733393 2.756635 -0.007592 -0.032055 1.00004\n",
"2017-08-29 0.003178 0.736572 3.107579 -0.007592 -0.032055 1.00004\n",
"2017-09-12 0.000895 0.737466 3.114444 -0.007592 -0.032055 1.00004\n",
"2017-09-26 0.002334 0.739800 2.955708 -0.007592 -0.032055 0.99997\n",
"2017-10-17 -0.007208 0.732592 2.724182 -0.007592 -0.032055 0.99997\n",
"2017-10-31 -0.002184 0.730409 2.456143 -0.009392 -0.032055 1.00002\n",
"2017-11-14 0.001861 0.732269 2.583109 -0.009392 -0.032055 1.00011\n",
"2017-11-28 0.003036 0.735306 3.017613 -0.009392 -0.032055 1.00011\n",
"2017-12-12 -0.000348 0.734957 2.704492 -0.009392 -0.032055 0.99994\n",
"2017-12-26 0.003635 0.738592 2.968922 -0.009392 -0.032055 0.99996\n",
"2018-01-10 0.013155 0.751747 3.045397 -0.009392 -0.032055 1.00008\n",
"2018-01-24 0.006686 0.758434 2.982578 -0.009392 -0.032055 0.99998\n",
"2018-02-07 0.004994 0.763428 2.899017 -0.009392 -0.032055 0.99993\n",
"2018-02-28 0.000144 0.763571 2.821974 -0.009392 -0.032055 0.99994\n",
"\n",
"[199 rows x 6 columns]"
]
},
"execution_count": 55,
"execution_count": 20,
"metadata": {},
"output_type": "execute_result"
}
......@@ -1054,7 +1054,7 @@
},
{
"cell_type": "code",
"execution_count": 56,
"execution_count": 21,
"metadata": {},
"outputs": [
{
......@@ -1098,264 +1098,264 @@
" </tr>\n",
" <tr>\n",
" <th>2010-01-18</th>\n",
" <td>1.00000</td>\n",
" <td>0.046003</td>\n",
" <td>1.927841</td>\n",
" <td>0.058077</td>\n",
" <td>0.003856</td>\n",
" <td>-0.015930</td>\n",
" <td>0.98210</td>\n",
" <td>-0.004034</td>\n",
" <td>1.408400</td>\n",
" <td>-0.016006</td>\n",
" <td>0.002817</td>\n",
" <td>0.008869</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-02-01</th>\n",
" <td>1.00000</td>\n",
" <td>-0.116628</td>\n",
" <td>0.400000</td>\n",
" <td>-0.115825</td>\n",
" <td>0.000800</td>\n",
" <td>-0.001602</td>\n",
" <td>0.98080</td>\n",
" <td>-0.119345</td>\n",
" <td>0.375296</td>\n",
" <td>-0.108705</td>\n",
" <td>0.000751</td>\n",
" <td>-0.013477</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-02-22</th>\n",
" <td>0.99839</td>\n",
" <td>0.028905</td>\n",
" <td>0.420000</td>\n",
" <td>0.035925</td>\n",
" <td>0.000840</td>\n",
" <td>-0.007802</td>\n",
" <td>0.99880</td>\n",
" <td>0.018225</td>\n",
" <td>0.294060</td>\n",
" <td>0.016540</td>\n",
" <td>0.000588</td>\n",
" <td>0.001117</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-03-08</th>\n",
" <td>0.99537</td>\n",
" <td>0.053336</td>\n",
" <td>0.400000</td>\n",
" <td>0.044084</td>\n",
" <td>0.000800</td>\n",
" <td>0.008656</td>\n",
" <td>1.00070</td>\n",
" <td>0.040173</td>\n",
" <td>0.330253</td>\n",
" <td>0.032977</td>\n",
" <td>0.000661</td>\n",
" <td>0.006512</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-03-22</th>\n",
" <td>0.99846</td>\n",
" <td>-0.008443</td>\n",
" <td>0.99990</td>\n",
" <td>-0.010525</td>\n",
" <td>0.400000</td>\n",
" <td>-0.000303</td>\n",
" <td>-0.009209</td>\n",
" <td>0.000800</td>\n",
" <td>-0.008940</td>\n",
" <td>-0.002116</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-04-06</th>\n",
" <td>0.99846</td>\n",
" <td>0.042204</td>\n",
" <td>1.00030</td>\n",
" <td>0.035026</td>\n",
" <td>0.400000</td>\n",
" <td>0.043072</td>\n",
" <td>0.033441</td>\n",
" <td>0.000800</td>\n",
" <td>-0.001602</td>\n",
" <td>0.000774</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-04-20</th>\n",
" <td>0.99837</td>\n",
" <td>-0.004134</td>\n",
" <td>1.00090</td>\n",
" <td>-0.055201</td>\n",
" <td>0.400000</td>\n",
" <td>0.006209</td>\n",
" <td>-0.045374</td>\n",
" <td>0.000800</td>\n",
" <td>-0.011132</td>\n",
" <td>-0.010586</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-05-05</th>\n",
" <td>0.99837</td>\n",
" <td>-0.097597</td>\n",
" <td>0.400000</td>\n",
" <td>-0.101913</td>\n",
" <td>0.000800</td>\n",
" <td>0.003350</td>\n",
" <td>0.99920</td>\n",
" <td>-0.107964</td>\n",
" <td>0.312529</td>\n",
" <td>-0.110916</td>\n",
" <td>0.000625</td>\n",
" <td>0.002238</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-05-19</th>\n",
" <td>0.99857</td>\n",
" <td>-0.108175</td>\n",
" <td>0.99890</td>\n",
" <td>-0.053097</td>\n",
" <td>0.400000</td>\n",
" <td>-0.124804</td>\n",
" <td>-0.060783</td>\n",
" <td>0.000800</td>\n",
" <td>0.015650</td>\n",
" <td>0.006819</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-06-02</th>\n",
" <td>0.99857</td>\n",
" <td>0.029680</td>\n",
" <td>0.99980</td>\n",
" <td>-0.002943</td>\n",
" <td>0.400000</td>\n",
" <td>0.038406</td>\n",
" <td>0.003685</td>\n",
" <td>0.000800</td>\n",
" <td>-0.009471</td>\n",
" <td>-0.007428</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-06-21</th>\n",
" <td>0.99856</td>\n",
" <td>0.034693</td>\n",
" <td>0.400000</td>\n",
" <td>0.016080</td>\n",
" <td>0.000800</td>\n",
" <td>0.017837</td>\n",
" <td>0.99990</td>\n",
" <td>0.029722</td>\n",
" <td>0.299103</td>\n",
" <td>0.017268</td>\n",
" <td>0.000598</td>\n",
" <td>0.011857</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-07-05</th>\n",
" <td>0.99856</td>\n",
" <td>-0.100566</td>\n",
" <td>0.400000</td>\n",
" <td>-0.116871</td>\n",
" <td>0.000800</td>\n",
" <td>0.015338</td>\n",
" <td>0.99960</td>\n",
" <td>-0.069919</td>\n",
" <td>0.205957</td>\n",
" <td>-0.082651</td>\n",
" <td>0.000412</td>\n",
" <td>0.012287</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-07-19</th>\n",
" <td>0.99864</td>\n",
" <td>0.085609</td>\n",
" <td>0.400000</td>\n",
" <td>0.075146</td>\n",
" <td>0.000800</td>\n",
" <td>0.009765</td>\n",
" <td>0.97430</td>\n",
" <td>0.069300</td>\n",
" <td>0.270743</td>\n",
" <td>0.067367</td>\n",
" <td>0.000541</td>\n",
" <td>0.003123</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-02</th>\n",
" <td>0.99864</td>\n",
" <td>0.064639</td>\n",
" <td>0.400000</td>\n",
" <td>0.059507</td>\n",
" <td>0.000800</td>\n",
" <td>0.004413</td>\n",
" <td>0.97470</td>\n",
" <td>0.043631</td>\n",
" <td>0.107972</td>\n",
" <td>0.044402</td>\n",
" <td>0.000216</td>\n",
" <td>0.000137</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-16</th>\n",
" <td>0.99857</td>\n",
" <td>0.058397</td>\n",
" <td>0.462835</td>\n",
" <td>0.061077</td>\n",
" <td>0.000926</td>\n",
" <td>-0.003519</td>\n",
" <td>1.00010</td>\n",
" <td>0.017754</td>\n",
" <td>0.203921</td>\n",
" <td>0.026279</td>\n",
" <td>0.000408</td>\n",
" <td>-0.008936</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-30</th>\n",
" <td>0.99857</td>\n",
" <td>0.027406</td>\n",
" <td>0.99900</td>\n",
" <td>-0.017580</td>\n",
" <td>0.400000</td>\n",
" <td>0.029092</td>\n",
" <td>-0.013376</td>\n",
" <td>0.000800</td>\n",
" <td>-0.002444</td>\n",
" <td>-0.005018</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-09-13</th>\n",
" <td>0.99857</td>\n",
" <td>0.041752</td>\n",
" <td>0.99960</td>\n",
" <td>0.007534</td>\n",
" <td>0.400000</td>\n",
" <td>0.046005</td>\n",
" <td>0.021064</td>\n",
" <td>0.000800</td>\n",
" <td>-0.004987</td>\n",
" <td>-0.014321</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-09-30</th>\n",
" <td>0.99870</td>\n",
" <td>0.019627</td>\n",
" <td>0.400000</td>\n",
" <td>-0.007814</td>\n",
" <td>0.000800</td>\n",
" <td>0.026630</td>\n",
" <td>0.99970</td>\n",
" <td>0.033250</td>\n",
" <td>0.334767</td>\n",
" <td>0.026357</td>\n",
" <td>0.000670</td>\n",
" <td>0.006231</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-10-21</th>\n",
" <td>0.99882</td>\n",
" <td>0.067060</td>\n",
" <td>0.400000</td>\n",
" <td>0.022792</td>\n",
" <td>0.000800</td>\n",
" <td>0.043495</td>\n",
" <td>0.99950</td>\n",
" <td>0.129311</td>\n",
" <td>0.205305</td>\n",
" <td>0.104227</td>\n",
" <td>0.000411</td>\n",
" <td>0.024725</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-11-04</th>\n",
" <td>0.99882</td>\n",
" <td>0.074099</td>\n",
" <td>0.99990</td>\n",
" <td>0.042310</td>\n",
" <td>0.400000</td>\n",
" <td>0.085199</td>\n",
" <td>0.041200</td>\n",
" <td>0.000800</td>\n",
" <td>-0.011799</td>\n",
" <td>0.000314</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-11-18</th>\n",
" <td>0.99871</td>\n",
" <td>-0.047362</td>\n",
" <td>0.99980</td>\n",
" <td>-0.098762</td>\n",
" <td>0.400000</td>\n",
" <td>-0.044425</td>\n",
" <td>-0.102170</td>\n",
" <td>0.000800</td>\n",
" <td>-0.003795</td>\n",
" <td>0.002588</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-02</th>\n",
" <td>0.99871</td>\n",
" <td>0.011023</td>\n",
" <td>0.400000</td>\n",
" <td>0.003812</td>\n",
" <td>0.000800</td>\n",
" <td>0.006415</td>\n",
" <td>0.99970</td>\n",
" <td>0.007574</td>\n",
" <td>0.398527</td>\n",
" <td>-0.006528</td>\n",
" <td>0.000797</td>\n",
" <td>0.013303</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-16</th>\n",
" <td>0.99889</td>\n",
" <td>0.032452</td>\n",
" <td>0.400000</td>\n",
" <td>0.024784</td>\n",
" <td>0.000800</td>\n",
" <td>0.006895</td>\n",
" <td>0.99950</td>\n",
" <td>0.020461</td>\n",
" <td>0.332390</td>\n",
" <td>0.021142</td>\n",
" <td>0.000665</td>\n",
" <td>-0.001335</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-30</th>\n",
" <td>0.99889</td>\n",
" <td>-0.048569</td>\n",
" <td>0.400000</td>\n",
" <td>-0.057394</td>\n",
" <td>0.000800</td>\n",
" <td>0.007962</td>\n",
" <td>0.99960</td>\n",
" <td>-0.022065</td>\n",
" <td>0.166455</td>\n",
" <td>-0.030657</td>\n",
" <td>0.000333</td>\n",
" <td>0.008247</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-01-14</th>\n",
" <td>0.99889</td>\n",
" <td>-0.050939</td>\n",
" <td>0.400000</td>\n",
" <td>-0.088210</td>\n",
" <td>0.000800</td>\n",
" <td>0.036374</td>\n",
" <td>0.99960</td>\n",
" <td>-0.038013</td>\n",
" <td>0.274646</td>\n",
" <td>-0.050464</td>\n",
" <td>0.000549</td>\n",
" <td>0.011881</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-01-28</th>\n",
" <td>0.99886</td>\n",
" <td>0.032432</td>\n",
" <td>0.400000</td>\n",
" <td>0.019919</td>\n",
" <td>0.000800</td>\n",
" <td>0.011736</td>\n",
" <td>0.95740</td>\n",
" <td>0.033718</td>\n",
" <td>0.133258</td>\n",
" <td>0.033777</td>\n",
" <td>0.000267</td>\n",
" <td>0.001114</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-02-18</th>\n",
" <td>0.99886</td>\n",
" <td>0.092855</td>\n",
" <td>0.400000</td>\n",
" <td>0.089584</td>\n",
" <td>0.000800</td>\n",
" <td>0.002573</td>\n",
" <td>0.95720</td>\n",
" <td>0.053540</td>\n",
" <td>0.195492</td>\n",
" <td>0.057284</td>\n",
" <td>0.000391</td>\n",
" <td>-0.001683</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-03-04</th>\n",
" <td>0.99669</td>\n",
" <td>0.030961</td>\n",
" <td>0.461941</td>\n",
" <td>0.018727</td>\n",
" <td>0.000924</td>\n",
" <td>0.011372</td>\n",
" <td>0.99890</td>\n",
" <td>0.024900</td>\n",
" <td>0.300694</td>\n",
" <td>0.023244</td>\n",
" <td>0.000601</td>\n",
" <td>0.001080</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-03-18</th>\n",
" <td>0.99883</td>\n",
" <td>-0.014116</td>\n",
" <td>0.400000</td>\n",
" <td>-0.010187</td>\n",
" <td>0.000800</td>\n",
" <td>-0.004742</td>\n",
" <td>0.99900</td>\n",
" <td>-0.020937</td>\n",
" <td>0.312013</td>\n",
" <td>-0.038953</td>\n",
" <td>0.000624</td>\n",
" <td>0.017353</td>\n",
" </tr>\n",
" <tr>\n",
" <th>...</th>\n",
......@@ -1369,272 +1369,272 @@
" <tr>\n",
" <th>2016-12-19</th>\n",
" <td>0.99999</td>\n",
" <td>-0.019694</td>\n",
" <td>0.400000</td>\n",
" <td>-0.029751</td>\n",
" <td>0.000800</td>\n",
" <td>0.009257</td>\n",
" <td>-0.046173</td>\n",
" <td>0.295404</td>\n",
" <td>-0.044341</td>\n",
" <td>0.000591</td>\n",
" <td>-0.002423</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-01-03</th>\n",
" <td>0.99999</td>\n",
" <td>0.022045</td>\n",
" <td>0.400000</td>\n",
" <td>0.014796</td>\n",
" <td>0.000800</td>\n",
" <td>0.006450</td>\n",
" <td>0.024535</td>\n",
" <td>0.161578</td>\n",
" <td>0.017738</td>\n",
" <td>0.000323</td>\n",
" <td>0.006473</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-01-17</th>\n",
" <td>1.00015</td>\n",
" <td>-0.036656</td>\n",
" <td>0.526692</td>\n",
" <td>-0.052350</td>\n",
" <td>0.001053</td>\n",
" <td>0.014649</td>\n",
" <td>1.00003</td>\n",
" <td>0.002655</td>\n",
" <td>0.286523</td>\n",
" <td>-0.008629</td>\n",
" <td>0.000573</td>\n",
" <td>0.010712</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-02-07</th>\n",
" <td>1.00015</td>\n",
" <td>0.041704</td>\n",
" <td>0.400000</td>\n",
" <td>0.036071</td>\n",
" <td>0.000800</td>\n",
" <td>0.004827</td>\n",
" <td>1.00003</td>\n",
" <td>0.022140</td>\n",
" <td>0.125876</td>\n",
" <td>0.013057</td>\n",
" <td>0.000252</td>\n",
" <td>0.008831</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-02-21</th>\n",
" <td>0.99995</td>\n",
" <td>0.044033</td>\n",
" <td>0.400000</td>\n",
" <td>0.028620</td>\n",
" <td>0.000800</td>\n",
" <td>0.014614</td>\n",
" <td>0.99996</td>\n",
" <td>0.033621</td>\n",
" <td>0.333158</td>\n",
" <td>0.030984</td>\n",
" <td>0.000666</td>\n",
" <td>0.001971</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-03-07</th>\n",
" <td>0.99995</td>\n",
" <td>0.000585</td>\n",
" <td>0.400000</td>\n",
" <td>0.003521</td>\n",
" <td>0.000800</td>\n",
" <td>-0.003735</td>\n",
" <td>0.99798</td>\n",
" <td>-0.015391</td>\n",
" <td>0.291720</td>\n",
" <td>-0.011829</td>\n",
" <td>0.000583</td>\n",
" <td>-0.004169</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-03-21</th>\n",
" <td>0.99992</td>\n",
" <td>0.014388</td>\n",
" <td>1.00003</td>\n",
" <td>0.008702</td>\n",
" <td>0.400000</td>\n",
" <td>0.000433</td>\n",
" <td>0.000390</td>\n",
" <td>0.000800</td>\n",
" <td>0.013155</td>\n",
" <td>0.007512</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-04-06</th>\n",
" <td>0.99992</td>\n",
" <td>0.020196</td>\n",
" <td>0.400000</td>\n",
" <td>0.012087</td>\n",
" <td>0.000800</td>\n",
" <td>0.007310</td>\n",
" <td>1.00003</td>\n",
" <td>0.030815</td>\n",
" <td>0.229504</td>\n",
" <td>0.019344</td>\n",
" <td>0.000459</td>\n",
" <td>0.011012</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-04-20</th>\n",
" <td>1.00001</td>\n",
" <td>-0.030300</td>\n",
" <td>1.00004</td>\n",
" <td>-0.006430</td>\n",
" <td>0.400000</td>\n",
" <td>-0.043176</td>\n",
" <td>-0.014495</td>\n",
" <td>0.000800</td>\n",
" <td>0.012077</td>\n",
" <td>0.007265</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-05-05</th>\n",
" <td>1.00001</td>\n",
" <td>-0.065753</td>\n",
" <td>1.00004</td>\n",
" <td>-0.033754</td>\n",
" <td>0.400000</td>\n",
" <td>-0.052973</td>\n",
" <td>-0.031634</td>\n",
" <td>0.000800</td>\n",
" <td>-0.013580</td>\n",
" <td>-0.002919</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-05-19</th>\n",
" <td>1.00002</td>\n",
" <td>-0.021411</td>\n",
" <td>0.99990</td>\n",
" <td>0.015922</td>\n",
" <td>0.400000</td>\n",
" <td>-0.014611</td>\n",
" <td>0.015496</td>\n",
" <td>0.000800</td>\n",
" <td>-0.007600</td>\n",
" <td>-0.000372</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-06-06</th>\n",
" <td>1.00002</td>\n",
" <td>0.027560</td>\n",
" <td>0.99990</td>\n",
" <td>0.039499</td>\n",
" <td>0.400000</td>\n",
" <td>0.011175</td>\n",
" <td>0.035334</td>\n",
" <td>0.000800</td>\n",
" <td>0.015585</td>\n",
" <td>0.003368</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-06-20</th>\n",
" <td>1.00001</td>\n",
" <td>0.019150</td>\n",
" <td>0.400000</td>\n",
" <td>0.020476</td>\n",
" <td>0.000800</td>\n",
" <td>-0.002126</td>\n",
" <td>1.00004</td>\n",
" <td>0.025790</td>\n",
" <td>0.227194</td>\n",
" <td>0.015188</td>\n",
" <td>0.000454</td>\n",
" <td>0.010147</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-07-04</th>\n",
" <td>1.00001</td>\n",
" <td>0.044044</td>\n",
" <td>0.400000</td>\n",
" <td>0.018864</td>\n",
" <td>0.000800</td>\n",
" <td>0.024380</td>\n",
" <td>1.00004</td>\n",
" <td>0.031422</td>\n",
" <td>0.157818</td>\n",
" <td>0.019815</td>\n",
" <td>0.000316</td>\n",
" <td>0.011290</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-07-18</th>\n",
" <td>1.00009</td>\n",
" <td>0.010873</td>\n",
" <td>0.511670</td>\n",
" <td>-0.021973</td>\n",
" <td>0.001023</td>\n",
" <td>0.031825</td>\n",
" <td>0.99999</td>\n",
" <td>0.034550</td>\n",
" <td>0.332887</td>\n",
" <td>0.018972</td>\n",
" <td>0.000666</td>\n",
" <td>0.014913</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-01</th>\n",
" <td>1.00009</td>\n",
" <td>0.046041</td>\n",
" <td>0.400000</td>\n",
" <td>0.031278</td>\n",
" <td>0.000800</td>\n",
" <td>0.013961</td>\n",
" <td>0.99999</td>\n",
" <td>0.009246</td>\n",
" <td>0.186835</td>\n",
" <td>0.008294</td>\n",
" <td>0.000374</td>\n",
" <td>0.000578</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-15</th>\n",
" <td>1.00001</td>\n",
" <td>-0.001945</td>\n",
" <td>0.400000</td>\n",
" <td>0.010663</td>\n",
" <td>0.000800</td>\n",
" <td>-0.013408</td>\n",
" <td>1.00004</td>\n",
" <td>-0.021296</td>\n",
" <td>0.336833</td>\n",
" <td>-0.015918</td>\n",
" <td>0.000674</td>\n",
" <td>-0.006051</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-29</th>\n",
" <td>1.00001</td>\n",
" <td>0.031043</td>\n",
" <td>0.400000</td>\n",
" <td>0.021099</td>\n",
" <td>0.000800</td>\n",
" <td>0.009143</td>\n",
" <td>1.00004</td>\n",
" <td>0.039055</td>\n",
" <td>0.310933</td>\n",
" <td>0.035254</td>\n",
" <td>0.000622</td>\n",
" <td>0.003178</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-09-12</th>\n",
" <td>1.00001</td>\n",
" <td>0.028566</td>\n",
" <td>1.00004</td>\n",
" <td>0.003864</td>\n",
" <td>0.400000</td>\n",
" <td>0.035183</td>\n",
" <td>0.002169</td>\n",
" <td>0.000800</td>\n",
" <td>-0.007417</td>\n",
" <td>0.000895</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-09-26</th>\n",
" <td>1.00006</td>\n",
" <td>-0.003795</td>\n",
" <td>0.400000</td>\n",
" <td>-0.015251</td>\n",
" <td>0.000800</td>\n",
" <td>0.010657</td>\n",
" <td>0.99997</td>\n",
" <td>-0.002510</td>\n",
" <td>0.374252</td>\n",
" <td>-0.005593</td>\n",
" <td>0.000749</td>\n",
" <td>0.002334</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-10-17</th>\n",
" <td>1.00006</td>\n",
" <td>-0.001820</td>\n",
" <td>0.400000</td>\n",
" <td>-0.002997</td>\n",
" <td>0.000800</td>\n",
" <td>0.000377</td>\n",
" <td>0.99997</td>\n",
" <td>0.024928</td>\n",
" <td>0.235312</td>\n",
" <td>0.031667</td>\n",
" <td>0.000471</td>\n",
" <td>-0.007208</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-10-31</th>\n",
" <td>1.00001</td>\n",
" <td>0.002962</td>\n",
" <td>0.400000</td>\n",
" <td>-0.001593</td>\n",
" <td>0.000800</td>\n",
" <td>0.003755</td>\n",
" <td>1.00002</td>\n",
" <td>0.011720</td>\n",
" <td>0.343991</td>\n",
" <td>0.013215</td>\n",
" <td>0.000688</td>\n",
" <td>-0.002184</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-11-14</th>\n",
" <td>1.00002</td>\n",
" <td>0.000244</td>\n",
" <td>1.00011</td>\n",
" <td>0.021768</td>\n",
" <td>0.400000</td>\n",
" <td>-0.002333</td>\n",
" <td>0.019105</td>\n",
" <td>0.000800</td>\n",
" <td>0.001778</td>\n",
" <td>0.001861</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-11-28</th>\n",
" <td>1.00002</td>\n",
" <td>-0.019798</td>\n",
" <td>1.00011</td>\n",
" <td>-0.001063</td>\n",
" <td>0.400000</td>\n",
" <td>-0.034113</td>\n",
" <td>-0.004899</td>\n",
" <td>0.000800</td>\n",
" <td>0.013516</td>\n",
" <td>0.003036</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-12-12</th>\n",
" <td>0.99995</td>\n",
" <td>-0.007562</td>\n",
" <td>0.400000</td>\n",
" <td>-0.006497</td>\n",
" <td>0.000800</td>\n",
" <td>-0.001865</td>\n",
" <td>0.99994</td>\n",
" <td>-0.000903</td>\n",
" <td>0.177981</td>\n",
" <td>-0.000911</td>\n",
" <td>0.000356</td>\n",
" <td>-0.000348</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-12-26</th>\n",
" <td>0.99995</td>\n",
" <td>-0.010001</td>\n",
" <td>0.527553</td>\n",
" <td>-0.016749</td>\n",
" <td>0.001055</td>\n",
" <td>0.005692</td>\n",
" <td>0.99996</td>\n",
" <td>-0.010509</td>\n",
" <td>0.249249</td>\n",
" <td>-0.014643</td>\n",
" <td>0.000498</td>\n",
" <td>0.003635</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-01-10</th>\n",
" <td>0.99999</td>\n",
" <td>0.062804</td>\n",
" <td>0.400000</td>\n",
" <td>0.040133</td>\n",
" <td>0.000800</td>\n",
" <td>0.021872</td>\n",
" <td>1.00008</td>\n",
" <td>0.065928</td>\n",
" <td>0.223927</td>\n",
" <td>0.052321</td>\n",
" <td>0.000448</td>\n",
" <td>0.013155</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-01-24</th>\n",
" <td>1.00011</td>\n",
" <td>0.013303</td>\n",
" <td>0.400000</td>\n",
" <td>-0.006750</td>\n",
" <td>0.000800</td>\n",
" <td>0.019254</td>\n",
" <td>0.99998</td>\n",
" <td>0.044550</td>\n",
" <td>0.321516</td>\n",
" <td>0.037221</td>\n",
" <td>0.000643</td>\n",
" <td>0.006686</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-02-07</th>\n",
" <td>1.00004</td>\n",
" <td>-0.086680</td>\n",
" <td>0.400000</td>\n",
" <td>-0.101533</td>\n",
" <td>0.000800</td>\n",
" <td>0.014057</td>\n",
" <td>0.99993</td>\n",
" <td>-0.078768</td>\n",
" <td>0.283453</td>\n",
" <td>-0.084335</td>\n",
" <td>0.000567</td>\n",
" <td>0.004994</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-02-28</th>\n",
" <td>0.99994</td>\n",
" <td>0.044443</td>\n",
" <td>0.400000</td>\n",
" <td>0.054624</td>\n",
" <td>0.000800</td>\n",
" <td>-0.010978</td>\n",
" <td>0.010017</td>\n",
" <td>0.341782</td>\n",
" <td>0.009190</td>\n",
" <td>0.000684</td>\n",
" <td>0.000144</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
......@@ -1644,71 +1644,71 @@
"text/plain": [
" leverage returns turn_over index tc_cost ret_after_tc\n",
"2010-01-04 0.00000 0.000000 0.000000 0.000000 0.000000 0.000000\n",
"2010-01-18 1.00000 0.046003 1.927841 0.058077 0.003856 -0.015930\n",
"2010-02-01 1.00000 -0.116628 0.400000 -0.115825 0.000800 -0.001602\n",
"2010-02-22 0.99839 0.028905 0.420000 0.035925 0.000840 -0.007802\n",
"2010-03-08 0.99537 0.053336 0.400000 0.044084 0.000800 0.008656\n",
"2010-03-22 0.99846 -0.008443 0.400000 -0.000303 0.000800 -0.008940\n",
"2010-04-06 0.99846 0.042204 0.400000 0.043072 0.000800 -0.001602\n",
"2010-04-20 0.99837 -0.004134 0.400000 0.006209 0.000800 -0.011132\n",
"2010-05-05 0.99837 -0.097597 0.400000 -0.101913 0.000800 0.003350\n",
"2010-05-19 0.99857 -0.108175 0.400000 -0.124804 0.000800 0.015650\n",
"2010-06-02 0.99857 0.029680 0.400000 0.038406 0.000800 -0.009471\n",
"2010-06-21 0.99856 0.034693 0.400000 0.016080 0.000800 0.017837\n",
"2010-07-05 0.99856 -0.100566 0.400000 -0.116871 0.000800 0.015338\n",
"2010-07-19 0.99864 0.085609 0.400000 0.075146 0.000800 0.009765\n",
"2010-08-02 0.99864 0.064639 0.400000 0.059507 0.000800 0.004413\n",
"2010-08-16 0.99857 0.058397 0.462835 0.061077 0.000926 -0.003519\n",
"2010-08-30 0.99857 0.027406 0.400000 0.029092 0.000800 -0.002444\n",
"2010-09-13 0.99857 0.041752 0.400000 0.046005 0.000800 -0.004987\n",
"2010-09-30 0.99870 0.019627 0.400000 -0.007814 0.000800 0.026630\n",
"2010-10-21 0.99882 0.067060 0.400000 0.022792 0.000800 0.043495\n",
"2010-11-04 0.99882 0.074099 0.400000 0.085199 0.000800 -0.011799\n",
"2010-11-18 0.99871 -0.047362 0.400000 -0.044425 0.000800 -0.003795\n",
"2010-12-02 0.99871 0.011023 0.400000 0.003812 0.000800 0.006415\n",
"2010-12-16 0.99889 0.032452 0.400000 0.024784 0.000800 0.006895\n",
"2010-12-30 0.99889 -0.048569 0.400000 -0.057394 0.000800 0.007962\n",
"2011-01-14 0.99889 -0.050939 0.400000 -0.088210 0.000800 0.036374\n",
"2011-01-28 0.99886 0.032432 0.400000 0.019919 0.000800 0.011736\n",
"2011-02-18 0.99886 0.092855 0.400000 0.089584 0.000800 0.002573\n",
"2011-03-04 0.99669 0.030961 0.461941 0.018727 0.000924 0.011372\n",
"2011-03-18 0.99883 -0.014116 0.400000 -0.010187 0.000800 -0.004742\n",
"2010-01-18 0.98210 -0.004034 1.408400 -0.016006 0.002817 0.008869\n",
"2010-02-01 0.98080 -0.119345 0.375296 -0.108705 0.000751 -0.013477\n",
"2010-02-22 0.99880 0.018225 0.294060 0.016540 0.000588 0.001117\n",
"2010-03-08 1.00070 0.040173 0.330253 0.032977 0.000661 0.006512\n",
"2010-03-22 0.99990 -0.010525 0.400000 -0.009209 0.000800 -0.002116\n",
"2010-04-06 1.00030 0.035026 0.400000 0.033441 0.000800 0.000774\n",
"2010-04-20 1.00090 -0.055201 0.400000 -0.045374 0.000800 -0.010586\n",
"2010-05-05 0.99920 -0.107964 0.312529 -0.110916 0.000625 0.002238\n",
"2010-05-19 0.99890 -0.053097 0.400000 -0.060783 0.000800 0.006819\n",
"2010-06-02 0.99980 -0.002943 0.400000 0.003685 0.000800 -0.007428\n",
"2010-06-21 0.99990 0.029722 0.299103 0.017268 0.000598 0.011857\n",
"2010-07-05 0.99960 -0.069919 0.205957 -0.082651 0.000412 0.012287\n",
"2010-07-19 0.97430 0.069300 0.270743 0.067367 0.000541 0.003123\n",
"2010-08-02 0.97470 0.043631 0.107972 0.044402 0.000216 0.000137\n",
"2010-08-16 1.00010 0.017754 0.203921 0.026279 0.000408 -0.008936\n",
"2010-08-30 0.99900 -0.017580 0.400000 -0.013376 0.000800 -0.005018\n",
"2010-09-13 0.99960 0.007534 0.400000 0.021064 0.000800 -0.014321\n",
"2010-09-30 0.99970 0.033250 0.334767 0.026357 0.000670 0.006231\n",
"2010-10-21 0.99950 0.129311 0.205305 0.104227 0.000411 0.024725\n",
"2010-11-04 0.99990 0.042310 0.400000 0.041200 0.000800 0.000314\n",
"2010-11-18 0.99980 -0.098762 0.400000 -0.102170 0.000800 0.002588\n",
"2010-12-02 0.99970 0.007574 0.398527 -0.006528 0.000797 0.013303\n",
"2010-12-16 0.99950 0.020461 0.332390 0.021142 0.000665 -0.001335\n",
"2010-12-30 0.99960 -0.022065 0.166455 -0.030657 0.000333 0.008247\n",
"2011-01-14 0.99960 -0.038013 0.274646 -0.050464 0.000549 0.011881\n",
"2011-01-28 0.95740 0.033718 0.133258 0.033777 0.000267 0.001114\n",
"2011-02-18 0.95720 0.053540 0.195492 0.057284 0.000391 -0.001683\n",
"2011-03-04 0.99890 0.024900 0.300694 0.023244 0.000601 0.001080\n",
"2011-03-18 0.99900 -0.020937 0.312013 -0.038953 0.000624 0.017353\n",
"... ... ... ... ... ... ...\n",
"2016-12-19 0.99999 -0.019694 0.400000 -0.029751 0.000800 0.009257\n",
"2017-01-03 0.99999 0.022045 0.400000 0.014796 0.000800 0.006450\n",
"2017-01-17 1.00015 -0.036656 0.526692 -0.052350 0.001053 0.014649\n",
"2017-02-07 1.00015 0.041704 0.400000 0.036071 0.000800 0.004827\n",
"2017-02-21 0.99995 0.044033 0.400000 0.028620 0.000800 0.014614\n",
"2017-03-07 0.99995 0.000585 0.400000 0.003521 0.000800 -0.003735\n",
"2017-03-21 0.99992 0.014388 0.400000 0.000433 0.000800 0.013155\n",
"2017-04-06 0.99992 0.020196 0.400000 0.012087 0.000800 0.007310\n",
"2017-04-20 1.00001 -0.030300 0.400000 -0.043176 0.000800 0.012077\n",
"2017-05-05 1.00001 -0.065753 0.400000 -0.052973 0.000800 -0.013580\n",
"2017-05-19 1.00002 -0.021411 0.400000 -0.014611 0.000800 -0.007600\n",
"2017-06-06 1.00002 0.027560 0.400000 0.011175 0.000800 0.015585\n",
"2017-06-20 1.00001 0.019150 0.400000 0.020476 0.000800 -0.002126\n",
"2017-07-04 1.00001 0.044044 0.400000 0.018864 0.000800 0.024380\n",
"2017-07-18 1.00009 0.010873 0.511670 -0.021973 0.001023 0.031825\n",
"2017-08-01 1.00009 0.046041 0.400000 0.031278 0.000800 0.013961\n",
"2017-08-15 1.00001 -0.001945 0.400000 0.010663 0.000800 -0.013408\n",
"2017-08-29 1.00001 0.031043 0.400000 0.021099 0.000800 0.009143\n",
"2017-09-12 1.00001 0.028566 0.400000 0.035183 0.000800 -0.007417\n",
"2017-09-26 1.00006 -0.003795 0.400000 -0.015251 0.000800 0.010657\n",
"2017-10-17 1.00006 -0.001820 0.400000 -0.002997 0.000800 0.000377\n",
"2017-10-31 1.00001 0.002962 0.400000 -0.001593 0.000800 0.003755\n",
"2017-11-14 1.00002 0.000244 0.400000 -0.002333 0.000800 0.001778\n",
"2017-11-28 1.00002 -0.019798 0.400000 -0.034113 0.000800 0.013516\n",
"2017-12-12 0.99995 -0.007562 0.400000 -0.006497 0.000800 -0.001865\n",
"2017-12-26 0.99995 -0.010001 0.527553 -0.016749 0.001055 0.005692\n",
"2018-01-10 0.99999 0.062804 0.400000 0.040133 0.000800 0.021872\n",
"2018-01-24 1.00011 0.013303 0.400000 -0.006750 0.000800 0.019254\n",
"2018-02-07 1.00004 -0.086680 0.400000 -0.101533 0.000800 0.014057\n",
"2018-02-28 0.99994 0.044443 0.400000 0.054624 0.000800 -0.010978\n",
"2016-12-19 0.99999 -0.046173 0.295404 -0.044341 0.000591 -0.002423\n",
"2017-01-03 0.99999 0.024535 0.161578 0.017738 0.000323 0.006473\n",
"2017-01-17 1.00003 0.002655 0.286523 -0.008629 0.000573 0.010712\n",
"2017-02-07 1.00003 0.022140 0.125876 0.013057 0.000252 0.008831\n",
"2017-02-21 0.99996 0.033621 0.333158 0.030984 0.000666 0.001971\n",
"2017-03-07 0.99798 -0.015391 0.291720 -0.011829 0.000583 -0.004169\n",
"2017-03-21 1.00003 0.008702 0.400000 0.000390 0.000800 0.007512\n",
"2017-04-06 1.00003 0.030815 0.229504 0.019344 0.000459 0.011012\n",
"2017-04-20 1.00004 -0.006430 0.400000 -0.014495 0.000800 0.007265\n",
"2017-05-05 1.00004 -0.033754 0.400000 -0.031634 0.000800 -0.002919\n",
"2017-05-19 0.99990 0.015922 0.400000 0.015496 0.000800 -0.000372\n",
"2017-06-06 0.99990 0.039499 0.400000 0.035334 0.000800 0.003368\n",
"2017-06-20 1.00004 0.025790 0.227194 0.015188 0.000454 0.010147\n",
"2017-07-04 1.00004 0.031422 0.157818 0.019815 0.000316 0.011290\n",
"2017-07-18 0.99999 0.034550 0.332887 0.018972 0.000666 0.014913\n",
"2017-08-01 0.99999 0.009246 0.186835 0.008294 0.000374 0.000578\n",
"2017-08-15 1.00004 -0.021296 0.336833 -0.015918 0.000674 -0.006051\n",
"2017-08-29 1.00004 0.039055 0.310933 0.035254 0.000622 0.003178\n",
"2017-09-12 1.00004 0.003864 0.400000 0.002169 0.000800 0.000895\n",
"2017-09-26 0.99997 -0.002510 0.374252 -0.005593 0.000749 0.002334\n",
"2017-10-17 0.99997 0.024928 0.235312 0.031667 0.000471 -0.007208\n",
"2017-10-31 1.00002 0.011720 0.343991 0.013215 0.000688 -0.002184\n",
"2017-11-14 1.00011 0.021768 0.400000 0.019105 0.000800 0.001861\n",
"2017-11-28 1.00011 -0.001063 0.400000 -0.004899 0.000800 0.003036\n",
"2017-12-12 0.99994 -0.000903 0.177981 -0.000911 0.000356 -0.000348\n",
"2017-12-26 0.99996 -0.010509 0.249249 -0.014643 0.000498 0.003635\n",
"2018-01-10 1.00008 0.065928 0.223927 0.052321 0.000448 0.013155\n",
"2018-01-24 0.99998 0.044550 0.321516 0.037221 0.000643 0.006686\n",
"2018-02-07 0.99993 -0.078768 0.283453 -0.084335 0.000567 0.004994\n",
"2018-02-28 0.99994 0.010017 0.341782 0.009190 0.000684 0.000144\n",
"\n",
"[199 rows x 6 columns]"
]
},
"execution_count": 56,
"execution_count": 21,
"metadata": {},
"output_type": "execute_result"
}
......
notebooks/Example 5 - Style Factor Analysis.ipynb
View file @ 8e6c3100
......@@ -11,7 +11,16 @@
"cell_type": "code",
"execution_count": 1,
"metadata": {},
"outputs": [],
"outputs": [
{
"name": "stderr",
"output_type": "stream",
"text": [
"d:\\ProgramData\\Anaconda3\\lib\\site-packages\\statsmodels\\compat\\pandas.py:56: FutureWarning: The pandas.core.datetools module is deprecated and will be removed in a future version. Please use the pandas.tseries module instead.\n",
" from pandas.core import datetools\n"
]
}
],
"source": [
"%matplotlib inline\n",
"\n",
......@@ -21,14 +30,14 @@
"import statsmodels.api as sm\n",
"from alphamind.api import *\n",
"from PyFin.api import *\n",
"from notebook_utilities import cross_section_analysis\n",
"from alphamind.analysis.crosssetctions import cross_section_analysis\n",
"\n",
"plt.style.use('ggplot')"
]
},
{
"cell_type": "code",
"execution_count": 2,
"execution_count": 8,
"metadata": {},
"outputs": [],
"source": [
......@@ -36,233 +45,925 @@
"Back test parameter settings\n",
"\"\"\"\n",
"\n",
"start_date = '2017-01-01'\n",
"start_date = '2010-01-01'\n",
"end_date = '2018-02-28'\n",
"category = 'sw_adj'\n",
"level = 1\n",
"freq = '20b'\n",
"universe = Universe('custom', ['zz800'])\n",
"data_source = 'postgres+psycopg2://postgres:A12345678!@10.63.6.220/alpha'\n",
"freq = '10b'\n",
"universe = Universe('custom', ['ashare_ex'])\n",
"\n",
"\n",
"horizon = map_freq(freq)\n",
"ref_dates = makeSchedule(start_date, end_date, freq, 'china.sse')\n",
"engine = SqlEngine(data_source)"
"ref_dates = makeSchedule(start_date, end_date, freq, 'china.sse')"
]
},
{
"cell_type": "code",
"execution_count": 4,
"execution_count": 9,
"metadata": {},
"outputs": [],
"source": [
"\"\"\"\n",
"Factor Model\n",
"\"\"\"\n",
"factor_name = 'SIZE'"
"def risk_factor_analysis(factor_name):\n",
" data_source = 'postgres+psycopg2://postgres:A12345678!@10.63.6.220/alpha'\n",
" engine = SqlEngine(data_source)\n",
" risk_names = list(set(risk_styles).difference({factor_name}))\n",
" industry_names = list(set(industry_styles).difference({factor_name}))\n",
" constraint_risk = risk_names + industry_names\n",
" \n",
" df = pd.DataFrame(columns=['ret', 'ic', 't.'], dtype=float)\n",
"\n",
" for ref_date in ref_dates:\n",
" df.loc[ref_date, :] = cross_section_analysis(ref_date,\n",
" factor_name,\n",
" universe,\n",
" horizon,\n",
" constraint_risk,\n",
" engine=engine)\n",
" df.index = pd.to_datetime(df.index)\n",
" return df"
]
},
{
"cell_type": "code",
"execution_count": 8,
"execution_count": 10,
"metadata": {},
"outputs": [],
"source": [
"\"\"\"\n",
"Constraints\n",
"\"\"\"\n",
"\n",
"risk_names = list(set(risk_styles).difference({factor_name}))\n",
"industry_names = list(set(industry_styles).difference({factor_name}))\n",
"constraint_risk = risk_names + industry_names + macro_styles\n",
"\n",
"b_type = []\n",
"l_val = []\n",
"u_val = []\n",
"candidates_factors = risk_styles + industry_styles"
]
},
{
"cell_type": "code",
"execution_count": 11,
"metadata": {},
"outputs": [],
"source": [
"from dask.distributed import Client\n",
"\n",
"for name in constraint_risk:\n",
" if name in set(risk_styles):\n",
" b_type.append(BoundaryType.ABSOLUTE)\n",
" l_val.append(0.0)\n",
" u_val.append(0.0)\n",
" else:\n",
" b_type.append(BoundaryType.RELATIVE)\n",
" l_val.append(1.0)\n",
" u_val.append(1.0)\n",
" \n",
"linear_bounds = create_box_bounds(constraint_risk, b_type, l_val, u_val)"
"with Client('10.63.6.176:8786') as client:\n",
" tasks = client.map(risk_factor_analysis, candidates_factors, pure=False)\n",
" res = client.gather(tasks)"
]
},
{
"cell_type": "code",
"execution_count": 9,
"execution_count": 15,
"metadata": {},
"outputs": [
{
"name": "stderr",
"output_type": "stream",
"text": [
"2018-03-05 13:28:03,536 - ALPHA_MIND - INFO - 2010-01-04 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:03,926 - ALPHA_MIND - INFO - 2010-02-01 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:04,321 - ALPHA_MIND - INFO - 2010-03-08 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:04,714 - ALPHA_MIND - INFO - 2010-04-06 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:05,111 - ALPHA_MIND - INFO - 2010-05-05 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:05,592 - ALPHA_MIND - INFO - 2010-06-02 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:06,005 - ALPHA_MIND - INFO - 2010-07-05 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:06,436 - ALPHA_MIND - INFO - 2010-08-02 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:06,836 - ALPHA_MIND - INFO - 2010-08-30 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:07,244 - ALPHA_MIND - INFO - 2010-09-30 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:07,646 - ALPHA_MIND - INFO - 2010-11-04 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:08,073 - ALPHA_MIND - INFO - 2010-12-02 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:08,492 - ALPHA_MIND - INFO - 2010-12-30 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:09,006 - ALPHA_MIND - INFO - 2011-01-28 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:09,434 - ALPHA_MIND - INFO - 2011-03-04 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:09,857 - ALPHA_MIND - INFO - 2011-04-01 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:10,275 - ALPHA_MIND - INFO - 2011-05-04 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:10,696 - ALPHA_MIND - INFO - 2011-06-01 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:11,098 - ALPHA_MIND - INFO - 2011-06-30 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:11,511 - ALPHA_MIND - INFO - 2011-07-28 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:11,908 - ALPHA_MIND - INFO - 2011-08-25 00:00:00 is finished with 796 stocks for SIZE\n",
"2018-03-05 13:28:12,408 - ALPHA_MIND - INFO - 2011-09-23 00:00:00 is finished with 797 stocks for SIZE\n",
"2018-03-05 13:28:12,819 - ALPHA_MIND - INFO - 2011-10-28 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:13,269 - ALPHA_MIND - INFO - 2011-11-25 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:13,699 - ALPHA_MIND - INFO - 2011-12-23 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:14,144 - ALPHA_MIND - INFO - 2012-01-31 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:14,574 - ALPHA_MIND - INFO - 2012-02-28 00:00:00 is finished with 796 stocks for SIZE\n",
"2018-03-05 13:28:15,006 - ALPHA_MIND - INFO - 2012-03-27 00:00:00 is finished with 796 stocks for SIZE\n",
"2018-03-05 13:28:15,443 - ALPHA_MIND - INFO - 2012-04-27 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:15,962 - ALPHA_MIND - INFO - 2012-05-29 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:16,383 - ALPHA_MIND - INFO - 2012-06-27 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:16,824 - ALPHA_MIND - INFO - 2012-07-25 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:17,233 - ALPHA_MIND - INFO - 2012-08-22 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:17,663 - ALPHA_MIND - INFO - 2012-09-19 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:18,076 - ALPHA_MIND - INFO - 2012-10-24 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:18,497 - ALPHA_MIND - INFO - 2012-11-21 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:18,925 - ALPHA_MIND - INFO - 2012-12-19 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:19,346 - ALPHA_MIND - INFO - 2013-01-21 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:19,869 - ALPHA_MIND - INFO - 2013-02-25 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:20,278 - ALPHA_MIND - INFO - 2013-03-25 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:20,700 - ALPHA_MIND - INFO - 2013-04-24 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:21,111 - ALPHA_MIND - INFO - 2013-05-27 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:21,536 - ALPHA_MIND - INFO - 2013-06-27 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:21,967 - ALPHA_MIND - INFO - 2013-07-25 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:22,417 - ALPHA_MIND - INFO - 2013-08-22 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:22,875 - ALPHA_MIND - INFO - 2013-09-23 00:00:00 is finished with 799 stocks for SIZE\n",
"2018-03-05 13:28:23,398 - ALPHA_MIND - INFO - 2013-10-28 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:23,849 - ALPHA_MIND - INFO - 2013-11-25 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:24,274 - ALPHA_MIND - INFO - 2013-12-23 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:24,698 - ALPHA_MIND - INFO - 2014-01-21 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:25,128 - ALPHA_MIND - INFO - 2014-02-25 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:25,553 - ALPHA_MIND - INFO - 2014-03-25 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:25,976 - ALPHA_MIND - INFO - 2014-04-23 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:26,405 - ALPHA_MIND - INFO - 2014-05-23 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:26,823 - ALPHA_MIND - INFO - 2014-06-23 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:27,322 - ALPHA_MIND - INFO - 2014-07-21 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:27,748 - ALPHA_MIND - INFO - 2014-08-18 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:28,181 - ALPHA_MIND - INFO - 2014-09-16 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:28,604 - ALPHA_MIND - INFO - 2014-10-21 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:29,038 - ALPHA_MIND - INFO - 2014-11-18 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:29,478 - ALPHA_MIND - INFO - 2014-12-16 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:29,908 - ALPHA_MIND - INFO - 2015-01-15 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:30,352 - ALPHA_MIND - INFO - 2015-02-12 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:30,952 - ALPHA_MIND - INFO - 2015-03-19 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:31,386 - ALPHA_MIND - INFO - 2015-04-17 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:31,834 - ALPHA_MIND - INFO - 2015-05-18 00:00:00 is finished with 798 stocks for SIZE\n",
"2018-03-05 13:28:32,274 - ALPHA_MIND - INFO - 2015-06-15 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:32,718 - ALPHA_MIND - INFO - 2015-07-14 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:33,192 - ALPHA_MIND - INFO - 2015-08-11 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:33,635 - ALPHA_MIND - INFO - 2015-09-10 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:34,055 - ALPHA_MIND - INFO - 2015-10-15 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:34,589 - ALPHA_MIND - INFO - 2015-11-12 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:35,032 - ALPHA_MIND - INFO - 2015-12-10 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:35,464 - ALPHA_MIND - INFO - 2016-01-08 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:35,910 - ALPHA_MIND - INFO - 2016-02-05 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:36,361 - ALPHA_MIND - INFO - 2016-03-11 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:36,818 - ALPHA_MIND - INFO - 2016-04-11 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:37,272 - ALPHA_MIND - INFO - 2016-05-10 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:37,726 - ALPHA_MIND - INFO - 2016-06-07 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:38,278 - ALPHA_MIND - INFO - 2016-07-07 00:00:00 is finished with 800 stocks for SIZE\n"
]
},
{
"name": "stderr",
"output_type": "stream",
"text": [
"2018-03-05 13:28:38,747 - ALPHA_MIND - INFO - 2016-08-04 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:39,190 - ALPHA_MIND - INFO - 2016-09-01 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:39,640 - ALPHA_MIND - INFO - 2016-10-10 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:40,081 - ALPHA_MIND - INFO - 2016-11-07 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:40,536 - ALPHA_MIND - INFO - 2016-12-05 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:40,977 - ALPHA_MIND - INFO - 2017-01-03 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:41,438 - ALPHA_MIND - INFO - 2017-02-07 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:41,959 - ALPHA_MIND - INFO - 2017-03-07 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:42,403 - ALPHA_MIND - INFO - 2017-04-06 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:42,850 - ALPHA_MIND - INFO - 2017-05-05 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:43,300 - ALPHA_MIND - INFO - 2017-06-06 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:43,747 - ALPHA_MIND - INFO - 2017-07-04 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:44,197 - ALPHA_MIND - INFO - 2017-08-01 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:44,663 - ALPHA_MIND - INFO - 2017-08-29 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:45,158 - ALPHA_MIND - INFO - 2017-09-26 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:45,732 - ALPHA_MIND - INFO - 2017-10-31 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:46,201 - ALPHA_MIND - INFO - 2017-11-28 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:46,662 - ALPHA_MIND - INFO - 2017-12-26 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:47,118 - ALPHA_MIND - INFO - 2018-01-24 00:00:00 is finished with 800 stocks for SIZE\n",
"2018-03-05 13:28:47,402 - ALPHA_MIND - INFO - 2018-02-28 00:00:00 is finished with 800 stocks for SIZE\n"
]
}
],
"outputs": [],
"source": [
"df = pd.DataFrame(columns=['ret', 'ic', 't.'])\n",
"df = pd.DataFrame()\n",
"\n",
"for ref_date in ref_dates:\n",
" df.loc[ref_date, :] = cross_section_analysis(ref_date,\n",
" factor_name,\n",
" universe,\n",
" horizon,\n",
" constraint_risk,\n",
" linear_bounds,\n",
" lbound=-0.01,\n",
" ubound=0.01,\n",
" engine=engine)"
"for f_name, data in zip(candidates_factors, res):\n",
" data['factor'] = f_name\n",
" df = df.append(data)"
]
},
{
"cell_type": "code",
"execution_count": 10,
"execution_count": 16,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>abs t.</th>\n",
" </tr>\n",
" <tr>\n",
" <th>factor</th>\n",
" <th></th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>SIZE</th>\n",
" <td>3.381191</td>\n",
" </tr>\n",
" <tr>\n",
" <th>LIQUIDTY</th>\n",
" <td>3.096133</td>\n",
" </tr>\n",
" <tr>\n",
" <th>RealEstate</th>\n",
" <td>2.988392</td>\n",
" </tr>\n",
" <tr>\n",
" <th>NonFerMetal</th>\n",
" <td>2.931020</td>\n",
" </tr>\n",
" <tr>\n",
" <th>BETA</th>\n",
" <td>2.895462</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Health</th>\n",
" <td>2.614561</td>\n",
" </tr>\n",
" <tr>\n",
" <th>CHEM</th>\n",
" <td>2.606351</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Mining</th>\n",
" <td>2.571174</td>\n",
" </tr>\n",
" <tr>\n",
" <th>MachiEquip</th>\n",
" <td>2.419316</td>\n",
" </tr>\n",
" <tr>\n",
" <th>RESVOL</th>\n",
" <td>2.409213</td>\n",
" </tr>\n",
" <tr>\n",
" <th>SIZENL</th>\n",
" <td>2.383997</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Transportation</th>\n",
" <td>2.343186</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Utilities</th>\n",
" <td>2.282758</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AgriForest</th>\n",
" <td>2.255207</td>\n",
" </tr>\n",
" <tr>\n",
" <th>NonBankFinan</th>\n",
" <td>2.244691</td>\n",
" </tr>\n",
" <tr>\n",
" <th>CONMAT</th>\n",
" <td>2.238314</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Computer</th>\n",
" <td>2.232998</td>\n",
" </tr>\n",
" <tr>\n",
" <th>FoodBever</th>\n",
" <td>2.188211</td>\n",
" </tr>\n",
" <tr>\n",
" <th>MOMENTUM</th>\n",
" <td>2.132628</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Media</th>\n",
" <td>2.080650</td>\n",
" </tr>\n",
" <tr>\n",
" <th>CommeTrade</th>\n",
" <td>2.074064</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Electronics</th>\n",
" <td>2.007205</td>\n",
" </tr>\n",
" <tr>\n",
" <th>BuildDeco</th>\n",
" <td>1.998722</td>\n",
" </tr>\n",
" <tr>\n",
" <th>LEVERAGE</th>\n",
" <td>1.998471</td>\n",
" </tr>\n",
" <tr>\n",
" <th>IronSteel</th>\n",
" <td>1.978722</td>\n",
" </tr>\n",
" <tr>\n",
" <th>BTOP</th>\n",
" <td>1.966819</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AERODEF</th>\n",
" <td>1.878722</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Auto</th>\n",
" <td>1.866682</td>\n",
" </tr>\n",
" <tr>\n",
" <th>ELECEQP</th>\n",
" <td>1.858072</td>\n",
" </tr>\n",
" <tr>\n",
" <th>LightIndus</th>\n",
" <td>1.825555</td>\n",
" </tr>\n",
" <tr>\n",
" <th>EARNYILD</th>\n",
" <td>1.725271</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Textile</th>\n",
" <td>1.724939</td>\n",
" </tr>\n",
" <tr>\n",
" <th>GROWTH</th>\n",
" <td>1.703590</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Telecom</th>\n",
" <td>1.585604</td>\n",
" </tr>\n",
" <tr>\n",
" <th>HouseApp</th>\n",
" <td>1.560956</td>\n",
" </tr>\n",
" <tr>\n",
" <th>LeiService</th>\n",
" <td>1.501851</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Conglomerates</th>\n",
" <td>1.492339</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Bank</th>\n",
" <td>1.443784</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
"<matplotlib.axes._subplots.AxesSubplot at 0x21543a5a278>"
" abs t.\n",
"factor \n",
"SIZE 3.381191\n",
"LIQUIDTY 3.096133\n",
"RealEstate 2.988392\n",
"NonFerMetal 2.931020\n",
"BETA 2.895462\n",
"Health 2.614561\n",
"CHEM 2.606351\n",
"Mining 2.571174\n",
"MachiEquip 2.419316\n",
"RESVOL 2.409213\n",
"SIZENL 2.383997\n",
"Transportation 2.343186\n",
"Utilities 2.282758\n",
"AgriForest 2.255207\n",
"NonBankFinan 2.244691\n",
"CONMAT 2.238314\n",
"Computer 2.232998\n",
"FoodBever 2.188211\n",
"MOMENTUM 2.132628\n",
"Media 2.080650\n",
"CommeTrade 2.074064\n",
"Electronics 2.007205\n",
"BuildDeco 1.998722\n",
"LEVERAGE 1.998471\n",
"IronSteel 1.978722\n",
"BTOP 1.966819\n",
"AERODEF 1.878722\n",
"Auto 1.866682\n",
"ELECEQP 1.858072\n",
"LightIndus 1.825555\n",
"EARNYILD 1.725271\n",
"Textile 1.724939\n",
"GROWTH 1.703590\n",
"Telecom 1.585604\n",
"HouseApp 1.560956\n",
"LeiService 1.501851\n",
"Conglomerates 1.492339\n",
"Bank 1.443784"
]
},
"execution_count": 10,
"execution_count": 16,
"metadata": {},
"output_type": "execute_result"
},
}
],
"source": [
"df['abs t.'] = np.abs(df['t.'])\n",
"df[['factor', 'abs t.']].groupby('factor').mean().sort_values('abs t.', ascending=False)"
]
},
{
"cell_type": "code",
"execution_count": 14,
"metadata": {},
"outputs": [
{
"data": {
"image/png": 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2pt5Zl8KXn+Mmv5mEKkVERERSh4KPVAmWk4f1HYqb/CZu9Ypkl5NUzjncY/fCgm/wzv09VrB3mW1rDjkytsvbsw9rtUxERESqNQUfqTJiqz5oh7eF83EfTMSO9LGDeuyyqZnhnX4xhCHhv+/HObeHihQRERFJLQo+UmVYk6axVZ8piVv1ceE23IJvCSe8wrb7R7PtxstwC79LSN9RcR+8CxkZ2OCjy9XecvOxY0+FT2fgZkyOtjgRERGRFJWZ7AJEKsKOGIGbOh73+jPYaSNLbePCEIoKYetWKN4KW4t2/LmoEPfDt7gvP4ev58CmjbELmzSFwi2E996Kd+1fsXr19+A3Kx8Xhrjpk+GALhWqz4YejZs5BffUP3EdOmN1U++7iYiIiERJwUeqFGuSi/UbipsyHnf4CKxJbuz2rcULcHM/wX3xKXz5OWzeuPvO8ptjXfvC/gdgbQ7AmjTFffcV4e2jCB8YjXf5TVhmiv1P5Os5sGYlduKZFbrMvAy8My4hvOVy3NMPYedcHlGBIiIiIqkpxf6rTmT3flr1CR+7B6tTLxZ21v8Y+zA3H+vWF/IKICsbMrO2/2pZWf993aw5Vr/Rzn3v2wY781LcQ3/FPf1P7NSL9vC32zX3wSTIroF17lnha63FPtjhI3CvPoXrOQDr2DWCCkVERERSU9zBx/f9xsDTwD7AfMAPgmBNGW3rA3OBF4IguCTesaV6ssa52IDDcG+/imvYGDvgYGh3INbuQKxJ07j793oNIlz0PW7sc4TNW+INOiL+ohPAFW/FfTgV69wLq1GzUn3YESNwH04lfPw+vBvvwWrWTnCVIiIiIqkpEZsbjAImBEHQBphQ8rosNwMTEzCmVHM24my82/6Jd/vDeOf8Dq/v0ISEnu39H38adOoWeyZm3uyE9RuXz2fBxvVYzwGV7sKysvDOvBRWr8C9+WICixMRERFJbYkIPscCj5b8/ChwXGmNfN/vCuQBOklR4maZWbGzfcyi6d/LwDvvCmhaQPjAaNyKpZGMUxFu+kSoWw86HBxXP9aqHRzUA/fO67iiwgRVJyIiIpLaEvGMT14QBEsAgiBY4vv+Tn/t7vu+B/wFOB0YsqvOfN8/Hzi/pD9ycnISUGJ8MjMzU6KOdJTqc1t8/V9YfeU5eA+MptHof+DVqpOwvsP167C69coV3sLNm1jxyXRqDTqc+vn55R6jrPktGnEma667mDqzZ1D70FL/rkJ2I9V/71ZlmtvoaG6jo7mNjuY2OtVtbssVfHzfHw+U9l9b15ZznJHA60EQ/OD7/i4bBkEwBhhT8tKtXJn80+ZzcnJIhTrSUcrPbVZN7Lw/UHzXDay4/Xq8i0ZhXvwLpW7Bt4S3XYH1HYqdetFuw0/4wUQo3ELhgT0qNF9lza9r2gL2acP6559g48F9EvKdqpuU/71bhWluo6O5jY7mNjqa2+iky9wWFBSUq125gk8QBEPL+sz3/WW+7zcrWe1pBiwvpVlvoL/v+yOBukC27/sbgiDY1fNAIinBOnTG/HNiz/u89GTs+Z84OOcI/zMGwhA3cSzkNsMOPX7X13wwERrnQOv2cY39EzPDhh+HG/Nn+HQ6dO6VkH5FREREUlUibnV7GTgTGF3y60u/bBAEwak//ez7/llAN4UeqUps8FGw6Hvc6wFhsxZ4vQZVui83fRJ8PQc7/WKYMwv37MO4nDysa5/S269fB3M+xoYdl9CVGevSB9ekKeGbL5Kh4CMiIiJpLhH/FTUaGOb7/lfAsJLX+L7fzff9BxPQv0jSmRn2PxfA/h1xj96D+3ZepfpxWzbjnn0EWrbG+g3Dfv1baNWO8KG/ltmn+3AKbNsW125upbGMDGzo0fDVnEp/HxEREZGqwpxzya5hV9zixYuTXUPa3P+Yiqra3LoN6wj/7woo3IJ37V+wxrkVuj58/jHcG8/ijbo9trsa4Nb/SHjbH2DLZryr/4zl7vg43bY/jYJNG/BuuKfCu9jtbn7dlk2EV56DdeiMd+FVFeq7uqtqv3erEs1tdDS30dHcRkdzG510mduSZ3x2+x9JeqJZpAKsbn28S66DrUWE996CK9xS7mvd8sW4t17Eeh+yPfQAWL0GeJf+L2zbRnjPzbhNG/57zarlsdviegyIZOtuq1kbG3gY7qP3UmLLbhEREZGoKPiIVJAV7I133h9g4fexW9TCsFzXhcG/ICMLO+HMnfts1gJv5NWwfAnh/aNxxVsBcNMnxz7vkdjb3HYYe/BR4BluwiuRjSEiIiKSbAo+IpVgnbpi/tnw8fu4l57cbXs3+0P4ZDp29ElYw8al99m2E3bGJfDFp7gn7sM5Fzu0tFW7nW5/SyRr1ATrMQA35S3cxg27vyCNubWrtfIlIiKSphR8RCrJhhyD9R8e2+nt3TfKXPlxxVsJn34Q8ppjQ47eZZ9en8HY0Sfjpk7APXI3LJwf6WrPT2z4cVC4BTdpbORjpSpXVEh4+yjCWy5X+BEREUlDCj4ilbR9p7e2nXD/vp/wjxcTThqH21q0Qzs34VVYtgjvpHOxzKzd93v0KVivQbhpE8DzsG59o/oK/x2zxb7QoTNuwqu4rVsjHy8VuTeehRVLY89aPfCnnf49ioiISNWm4CMSB8vMwvvtjdi5v4fsGrjH/0541TmErz6F27AuduvUK0/Bgd2xTl3L16cZdsalcFAPrNchWP1GEX+LGG/48fDj6tg5Q9WMW7oQ98ZzWM+BeOddAQu+wf1nTLLLEhERkQRKxAGmItWaZWZiPQfiegyAebMJx72Ae+nJ2ApCTj5s24p30jkV6zMri4xLrouo4jJ06AzNW+LefAHXuSdWp+6eHT9JnHOE/34Asmtg/q+x+o2ww0/EvfEcYav2eH2HJLtEERERSQCt+IgkiJlh7Q4k47I/xs7c6d4fli3GDvsV1rQg2eXtlpnhHX0KLF5AOOqc2JlD69clu6zIuemT4ItPsRNO3766Zseetv0WRvfDd0muUERERBJBwUckAta8Jd5Zl+Hd/R/smFOSXU65Wdc+eH+8CzugC27sc7EA9My/cD+uSXZpkXCbNuCefhD2aYMNOHT7+5aRgXf+FVC7LuH9t+1wtpKIiIhUTQo+IhGy7BqRHDwaJWuxL96FV+HdeC/WpTfurZcJrz6P8D9jYgeqphH3whOwYT3eaSMxL2OHz6x+I7wLroRVywkfvhvnXJKqFBERkURQ8BGRUlmzvfDO+R3eLffFzvmZ+AbhqHPZdvuo2PbdVfw2OPfdl7iJb2CDj8Ratiq1jbXpgP3qbJj1Pu7NF/ZwhSIiIpJI2txARHbJmhZgZ/0Gd/QpuPfexk2fFHv25akx0OFgrMcArHNPrGatcvfpnIO1q2HZItyyxVjLVtg+baL7Er8cP9xG+MT9UL8Rduypu2xrQ4/BfTMX9/xjhF4G1ncIVrt6bPwgIiKSThR8RKRcrEkudtRJuCN9WDgf98FE3IzJuIf+isvOjoWgOvUgKwsyf/5PZuy9zZtg2WLc0oWwfAkUbtnet8vMxLvgSqxzrz3yXdw7b8CCb7Dzr8Rq1d5lWzPDO/M3hOvW4oKHcC8+jnXrT9ExJ+Ea51W5WxlFRESqKwUfEakQM4O99sX22hd3whnwzRexVaA5s3BFW6B4KxQX//fX7Rd6kNMU8ppj+3eM/ZrfHBo2Jnz4LsL7R2Pn/h6ve/+E1eqKt8KG9bBh3fZ/3Pp1uBcfjwW1ch4Oa7Vqk3HlaNz3X+MmjcN9MIk10yZA85bYwMOwngO1CiQiIpLiFHxEpNLM86BNB6xNh1I/d879NwRlZmFZWaW28353E+E9N+P++RfCoqJKn53jnMM99yjuo2mxoLN5U+kN6zXAO/WCCq/WWMvW2OmtcSPOps6cj1j/2nO4J/+Be/ZhrHt/7NATsGZ7Vap2ERERiZaCj4hExsxit7mVEXi2t6tZG+83NxDedyvukbsItxbiDTqiwuO5F5/AjXseOnbFDuwOdetD3fpYvfrbf6ZufahTD8us/P/9Wc3a1B5+HJu69PvZKtBE3LR3sF6DsKNPxnLzK92/iIiIJJ6Cj4ikBKtRA++S6wj/cTvu3w8Qbt2KN+zYcl8fTngF9/oz2IBDsdNG7rFnb7avAh13Gm7sc7h3XsdNn4T1H4Yd6WMNm+yROkRERGTXtJ21iKQMy8rGu/AqrGtfXPAQ4WtBua4Lp0+KHUR6cC/s1AuTsuGA1WuAN+LXeLf+A+s/DDf5TcJrLogdAFvFt/4WERFJB1rxEZGUYplZcN4VkJWNe/EJtn33Jd7xZ2DN9y61vZvzMe5fd0KbDnjnXbHTQaR7mjVqgp16EW748bhX/oN762XcxHHYsGOw4cfvdhc5ERERiYZWfEQk5VhGBnb2ZdgJZ8KXnxHe+BvCh+/CrVqxQzs3/yvC+0ZDsxZ4F1+LZWUnqeKdWW4+3q8vx7vhbjjgYNyrTxPecQ2uqDDZpYmIiFRLCj4ikpLM8/AOPxHv/8Zgw47BTZ9EeN2FhMFDuA3rcMsWE959E9Sth3fZDSm7nbQV7E3GRaPwLr4GFnyLe+L+2G53IiIiskfpVjcRSWlWtz424te4wUfjXnkSN/4V3JS3oEZNALzLb8IaNk5ylbtnnXthR52Me/Up2K8tNujwZJckIiJSrWjFR0SqBGuSi3fWZXh/vBv27whbt+L95n+xvIJkl1ZudvTJ0LEr7ql/4r75ItnliIiIVCsKPiJSpVjzvcm45Dq8vz2B7dMm2eVUiHke3rm/g0ZNCB/4E27dmmSXJCIiUm0o+IhIlZSMLasTwerUw7voati4nnDMHbht25JdkoiISLWg4CMisofZ3vthp42EebNxzz+W7HJERESqBQUfEZEk8PoMxgYdgXvzBdzMKckuR0REJO0p+IiIJImddA7s15bwkbtxX3ya7HJERETSmrazFhFJEsvMwrtwFOGfryb8y3VYnyHYr87G6tWvVH+ucAssXoBbOB8WfY9bvADLbYb5v8ZKtv8WERGprhR8RESSyBo1wfvjPbjXno7d9vbp9Fj46TNklxs4uDCE+V/hPv8Yt+BbWDQfVi6Dnw5Hza4B+S1wX7yJm/8l3sXXYo1z98yXEhERSUEKPiIiSWY1amAnnIHrOZDwiftwj9yNmzYB77SRWLO9trdzmzbCnI9xn87EffYhrP8RzCCvAPbeD+s9GGveElq0hJx8zPNws2cS/vMOwlt/jzfyGqxVu13W4tavi/VduBmKt8LWkn+Kf/Zrwd5Y/+FYpv4IERGRqkN/aomIpAhr3hLvD7fhpo7HPfsI4Y2XYYceD3Xq4T6dAV/PgW3boHZdrGMX6NQN69gFq1v2rXHWqRveqNsJ772F8I5rsDMuxet9yE7t3IqluLdewk19C4qKdu4oIwMys2K/btqIm/hGLJi1bp/IKRAREYmMgo+ISAoxz8P6D8cd1AP3zL9wrz8T+6B5S2zYcVinbtCqHZaRUf4+C/bGu+aO2KGp//ob4aLvsRNOx7wM3IJvcGOfx82cCp6H9RyIDT4SGjaJBZ3MLMjKxLzYeM45+Pg9wqceJPzTVVi/YdiJZ+4yfImIiKQCBR8RkRRk9Rti5/wOd9iJULMW1qRpfP3VrY/32xtxT/8TN+553KL5EIYwZ1as/2HHYkOOxhrn7LofM+jSB6/DwbhX/oMb/zJu1vux55J6D8Y8bRYqIiKpScFHRCSFWfOWiesrMxM79SLCgpa4p8ZAvQbYCWdiAw/FatetWF81a2Ejfo3rfQjhE/fHnkuaMh7vtIsSWrOIiEiixBV8fN9vDDwN7APMB/wgCNaU0m5v4EFgL8ABRwRBMD+esUVEpHK8Q47AHdQ9FnyysuPqy1rsi3fl6NhzSc89Snjzb7Ghx2LHnIJl10hQxSIiIvGL956EUcCEIAjaABNKXpfmMeDPQRC0B3oAy+McV0RE4mCNc+MOPdv78jy8/sPxbr4f63UIbtzzhDdfjvvuq4T0LyIikgjxBp9jgUdLfn4UOO6XDXzf7wBkBkHwFkAQBBuCINgU57giIpJirF59vLN+g3f5jbBlM+HoPxC+9CSuuDjZpYmIiGDup8PuKsH3/bVBEDT82es1QRA0+kWb44BzgSJgX2A8MCoIgm1l9Hk+cD5AEARGlt3nAAAgAElEQVRdi0rbVnUPy8zMpFh/cEdCcxstzW90NLe7Fm5cz/oH/8aWd8eSuV9bGlx2PZl771euazW30dHcRkdzGx3NbXTSZW6zs7MByj71u8Run/HxfX88kF/KR9eWs5ZMoD9wMLCA2DNBZwEPldY4CIIxwJiSl27lypXlHCY6OTk5pEId6UhzGy3Nb3Q0t+Vw6ki89p0pfvw+Vv3+bOz407Chx2zfGrssmtvECMe/jJszC+/S62O78aG5jZLmNjqa2+iky9wWFBSUq91ug08QBEPL+sz3/WW+7zcLgmCJ7/vNKP3ZnYXAx0EQfFtyzYtAL8oIPiIikj6sSx+81u0JH78P98zDuM8+wrvoaqxW7WSXltacc7jxL8Oq5bBwPuy1b7JLEhFJunif8XkZOLPk5zOBl0ppMwNo5Pt+bsnrwcCcOMcVEZEqwuo3wht5DXbGJfDlZ4R/uQ63/sdkl5Xevp0XCz2AmzE5ycWIiKSGeIPPaGCY7/tfAcNKXuP7fjff9x8EKHmW5wpggu/7s4ndf/fPOMcVEZEqxMxiO79dfC0sWUD4p1G4VSuSXVbacjOnQGYm7NcWN3MK8TzPKyKSLuLa3GAPcIsXL052DWlz/2Mq0txGS/MbHc1t5bmv5hDeczPUrIV3+Y1Ys712+FxzGx8XhoRXnQP7tMYO7I577F68a/+C7dNGcxshzW10NLfRSZe5LXnGZ7ebG8S74iMiIlIh1qYD3pX/B+E2wttH4b77MtklpZev58LaVVi3fliX3pCRgZsxJdlViYgknYKPiIjscdZiX7wrR0OtOrFnfubMSnZJacPNnAzZ2dhBPbA69aDDwbrdTUQEBR8REUkSa9osFn5y8gjvuUnhJwHctm24mVOhUzesZi0ArFs/WL0ituGBiEg1puAjIiJJYw0b4/3hNmicS/jsw1qViNeXn8H6H/G699/+lnXuCZmZ2t1NRKo9BR8REUkqq1MXO2IE/PAdfP5xssup0tyMyVCjFnTstv09q10HOnbFfTgVF4ZJrE5EJLkUfEREJOms50BolEP4xrPJLqXKcsXFuI/eiz3bU6PGDp9Zt36wdjVb536SpOpERJJPwUdERJLOMrOw4cfCl59R9MXsZJdTNX3xCWxcj3Xvt9NHdlAPyM5my9S3k1CYiEhqUPAREZGUYP2GQ516bHr+8WSXUiW5GVOgVh04oMtOn1nNWtCpG4XvvYMLtyWhOhGR5FPwERGRlGA1a2GDj6JwxhTcogXJLqdKcVu34j5+H+vcE8vKKrWN170/4drVMO+zPVydiEhqUPAREZGUYYOPxGrWwo19LtmlVC2ffwSbN2I/281tJx1jW1y7mTrMVESqJwUfERFJGVa3PrWGHYObPhG3anmyy6ky3IwpUKcetD+ozDZWowY1uvfDfTQNV1y8B6sTEUkNCj4iIpJSah9zCpiHG/dCskupElxRIe6T6ViX3lhm5i7b1ug7GDashy8+3UPViYikDgUfERFJKRk5TbFeg3BT3sKtW5vsclLf7A+hcHNsy+rdqHFwL6hVGzdTh5mKSPWj4CMiIinHDjsBirfiJrya7FJSnpsxGeo1gLaddtvWsmtgB/XEffw+rnjrHqhORCR1KPiIiEjKsfwWcHBv3Luv4TZvSnY5Kctt2YybPQPr2gfLyCjXNda9H2zaCJ/Pirg6EZHUouAjIiIpyTv8RNi0ETdpbLJLSV1zPoaionLd5rZdh85Qu65udxORakfBR0REUpLt0wbaH4R76yXc1qJkl5OS3OezoGYtaNW+3NdYZhZ2cC/crA9wRYURVicikloUfEREJGV5h/8KflyDe+FxnHPJLifluLmzoG2n3e7m9kvW+xDYshn34bSIKhMRST0KPiIikrraHYgNOiK26vP0gwo/P+NWLIUVS7FdnN1Tpv07QtMC3KRxiS9MRCRFKfiIiEjKMjPsfy7Ahh6Dm/AK7t/348Iw2WWlBDf3EwCsQ+cKX2tm2IBD4es5uMULEl2aiEhKUvAREZGUZmaYfw52+Im4iWNxj92DC7clu6zkmzMLGjaB/BaVutz6DIaMTNzkNxNcmIhIalLwERGRlGdm2PFnYEefgps6AffQnbht1Tf8uHAb7otPsfYHYWaV6sPqNYhtcvDeO9o8QkSqBQUfERGpEswM75hTsBPOwE2fSDjmz9X3EM4fvoON62NbU8fBBhwKG9fjPnovQYWJiKQuBR8REalSvMN/hZ10Dnw0jfD+0aWuVrjiYtz8rwgnjsV99B5uxdK02hjBzYkdPmodKrGxwc+17QS5+drkQESqhYrtfykiIpICvKHHEmZm4f79AOG9t+KdcTH88C3um3m4b7+A+V9BUSwQbY87tWpDi32wFvvCXvtie+8He+2HeVXv7wDdnFnQvCVWv1Fc/ZjnYf0PxT3/KG7pQqySzwuJiFQFCj4iIlIleYOOIMzKxj16D+Goc2NvZmTC3vthAw6D/dph+7SGDetxP3wLP3yHW/gdbtrbULg5Foga52C9DsF6D8bymyfvy1SAKyyEr+dghxyZkP6s72DcS0/gJr+Jjfh1QvoUEUlFCj4iIlJleX2H4hrl4BZ+h+3XFlq2xrKyd2yUm4/t22b7SxeGsHIp7tt5uA8m4t54Dvf6M7Bf21gA6t4fq1N3D3+TCvh6DhQXV2ob69JY/UZwUE/ctLdxx52OZWUlpF8RkVSj4CMiIlWadehcoRBgngdNC7CmBdDrENzaVbEANO3t2DlBTz+IHdQDO+7UlLz1y82ZBZmZ0OaAhPXpDTiU8KNpuFnvY937J6xfEZFUouAjIiLVmjVsgh16Am748bDgm1gAeu8d3Hfz8K6+A2vYONkl7sDNnQWt2mM1aiau0/YHQZOmsU0OFHxEJE1VvSc6RUREImBmWMvWeKecj3fFLbBhPeG9t+AKtyS7tO3curXww3dY+zh3c/uF2CYHw+GLT3HLFie0bxGRVKHgIyIi8gu2dyu8866ABd8QPvTX2HNBKcB98SlAwp7v+TnrOwQ8Dzf5zYT3LSKSChR8RERESmGde8Z2Ofv4fdzzj5XrGrdiKW754ujODJozC2rXhZatEt61NWwCB/bATZtQfQ+GFZG0pmd8REREymBDj4Hli3HjnifMK8DrP7zUdm5rEe6V/+DGvgAuhPoNoXV7rHUHrHX72HlBmfH9keuciz3f0+5AzMuIq6+yeAMOJZz1PnwyHbr2jWQMEZFkUfAREREpg5nByefjli+N7fiWk7fT8zXu23mEj9wNS36I3S62b1v4ei7u6zm4j96LnReUXQNat8c79SKsabPKFbNsMaxeiR0+Iu7vVaYDOkPjXMJXnsJrfxBWO4W39RYRqSDd6iYiIrILlpGBd8GVkNec8P7RuCU/ALFVnvDZRwhHXwVbNuNd9ke8sy7DG3gY3jmXk3HbP/H+/DDeBVfGNg6Y/zXh3TfhNm6oVB1u7qxYPRE83/MT8zLwzrgEli0ivOtG3JZNkY0lIrKnxb3i4/t+Y+BpYB9gPuAHQbCmlHa3A0cSC1tvAZcFQRDRTdAiIiKJY7Xr4F16PeH/XUF49014p5xP+MzDsHQh1n849quzsdp1dr6uYRPo1g/r1g/XpQ/h364nvP82vN/egGVW7KBQN2cW5ORVfsWonOyAg/EuuJLw/tGE99yM95sbsBo1Ih1TRGRPSMSKzyhgQhAEbYAJJa934Pt+H6AvcCDQEegODEzA2CIiInuE5eThXXId/LiG8J6boWgL3m9vxDvjklJDz07X738AdualMG827on7KrQBgtu2DebNTvg21mWxzr2wc38PX80lvO9W3NaiPTKuiEiUEvGMz7HAoJKfHwXeBa76RRsH1ASyAQOygGUJGFtERGSPsf3a4o28BvflZ9jhv8Jq1a7Q9V6vQwiXLcG9+hQ0LcCOKOfzOvO/gs2bIr3N7Ze87v0JtxbhHr6L8IE/4V00qsKrVCIiqcTi3XLT9/21QRA0/NnrNUEQNCql3R3AucSCz71BEFxbRn/nA+cDBEHQtago+X/LlJmZSXFxcbLLSEua22hpfqOjuY1Ous+tc451f7uBLZPfosEVN1Oz75DdXrPh6X+x8emHyH3kdbz6DSo9dmXmdtPYF1j/jz9To/chNPj9jViG9kUqTbr/vk0mzW100mVus7OzIZYxdqlc/+/l+/54IL+Uj0oNL6Vc3xpoD7Qoeest3/cHBEEw6ZdtgyAYA4wpeelWrlxZniEilZOTQyrUkY40t9HS/EZHcxud6jC37pQLYMlCfrzzJtZn1sBatSu9XRjCssWE096BvVuxumgrxDE3lZrbbv2xtaspfPohVtzhsLMvi2w77aqsOvy+TRbNbXTSZW4LCgrK1a5cwScIgqFlfeb7/jLf95sFQbDE9/1mwPJSmh0PvB8EwYaSa94AegE7BR8REZF0Z1nZeCOvIbztD4R/vxXvmjuwnDzc+nXw3Tzcd1/ivp0Xu8Vt08bYNceemrR6vaHHEhYW4l58ArKy4fSLY1t9i4hUIYlYr34ZOBMYXfLrS6W0WQCc5/v+bcSWoQYCdyZgbBERkSrJ6jXAu/R/CUf/gfD2qyEzE1YsLfnQg+YtsW79YN/9sX3bQsFeSa3XO9KPPfPzWgDZNbCTz0tqPSIiFZWI4DMaCHzfP4dYwBkB4Pt+N+DCIAjOBZ4FBgOziW10MDYIglcSMLaIiEiVZc1axFZ+nnkYmuRiAw6NhZyWrbCatZJd3k7s2FNh0wbchFdwg47A8psnuyQRkXKLe3ODiLnFixcnu4a0uf8xFWluo6X5jY7mNjqa2+gkYm7d8sWE116InTYSb+BhCaqs6tPv2+hobqOTLnNb8ozPbu+/TcQ5PiIiIlJd5DaDhk1g3uxkVyIiUiEKPiIiIlJuZoa17YibN7tCh7CKiCSbgo+IiIhUTNtOsG4tLF2U7EpERMpNwUdEREQqxNp2AsDpdjcRqUIUfERERKRicvOhUY6e8xGRKkXBR0RERCpEz/mISFWk4CMiIiIV17YTrP8Rli5MdiUiIuWi4CMiIiIVtv05ny90u5uIVA0KPiIiIlJxOXnQWM/5iEjVoeAjIiIiFRZ7zqcT7svP9JyPiFQJCj4iIiJSOT8957P4h2RXIiKyWwo+IiIiUim2f0cA3Je63U1EUp+Cj4iIiFSK5eZDk6ba4EBEqgQFHxEREak0278jfPkZLgyTXYqIyC4p+IiIiEjlte0EG9bBEj3nIyKpTcFHREREKs3aljzno9vdRCTFKfiIiIhIpVlOXuw5H21wICIpTsFHRERE4mJtO+k5HxFJeQo+IiIiEp+2nWDDelj8fbIrEREpk4KPiIiIxGX7cz7zPktyJSIiZVPwERERkbhYk6aQk6cNDkQkpSn4iIiISNysrc7zEZHUpuAjIiIi8Wt7IGzaAIv0nI+IpCYFHxEREYmb7f/Tcz6fJrkSEZHSKfiIiIhI3KxJLuTma4MDEUlZCj4iIiKSEDrPR0RSmYKPiIiIJEbL1rBpI6xdnexKRER2ouAjIiIiCWF5BbEfli1KbiEiIqVQ8BEREZHEyG8BgFuq4CMiqUfBR0RERBKjYWOoUVMrPiKSkhR8REREJCHMDPIKcAo+IpKCFHxEREQkYSyvOehWNxFJQQo+IiIikjj5zWHVctzWrcmuRERkBwo+IiIikjh5zcE5WL4k2ZWIiOwgM56Lfd8fAdwAtAd6BEEws4x2hwF3ARnAg0EQjI5nXBEREUlNlt8cB7BsITTfO9nliIhsF++Kz2fACcCkshr4vp8B/B04HOgAnOL7foc4xxUREZFUVHKWj7a0FpFUE9eKTxAEcwF8399Vsx7A10EQfFvS9ingWGBOPGOLiIhI6rGatWPbWi9bnOxSRER2EFfwKafmwA8/e70Q6FlWY9/3zwfOBwiCgJycnGirK4fMzMyUqCMdaW6jpfmNjuY2Oprb6OypuV3dYh9YtYzG1ejfo37fRkdzG53qNre7DT6+748H8kv56NogCF4qxxhWynuurMZBEIwBxvzUbuXKleUYIlo5OTmkQh3pSHMbLc1vdDS30dHcRmdPzW3YuCnuw6nV6t+jft9GR3MbnXSZ24KCgnK1223wCYJgaJy1LAT2+tnrFoDWv0VERNJVfnPYuB63YR1Wt36yqxERAfbMrW4zgDa+7+8LLAJOBv5nD4wrIiIiSWB5BbFbO5YugtYKPiKSGuLa1c33/eN9318I9AZe831/XMn7Bb7vvw4QBEExcAkwDpgbeyv4PL6yRUREJGXlNwfALdPObiKSOuLd1e0F4IVS3l8MHPGz168Dr8czloiIiFQRTfIgIxMUfEQkhcR7jo+IiIjIDiwjA3LzdZaPiKQUBR8RERFJvPzmsWd8RERShIKPiIiIJJzlNYcVS3DhtmSXIiICKPiIiIhIFPIKoLgYVq1IdiUiIoCCj4iIiETA8lvEftDtbiKSIhR8REREJPG0pbWIpBgFHxEREUm8uvWhdl1taS0iKUPBR0RERBLOzCCvQFtai0jKUPARERGRSFh+c1i2ONlliIgACj4iIiISlbzmsGYlrnBLsisREVHwERERkWhYyQYHes5HRFKBgo+IiIhEI++nnd10u5uIJJ+Cj4iIiESjaTMw01k+IpISFHxEREQkEpZdAxrnKviISEpQ8BEREZHo5DXXIaYikhIUfERERCQysS2tF+GcK7ONc047v4lI5BR8REREJDp5BbBlM/y4pswmbvI4wt+fgVuzag8WJiLVjYKPiIiIRGZ3W1q7cBtu7PNQuAU35a09WJmIVDcKPiIiIhKdvBYAZT/n88kMWLEU6tbDTX4Tt23bHixORKoTBR8RERGJTqMmkJ1d5s5u4fiXoUlTvFMvgjUr4bMP93CBIlJdKPiIiIhIZMzzoGkBrpTg4xZ8A19+hg0+Ejr3goaNCSeOLXffbs4s3PffJLJcEUljCj4iIiISKctrDssW7/S+e+tlqFEL6zccy8zE+g2Dzz7ErVy22z7d2lWEf7+F8JG7oihZRNKQgo+IiIhEK785rFyKK966/S23djVuxmSs7xCsdh0ArN9wwHCTd7/JgXvlaSgqgoXzcQvnR1S4iKQTBR8RERGJVl5zCENY8d+VHPfu6xBuw4Ycvf09a5ILB3bDTXkTV1xcZndu6SLclDex7v3B83AfTIy0fBFJDwo+IiIiEqlfbmntigpxE8fCQT2wps12aOsNOBTWrYVPPiizP/fiE5CVjZ18LhzQBTd9Ii4MI6tfRNKDgo+IiIhEK68A+O+W1u79d2HDOryhx+zctmMXaJxb5iYHbv5XuA+nYsOOw+o3wnoOhNUr4as5UVUvImlCwUdEREQiZbXrQr0GsHQRzjnc+Jdhr31h/447t/UysAGHwtxPcKVsiBA+/xjUrY8NPy7WvnNPqFET98G7UX8NEaniFHxEREQkevnNYys+c2bBkh+wocdgZqU2tb5DISMDN2ncDu+7OR/D3E+wI32sVu1Y2xo1sYN742ZOxW0tivxriEjVpeAjIiIikbP8FrB0EeH4l6B+Q6z7gLLbNmwMB/XETRu/Pcy4MCR87lFo0hQbePiO7XsOhM0bYfbMSL+DiFRtCj4iIiISvbwCWP8jfPYRdsgRWFbWLpt7Aw+DDetxH70HgJs5BRZ8ix176s7Xtj8I6jckfP/diIoXkXSg4CMiIiKRs7ySnd0ys7ABh+3+gnYHQm4+buIbuOKtsZ3cmrfEeu68UmQZGViPATB7Jm7jhgRXLiLpQsFHREREoleypbX1GoTVb7jb5uZ52MDD4Ks5uOAhWLEU74QzMC+j9PY9B0JxMe7DqQktW0TSh4KPiIiIRC+vOXby+dhxp5X7EuszBDIzce+8Dm06QKduZTdu2Tq2gYIOMxWRMij4iIiISOTMDG/IUViDRuW/pl4DrEtfALwTzypzF7if+reeA+HLz3CrVsRdr4ikHwUfERERSVk24iy8kddgrdrtvm3PQQC46Vr1EZGdZcZzse/7I4AbgPZAjyAIdtpH0vf9vYDHgHwgBMYEQXBXPOOKiIhI9WANm8DBTcrXNjcfWrXDvf8u7rATd7lCJCLVT7wrPp8BJwCTdtGmGPh9EATtgV7Axb7vd4hzXBEREZGdWM9BsHgBLJyf7FJEJMXEFXyCIJgbBMG83bRZEgTBRyU/rwfmAs3jGVdERESkNNatH2Rk4D54N9mliEiKietWt4ryfX8f4GDgg120OR84HyAIAnJycvZMcbuQmZmZEnWkI81ttDS/0dHcRkdzG51qMbc5Oaw5uBfFM6fQ5LzfYRmlb3+daNVibpNEcxud6ja3uw0+vu+PJ/Z8zi9dGwTBS+UdyPf9usBzwG+DIFhXVrsgCMYAY0peupUrV5Z3iMjk5OSQCnWkI81ttDS/0dHcRkdzG53qMrdhlz64mVNZOe1drP1Be2TM6jK3yaC5jU66zG1BQUG52u02+ARBMDTeYnzfzyIWev4dBMHz8fYnIiIiUhY7sAeuZi3cB3su+IhI6ot8O2vf9w14CJgbBMFfox5PREREqjerUQPr0gf34TRcYWGyyxGRFBFX8PF9/3jf9xcCvYHXfN8fV/J+ge/7r5c06wucDgz2fX9WyT9HxFW1iIiIyC5Yn8GwZTPu4/eSXYqIpIi4NjcIguAF4IVS3l8MHFHy8xRAG+mLiIjIntPmAMjJw02bAL0GJbsaEUkBkd/qJiIiIrKnmedhvQfDF5/iVq1IdjkikgIUfERERCQtWe9DwDnce28nuxQRSQEKPiIiIpKWLDcf2nbCTZuAcy7Z5YhIkin4iIiISNqyPoNhxVL4em6ySxGRJFPwERERkbRlXftCjVqxTQ5EpFpT8BEREZG0ZTVqYt364GZMwRVuSXY5IpJECj4iIiKS1qzPECjcjPtIZ/qIVGcKPiIiIpLeWneA3Hzd7iZSzSn4iIiISFrb8Uyf5ckuR0SSRMFHRERE0p71GQygM31EqjEFHxEREUl71qQptDsQN+1tXBgmuxwRSQIFHxEREakWrM+QkjN95iS7FBFJAgUfERERqRasS2+d6SNSjSn4iIiISLUQO9OnL27mVNyWzckuR0T2MAUfERERqTas71Ao3KIzfUSqIQUfERERqT5at9eZPiLVlIKPiIiIVBtmFtvkYN5s3IqlyS5HRPYgBR8RERGpVqz3YDDDvfdOsksRkT0oM9kFiIiIiOxJ1iQ3dqbPe2/jjjoJ8/T3wCIAbt0a3IRXYc0qqN8A6jWEevWxkl+3v86ukexSK0XBR0RERKod6zsU9+Bf4KNp0K1fsssRSSr34xrcuOdxE9+ArcXQoBFs+BGKi2Of//KCGrXw/vpYlQtACj4iIiJS7Vi3frhxzxM+/RBex65YzVrJLklkj9u2ZhVh8ND2wGO9BmJHnoTlFeCcgy2bYf1aWL8O1q/FrV8H69bCpo1VLvSAgo+IiIhUQ5aRgXfqRYSjr8S9+jT2/+3deZQV1bn+8e8+3YAytCBtVEBAZkQloDKIAwo4BKMi8mrUAMrVG42K842JGn/GRH8hUW+S64AmzkN2QNEo4qyggoAMCcJ1JgiaKCIiOCDUvn9UYUC66YbT1dV9zvNZ6yzo03W6335WdXW9Z+/adfzorEsSqTVh1SeEKQ+y/IUp8PXXuH4DcUMNt3Orb7ZxzsH2jePHd+LnXVYF1xA1PiIiIlKUXMdu8ZS3px8m7H8orlXbrEsSSV1Y8jbR766Czz5lu4OPYO2gozdpeAqZruYTERGRouWGj4JG2xPdd0s8tUekgIWFc4nG/RRKSshdfgM7nHtZ0TQ9oMZHREREiphrtgNu2A/j+/rMnJp1OSKpiWY8F4/0lO9M7ifjcG3aZ11SrVPjIyIiIkXNHXQYtOtE+MvthC8+z7ockRoVQiCaMpHwx+uh0x7kLr4G16Jl1mVlQo2PiIiIFDWXixc6YNUnhL/en3U5IjUmROsJD9xKmHgnbr8DyY29Ete4SdZlZUaNj4iIiBQ9t3tn3IGHEZ75K2Hp4qzLEclb+Hot0fhxhGcfxR12LO4/LsQ1aJB1WZlS4yMiIiIC8bU+jZsQ3XfzNi10EKL1KVQlsvXCv94nuuZiePVlnI0hN+I0XE6n/UpAREREBHBNy3DHjYI3FxKmP1vt14WPP2TVbdcRnXNi3DRFUYpVimxZNGsa0dXnw4rl5M65nNyQY7Iuqc7QfXxEREREEm7AYMKLTxFu/2/WT3sS13cgbt8BuKZlm20bli4mPPEgYeZUvnAOdu9KeG4yrF0LI3+My5Vk8BNIsQpfryX8+TbCC1OgYzdyZ1yM23GnrMuqU9T4iIiIiCRcLkfu7MsJU6cQXnmBcO9NhAduhT17x01Qz/3gH28TPT4B/j4bGm2HO/T7tDxhNCtCjvDI/YRHH4D162D0WFyJmh9JX/jnMqJbfg1L38Udfhzu2FNwpTrN/zYlIiIiIrIR16wMN9QI3xsB770bN0AzXyDMn0kobQDrvoamZbhjTsIdMhTXpBkl5eW45ctxx5xEVFpKmHQPrFsHYy7QCaikKnrlBcLdN0KDUnLnXoHba9+sS6qz9JsoIiIiUgHnHLTtgGvbgTB8JLy+gDB3BuzSGjdgCK5RowpflxtqRA0axPcFWrcunnJU5KtpSc0Ln60i3H8LYdY06NSd3OkXaWpbFfJqfMxsBHAl0B3o472fvYVtS4DZwDLv/VH5fF8RERGR2uRyJdC9J657z2ptnztsGFFpA8L944luuobcmT/BNWiYcpVSLMKcl4nuuQk+X4M75mTcEcM1slgN+Sa0ADgOuKUa244FFgGbXx0oIiIiUmByhx4VT3u75yaiP1xN7j//q6hvHin522SUp21HchdchWuze9Zl1Rt5NT7e+0UAZrbF7cysDTAU+CVwQT7fU0RERKS+yB10RDzyc+fvia4+P25+2nXMuiyphzTKk7/aSusG4BKgWVUbmtkZwBkA3rM3//0AABVBSURBVHvKy8tTLq1qpaWldaKOQqRs06V806Ns06Ns06Ns07PFbI8+gbWdu/Ppby8nuvYSmo05j+0PPza+hkiqVOz7bbRqJatuvY6vXnya0g5dKDvnMhq071QjX7vYsq2y8TGzp4FdKvjUz7z3D1fj9UcBH3rvXzWzgVVt770fD4xPPgzLly+v6iWpKy8vpy7UUYiUbbqUb3qUbXqUbXqUbXqqzHanVvCz6+FP1/HZLeNYPWcGbuSPcds1rr0i66li3m/D/JlEd/4+GeU5ieiI4/m0tBRqKI9CybZVq1bV2q7Kxsd7PzjPWgYAR5vZ94DtgDIzu8d7f0qeX1dERESk3nDNysidcwVhykTCpHsJS94h96NLdI2GbCas/Yow4fb4hrhtdte1PDUk9alu3vtLgUsBkhGfi9T0iIiISDFyuRzueyMInboTjf8N0a8uxv3gDNwBQzT1TQAIy5YQ3ToOlv0DN/gY3HEjtRx6Dcnl82IzG2ZmS4H+wGNm9kTyfCszm1wTBYqIiIgUGtdlT3JX3ACduhPu+gPhT9cTVq/KuixJUYgiQhRV/vkQiJ5/nOiXF8CqleTO/Tm5E8ao6alBLoSQdQ1bEt5///2sayiY+Y91kbJNl/JNj7JNj7JNj7JNz7ZmG6L1hMf+Qvjr/eAcdN0L16s/rldfXPOWW3wd7y8hvLkIt+NOuJ775VN+nVaf99vw1Zfw2hzC3BmEv82C9euhdTtc63bQuj2uTXto0w4gvpZn7gzYoxe5087D7dAi9frqc7YbS67xqXLIVGvgiYiIiGTE5Upw3z+R0KsfYdY0wpyXCffdTLjvZujQFde7P65XP2hRDu++SXhrIeHNhfD2/8IXawAIuRy5C67Gdd0z459GAMKazwjzZxLmzoCFc2HtWmjcFNezDzRuSli6mDBnOkx7km+GH0obQAi4EafG09tyeU3Kkkqo8RERERHJmGuTvPs/7IeED94jzJkejxJMuIMw4Q4oKYlHCwB23Q233wHQaQ9c2w5EN19LdMv/J3fZ9bgdi2dp4jRFTzwEy/8FXXrgOu+xxdE3gPDxR4R5rxDmzYA3FkAUQYty3IAhcePauccm99wJIcCnK2DpYsKyf8DyD3EHDMa1q5llqqVianxERERE6hC36264obvBUCMs/1d8Mr1qJa5DN+jYHdesbJPtc2f9lOiXFxHdfC25i6/RNSF5iqY/R5hwO5SUwvOT41GZ7+yK69wjaYR6QPnOsOwfhHkzCHNfgSVvxy/edbf4xqK9+kG7TpUuWOGcg+YtoXlL3J771NrPVuzU+IiIiIjUUa58Z9zgY7a8za67kTttLNFN1xIeuBX3w7NqqbrCE5YuJtzzP9ClB7nz/l/c3LzxGuHN1wjzXoGXno4boe22hy+/iK/L6tAVd/xoXM++uF1aZ/0jyBao8RERERGp51zv/XFHDic8PpGofSdyBx6WdUn1Tvh8DdFN18L2TcidcQmuQUNo3xnXvjMcdmy8ItsH7xHeeA3eewfad8Lt3QfXfMesS5dqUuMjIiIiUgDcsacQFr8VL47Qpj1u9y5Zl1RvhBCI7vwdLP8nuQt/WeGKai6X+/eKbFIvackIERERkQLgciXkzrgYdtgxnva2amXWJdUb4alJMGc6bvgoXJceWZcjKVHjIyIiIlIgXNMycmdeCqtXEY0fR9iwEpxUKryxgDDxTujdHzfk2KzLkRSp8REREREpIK5dR9wpZ8Lrfye6+gKiF58irP0q67LqpLByBdH4cVC+C7nRYytdhU0KgxofERERkQKT238Q7rTzIUSEO39PdMlpRBPuIHz8Ydal1Rlh3Tqi8b+GLz4nd9aluO0bZ12SpEyLG4iIiIgUoFz/Qwj9BsIbC4iefYzw1CTCk5Og537kDj0Kuu1d1CMc4ZF74c2FuDEXaMGCIqHGR0RERKRAOeeg616UdN2LsOIjwvOPE6Y9STTvFWj5HVzv/rje/aFDt3jVsiIRli4mPPEQbsBgcv0GZl2O1BI1PiIiIiJFwO24E+64kYTvn0iY/RJh1jTCc48RnnoYdmiB69UP16s/dNkTV1q4p4ghBKL7bobGTXDHj866HKlFhbtXi4iIiMhmXIOGuP6HQP9DCJ+vIfx9NmHudMLLzxKefxyaNsMdNwp3wJCCnAoXZjwfT3EbeTauaVnW5UgtUuMjIiIiUqRc4ya4vgdD34Pjld9em0v09COEu/4Ai+bDKWfiGjfNuswaEz5fTfjLn2D3LrgBg7MuR2pZ8UzmFBEREZFKuYaNcL36kbvwF/GUuFdfIrrqPMJbi2rk64cFrxLdfWN835wQqv26aOWKGluOOzx8H6z+jNzJZxbVNU0S04iPiIiIiHzD5UpwRx5P6LIn0W2/JRp3Ke7ok3BHDsflSrbpa0YvPR2PIkURYeoU2Lk17sAhuP6H4sqab7JtCAHee4cwbyZh/it8tOQd2G573D774/ofCp17bFPTEpa8Q3huMm7gEbh2Hbfp55D6TY2PiIiIiGzGdexG7vIbCPfcSJh0D2HRfHKnnY/bsbzaXyOEQJgykfDgXbDHd8mNOZ+wYA5h2pOECXcQHrobevYld+AQcDnC/FcI82fCiuXgHHTsRtOT/5M1i98izH6Z8NIzsONOuH4Dcf0Owe3apnp1RFG8oEHTZrhjTtnWSKSeU+MjIiIiIhVyjZvA6RdBj96E+28huuIsXO/948URuu65xRGgEEUE/0fCM3/F9TkId+pYXGkD3P6DYP9BhA/eixug6c8SzXk5flHDhrBH73iEaa99cWXNaVJezhfLlxN+8CPCvBmEGc8RHp9ImPwXaN85boD6HIRrVvlCBWH6s/D2/+JGj8U1KZxrlmTrqPERERERkUo553ADBhE6diM8+RBh9otxI9GiHNf3YFz/Q3Ct2m7ymvD114TbbyDMmoYbfDRuxGmbTU9zu+6GszGEYSNhwauQK4Hue+MaNqq4jkaN/r0Qw8oVhJlT4ybogfGEiXfgDjocd9iwzUakwprVhAl3QKfuccMmRUuNj4iIiIhUye3SGjfybMKJpxPmzyJMfzZuhKZMhLYd4waoz0HQsCHRjdfAovm44aNwhx+3xWWxXYMG0Kvf1tXSfEfcYcfCYcfGNyN9+hHC85MJzz+OGzAId8Rw3E67ABAm3Q1rVpM76Uda0KDIqfERERERkWpzDRvh9jsA9juAsOoTwsxphOnPEf58W7xUdFlzWLUSN3osuQGD0q+nTXvc6HPjG7NOmUh48SnCi0/h+g6EvfYlvDAFd+hRuN12T70WqdvU+IiIiIjINnFlLXCDj4bBRxOWLYmnni2cR+6HP8btvV/t1tLyO7iTzyQMNcITkwhTH4fpz0JZc9zRJ9VqLVI3qfERERERkby51m1xw0fB8FHZ1tG8Je6EMYQjhxOmTsF17hEv0iBFT42PiIiIiBQcV9Ycd9SJWZchdYiu8BIRERERkYKnxkdERERERAqeGh8RERERESl4anxERERERKTgqfEREREREZGCp8ZHREREREQKnhofEREREREpeGp8RERERESk4KnxERERERGRgqfGR0RERERECl5pPi82sxHAlUB3oI/3fnYl2zUHbgP2BAJwmvd+ej7fW0REREREpLryHfFZABwHTK1iu/8GpnjvuwE9gUV5fl8REREREZFqy2vEx3u/CMDMKt3GzMqAg4DRyWvWAmvz+b4iIiIiIiJbI6/Gp5o6AB8Bt5tZT+BVYKz3fk1FG5vZGcAZAN57WrVqVQslVq2u1FGIlG26lG96lG16lG16lG16lG16lG16iinbKqe6mdnTZraggscx1fwepUBv4CbvfS9gDfCTyjb23o/33u/rvd8XcHXhYWavZl1DoT6UrfKtrw9lq2zr40PZKtv6+FC2yraajypVOeLjvR9cnS+0BUuBpd77V5KPJ7CFxkdERERERKSmpb6ctff+n8B7ZtY1eWoQsDDt7ysiIiIiIrJBXo2PmQ0zs6VAf+AxM3sieb6VmU3eaNNzgHvN7G/Ad4Ff5fN9MzA+6wIKmLJNl/JNj7JNj7JNj7JNj7JNj7JNT1Fl60IIWdcgIiIiIiKSqtSnuomIiIiIiGRNjY+IiIiIiBQ8NT4iIiIiIgXKzKq11HMxUOOTMLOS5F/tHCkwM+1rKdD+mq4NxwWpeWa2Q/Kvjg01zMx2Sf7V8aGGmVkPM9su6zoKkZkNMLOOWddRoLbPuoC6ougXNzCzAcAZwDvA7733KzIuqWCYWR+gn/f+d1nXUmjMrC/wH8DbwB+99x9lXFJBMbN9gbHEx4W7vPdvZ1xSQUianKbAfcDH3vtRGZdUUMysF/Ab4B3v/elZ11NIzGxv4EbgI+Bs7/2yjEsqGGbWG7gWOBjo772fk3FJBcPM+gEXA6uA+4FnvPfrs60qW0X9TpuZdSA+kD0HtAN+YWZDs62qMJjZecBDwGVmdmTynN49z5OZlZjZNcTLT74E9AZ+bmY7Z1tZYTCznJn9AbgFeAbYFbjSzBpnW1lh8N5HwGdAA6C1mZ0AGvXJl5k5M7seuAu4U01PKi4DJnjvh21oejSilh8za2BmtxD/Pfsd8AQwMPmcjgl5MrOBxOe4DwKvA6cALbKsqS4o9h1rH2CR9/4O4EJgHnCUme2WaVWF4S3gKOBM4FIA7/16/aHIWw5YAoxI9tvzgH5oGLtGJCfmzwKDknx/DQRgXZZ1FZhuwHLgBuBkM2vmvY90bNh23vtAPJI213t/F4CZddTJY/6SN0M6Aqu99zckzw0xs+aApsjnpxHwAnCg9/5RYCLQ3cxKk2Ox5GcvYJb3/l7gbuI3nFZnW1L2iuqgaGb9zKzLRk/NAtqY2W7e+0+I30FfCQzLpMB6rIJsHwP+lvy72szOTZ7XqM9W+la2EXC/9/4NM2vkvX8fWAqUZ1dh/fbtfdd7/6D3fqWZDQFmE4/6/MrMumdWZD21cbYbnRy+BawF3k0eo8ysbXLyLtVUwTH3QqCvmV1uZi8B44A7zGyfbCqsvzbONjkB/xA40MyGmtkk4CLiEYqLk22071bTt/bbNd77+7z3XyQflwLrvffr1LRvvQqOCdOAEWZ2BTCH+G/ZjWY2IpMC64ii2LHMrLmZPQY8FX9oTZNPfQm8CFjy8evAQqClLl6sngqybZJ8ynnv13vvvwR+C4wxs3Lvvd45r6aK9tsk05UA3vuvzKwZsDvwfpa11keV7bsbnaB/ApzkvR8CfE58gq4phdVQUbYbnRzuC6zy3r8GvAb8HLgpmfZSFH+T8lHZfuu9XwX8DzCceJT9B8AHwHAz2ymreuuTLWT7GXA78AvgT977w4HbgH7JNRRShcqOCck0zQ2/9y8Aw8yshUZ8qq+yc1zv/TzgCKA9cJb3fiDxG/xHFPMbecXyR6YJ8dzRc5L/H5Q8/xEwA9jLzPokF3wtAwYkJ+xStQqz/dZB63ninM+BbxY9kKp9O9sDK9imL/Ca9/59M2tqZp1rs8B6rrJ9NyT/zvbeT062nQz0Im6ApGqVHXMhnqrZzMz+DFwCvAq84b3/Wic71VJptslCMod476d6778CJhE3mtpvq2dL++2jxCeQG66RmA38C/iqFuurzyo93iZTXXPA4mSbg7Mqsp6q9FzBez8T2Ik4W4incjcD1tRuiXVHwTY+ZjbSzA42s7LkQsTxgCce5eljZq2TRmcGMBe4PumSewBLdDFz5arItq+ZtUq2cxBf2wNcDfyXmX0K9Nac6IptRbalyUuaA++Z2anEUze/m0Xd9UV1863APsTvnmvEshJbkW0L4j/E/yRuJs8EuhbzO5BV2Zr9Npm2vcE+xFNhi3oVpy2pRratAbz3fyOe2na2mZUTXyi+J/BxRqXXeVtzrpC86bFhps2XG57Pou76YCuybQS8DPw4eekgoGWyXVEqqOWsk1+SXYiXSo2Il/ptAoz13i9PthlAPLVttvf+7o1eex3Qhnh1t5He+9drufw6bSuzneW9vyd5Lgd0IJ4msBY4z3v/99r/Cequbc02ef5u4GTgTuD65I+zbCSPfbeMeETtV8Qn6Rd679+o/Z+g7trWY24y7XXD55sCDXUrgU3lsd82AvoTL2v9AdpvN5PnucIFxH/TOgPne+8X1nL5dVoe+21JsgDS3cDb3vsrs6i/LsvjeNuDeErxLsDXxMuxL6r9n6BuKJgRn+SXJhAP4S3z3g8CzgJWEHfCAHjvXyIe8utqZjsk10hA/E7OGO99XzU9m9qGbLsl2TZO3sVZBVzhvR+kpmdT25htmf37OrXHAPPen6qmZ3N57LvbJddMBOBq7/33dfK4qTyOuU2898stXpo9571fraZnU3nst9snU9zWov22QvmeK3jvryNueA5X07OpPM8VNoxKnqamZ3PbuN82T44JrwGjgNHJeVjRNj1QACM+yZSfq4hXC5sMlAHH++TGeEmH/D5wovf+heS5psRTr/YnHuHp5ePVsWQjNZTtPt77pRmUX6flme0AoC3wXe/9BxmUX+fVUL46LlRAx9z0aL9Nj/bb9Cjb9NTQMaG31w13v1GvR3zM7GDiC2NbEC+R+gviYbxDLLmAPumQrwKu3OilQ4k75fnAXvpl21wNZqum51tqINt5xNmq6alADear48K36JibHu236dF+mx5lm54aPCao6dlIadWb1GkR8JuN5jH2Il7a9wrgJmCf5BqTh4h3lPbe+8XEF3UN9t5PzabsekHZpkfZpkv5pkfZpkfZpkfZpkfZpkfZpqBej/gQd8LezDbcFPMloK2P77heYmbnJNeYtCG+KdZiAO/9w9ohqqRs06Ns06V806Ns06Ns06Ns06Ns06NsU1CvR3y899++N8EQYMMF3qcCp5vZo0BXkou/LF42sX5f2FQLlG16lG26lG96lG16lG16lG16lG16lG066nXjs0HSDQdgZ+CR5OnPgJ8Sr7P/7oY5jtohto6yTY+yTZfyTY+yTY+yTY+yTY+yTY+yrVkF0fgQz4NsCCwH9jazG4hvKnaO9/7FTCur/5RtepRtupRvepRtepRtepRtepRtepRtDar3y1lvYGb9iO9O+zJwu/f+jxmXVDCUbXqUbbqUb3qUbXqUbXqUbXqUbXqUbc0plBEfgKXAz4DrfHwDN6k5yjY9yjZdyjc9yjY9yjY9yjY9yjY9yraGFMyIj4iIiIiISGXq+3LWIiIiIiIiVVLjIyIiIiIiBU+Nj4iIiIiIFDw1PiIiIiIiUvDU+IiIiIiISMFT4yMiIiIiIgVPjY+IiIiIiBS8/wMtThGz0YFCsQAAAABJRU5ErkJggg==\n",
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"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
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"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>ret</th>\n",
" <th>ic</th>\n",
" <th>t.</th>\n",
" <th>factor</th>\n",
" <th>abs t.</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>2010-01-04</th>\n",
" <td>0.002644</td>\n",
" <td>0.030863</td>\n",
" <td>1.242023</td>\n",
" <td>BETA</td>\n",
" <td>1.242023</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-01-18</th>\n",
" <td>-0.009006</td>\n",
" <td>-0.102950</td>\n",
" <td>-4.164523</td>\n",
" <td>BETA</td>\n",
" <td>4.164523</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-02-01</th>\n",
" <td>0.002722</td>\n",
" <td>0.018558</td>\n",
" <td>0.753730</td>\n",
" <td>BETA</td>\n",
" <td>0.753730</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-02-22</th>\n",
" <td>0.004730</td>\n",
" <td>0.063951</td>\n",
" <td>2.606190</td>\n",
" <td>BETA</td>\n",
" <td>2.606190</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-03-08</th>\n",
" <td>0.001677</td>\n",
" <td>0.022300</td>\n",
" <td>0.908542</td>\n",
" <td>BETA</td>\n",
" <td>0.908542</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-03-22</th>\n",
" <td>0.001254</td>\n",
" <td>0.016583</td>\n",
" <td>0.678169</td>\n",
" <td>BETA</td>\n",
" <td>0.678169</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-04-06</th>\n",
" <td>-0.001871</td>\n",
" <td>-0.015462</td>\n",
" <td>-0.635157</td>\n",
" <td>BETA</td>\n",
" <td>0.635157</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-04-20</th>\n",
" <td>-0.004542</td>\n",
" <td>-0.044375</td>\n",
" <td>-1.836796</td>\n",
" <td>BETA</td>\n",
" <td>1.836796</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-05-05</th>\n",
" <td>-0.004558</td>\n",
" <td>-0.047051</td>\n",
" <td>-1.958059</td>\n",
" <td>BETA</td>\n",
" <td>1.958059</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-05-19</th>\n",
" <td>-0.003679</td>\n",
" <td>-0.042916</td>\n",
" <td>-1.791299</td>\n",
" <td>BETA</td>\n",
" <td>1.791299</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-06-02</th>\n",
" <td>0.011993</td>\n",
" <td>0.149685</td>\n",
" <td>6.324072</td>\n",
" <td>BETA</td>\n",
" <td>6.324072</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-06-21</th>\n",
" <td>-0.008445</td>\n",
" <td>-0.097384</td>\n",
" <td>-4.110815</td>\n",
" <td>BETA</td>\n",
" <td>4.110815</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-07-05</th>\n",
" <td>0.016632</td>\n",
" <td>0.225359</td>\n",
" <td>9.758945</td>\n",
" <td>BETA</td>\n",
" <td>9.758945</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-07-19</th>\n",
" <td>0.003733</td>\n",
" <td>0.055655</td>\n",
" <td>2.356996</td>\n",
" <td>BETA</td>\n",
" <td>2.356996</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-02</th>\n",
" <td>0.000633</td>\n",
" <td>0.008968</td>\n",
" <td>0.381243</td>\n",
" <td>BETA</td>\n",
" <td>0.381243</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-16</th>\n",
" <td>0.004783</td>\n",
" <td>0.053086</td>\n",
" <td>2.264185</td>\n",
" <td>BETA</td>\n",
" <td>2.264185</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-30</th>\n",
" <td>0.005035</td>\n",
" <td>0.054434</td>\n",
" <td>2.333991</td>\n",
" <td>BETA</td>\n",
" <td>2.333991</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-09-13</th>\n",
" <td>-0.000908</td>\n",
" <td>-0.006632</td>\n",
" <td>-0.285198</td>\n",
" <td>BETA</td>\n",
" <td>0.285198</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-09-30</th>\n",
" <td>0.018298</td>\n",
" <td>0.151097</td>\n",
" <td>6.593915</td>\n",
" <td>BETA</td>\n",
" <td>6.593915</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-10-21</th>\n",
" <td>0.010968</td>\n",
" <td>0.096604</td>\n",
" <td>4.210559</td>\n",
" <td>BETA</td>\n",
" <td>4.210559</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-11-04</th>\n",
" <td>-0.018182</td>\n",
" <td>-0.149894</td>\n",
" <td>-6.590969</td>\n",
" <td>BETA</td>\n",
" <td>6.590969</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-11-18</th>\n",
" <td>0.000371</td>\n",
" <td>0.004423</td>\n",
" <td>0.193013</td>\n",
" <td>BETA</td>\n",
" <td>0.193013</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-02</th>\n",
" <td>0.002276</td>\n",
" <td>0.031301</td>\n",
" <td>1.372580</td>\n",
" <td>BETA</td>\n",
" <td>1.372580</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-16</th>\n",
" <td>0.001684</td>\n",
" <td>0.023507</td>\n",
" <td>1.033503</td>\n",
" <td>BETA</td>\n",
" <td>1.033503</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-30</th>\n",
" <td>-0.006729</td>\n",
" <td>-0.072204</td>\n",
" <td>-3.193485</td>\n",
" <td>BETA</td>\n",
" <td>3.193485</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-01-14</th>\n",
" <td>0.005046</td>\n",
" <td>0.060121</td>\n",
" <td>2.661026</td>\n",
" <td>BETA</td>\n",
" <td>2.661026</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-01-28</th>\n",
" <td>0.013320</td>\n",
" <td>0.161883</td>\n",
" <td>7.275628</td>\n",
" <td>BETA</td>\n",
" <td>7.275628</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-02-18</th>\n",
" <td>0.007262</td>\n",
" <td>0.098164</td>\n",
" <td>4.399195</td>\n",
" <td>BETA</td>\n",
" <td>4.399195</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-03-04</th>\n",
" <td>-0.004921</td>\n",
" <td>-0.063171</td>\n",
" <td>-2.830742</td>\n",
" <td>BETA</td>\n",
" <td>2.830742</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-03-18</th>\n",
" <td>0.003567</td>\n",
" <td>0.037995</td>\n",
" <td>1.707198</td>\n",
" <td>BETA</td>\n",
" <td>1.707198</td>\n",
" </tr>\n",
" <tr>\n",
" <th>...</th>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-12-19</th>\n",
" <td>0.002966</td>\n",
" <td>-0.024130</td>\n",
" <td>-1.303399</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.303399</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-01-03</th>\n",
" <td>-0.017114</td>\n",
" <td>0.043868</td>\n",
" <td>2.375196</td>\n",
" <td>Conglomerates</td>\n",
" <td>2.375196</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-01-17</th>\n",
" <td>0.007014</td>\n",
" <td>-0.058947</td>\n",
" <td>-3.197963</td>\n",
" <td>Conglomerates</td>\n",
" <td>3.197963</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-02-07</th>\n",
" <td>0.011133</td>\n",
" <td>0.013248</td>\n",
" <td>0.719882</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.719882</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-02-21</th>\n",
" <td>0.000469</td>\n",
" <td>-0.019090</td>\n",
" <td>-1.040007</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.040007</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-03-07</th>\n",
" <td>0.000292</td>\n",
" <td>-0.003193</td>\n",
" <td>-0.174454</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.174454</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-03-21</th>\n",
" <td>-0.002276</td>\n",
" <td>0.004762</td>\n",
" <td>0.261175</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.261175</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-04-06</th>\n",
" <td>-0.018391</td>\n",
" <td>0.038470</td>\n",
" <td>2.120921</td>\n",
" <td>Conglomerates</td>\n",
" <td>2.120921</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-04-20</th>\n",
" <td>-0.024520</td>\n",
" <td>-0.030297</td>\n",
" <td>-1.678085</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.678085</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-05-05</th>\n",
" <td>-0.007146</td>\n",
" <td>0.000588</td>\n",
" <td>0.032609</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.032609</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-05-19</th>\n",
" <td>0.002194</td>\n",
" <td>0.008657</td>\n",
" <td>0.482560</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.482560</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-06-06</th>\n",
" <td>0.006836</td>\n",
" <td>-0.003194</td>\n",
" <td>-0.178321</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.178321</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-06-20</th>\n",
" <td>0.006675</td>\n",
" <td>0.014344</td>\n",
" <td>0.803752</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.803752</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-07-04</th>\n",
" <td>-0.004328</td>\n",
" <td>0.049160</td>\n",
" <td>2.766838</td>\n",
" <td>Conglomerates</td>\n",
" <td>2.766838</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-07-18</th>\n",
" <td>0.011933</td>\n",
" <td>0.025328</td>\n",
" <td>1.428977</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.428977</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-01</th>\n",
" <td>0.001504</td>\n",
" <td>-0.030124</td>\n",
" <td>-1.704020</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.704020</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-15</th>\n",
" <td>0.006751</td>\n",
" <td>-0.009009</td>\n",
" <td>-0.511009</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.511009</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-29</th>\n",
" <td>0.005685</td>\n",
" <td>-0.029357</td>\n",
" <td>-1.669930</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.669930</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-09-12</th>\n",
" <td>-0.006071</td>\n",
" <td>-0.006688</td>\n",
" <td>-0.380912</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.380912</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-09-26</th>\n",
" <td>0.000938</td>\n",
" <td>0.009825</td>\n",
" <td>0.561191</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.561191</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-10-17</th>\n",
" <td>0.002298</td>\n",
" <td>0.028429</td>\n",
" <td>1.629805</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.629805</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-10-31</th>\n",
" <td>-0.004946</td>\n",
" <td>-0.009203</td>\n",
" <td>-0.528596</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.528596</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-11-14</th>\n",
" <td>-0.009254</td>\n",
" <td>0.047157</td>\n",
" <td>2.719796</td>\n",
" <td>Conglomerates</td>\n",
" <td>2.719796</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-11-28</th>\n",
" <td>-0.004959</td>\n",
" <td>-0.004280</td>\n",
" <td>-0.247143</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.247143</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-12-12</th>\n",
" <td>-0.006901</td>\n",
" <td>0.002110</td>\n",
" <td>0.122140</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.122140</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-12-26</th>\n",
" <td>0.013300</td>\n",
" <td>0.013481</td>\n",
" <td>0.782445</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.782445</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-01-10</th>\n",
" <td>0.005100</td>\n",
" <td>0.043987</td>\n",
" <td>2.557869</td>\n",
" <td>Conglomerates</td>\n",
" <td>2.557869</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-01-24</th>\n",
" <td>-0.036859</td>\n",
" <td>0.031055</td>\n",
" <td>1.809528</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.809528</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-02-07</th>\n",
" <td>0.012197</td>\n",
" <td>-0.039344</td>\n",
" <td>-2.299604</td>\n",
" <td>Conglomerates</td>\n",
" <td>2.299604</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-02-28</th>\n",
" <td>-0.002940</td>\n",
" <td>-0.022710</td>\n",
" <td>-1.331364</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.331364</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"<p>7562 rows × 5 columns</p>\n",
"</div>"
],
"text/plain": [
"<matplotlib.figure.Figure at 0x2154239c9b0>"
" ret ic t. factor abs t.\n",
"2010-01-04 0.002644 0.030863 1.242023 BETA 1.242023\n",
"2010-01-18 -0.009006 -0.102950 -4.164523 BETA 4.164523\n",
"2010-02-01 0.002722 0.018558 0.753730 BETA 0.753730\n",
"2010-02-22 0.004730 0.063951 2.606190 BETA 2.606190\n",
"2010-03-08 0.001677 0.022300 0.908542 BETA 0.908542\n",
"2010-03-22 0.001254 0.016583 0.678169 BETA 0.678169\n",
"2010-04-06 -0.001871 -0.015462 -0.635157 BETA 0.635157\n",
"2010-04-20 -0.004542 -0.044375 -1.836796 BETA 1.836796\n",
"2010-05-05 -0.004558 -0.047051 -1.958059 BETA 1.958059\n",
"2010-05-19 -0.003679 -0.042916 -1.791299 BETA 1.791299\n",
"2010-06-02 0.011993 0.149685 6.324072 BETA 6.324072\n",
"2010-06-21 -0.008445 -0.097384 -4.110815 BETA 4.110815\n",
"2010-07-05 0.016632 0.225359 9.758945 BETA 9.758945\n",
"2010-07-19 0.003733 0.055655 2.356996 BETA 2.356996\n",
"2010-08-02 0.000633 0.008968 0.381243 BETA 0.381243\n",
"2010-08-16 0.004783 0.053086 2.264185 BETA 2.264185\n",
"2010-08-30 0.005035 0.054434 2.333991 BETA 2.333991\n",
"2010-09-13 -0.000908 -0.006632 -0.285198 BETA 0.285198\n",
"2010-09-30 0.018298 0.151097 6.593915 BETA 6.593915\n",
"2010-10-21 0.010968 0.096604 4.210559 BETA 4.210559\n",
"2010-11-04 -0.018182 -0.149894 -6.590969 BETA 6.590969\n",
"2010-11-18 0.000371 0.004423 0.193013 BETA 0.193013\n",
"2010-12-02 0.002276 0.031301 1.372580 BETA 1.372580\n",
"2010-12-16 0.001684 0.023507 1.033503 BETA 1.033503\n",
"2010-12-30 -0.006729 -0.072204 -3.193485 BETA 3.193485\n",
"2011-01-14 0.005046 0.060121 2.661026 BETA 2.661026\n",
"2011-01-28 0.013320 0.161883 7.275628 BETA 7.275628\n",
"2011-02-18 0.007262 0.098164 4.399195 BETA 4.399195\n",
"2011-03-04 -0.004921 -0.063171 -2.830742 BETA 2.830742\n",
"2011-03-18 0.003567 0.037995 1.707198 BETA 1.707198\n",
"... ... ... ... ... ...\n",
"2016-12-19 0.002966 -0.024130 -1.303399 Conglomerates 1.303399\n",
"2017-01-03 -0.017114 0.043868 2.375196 Conglomerates 2.375196\n",
"2017-01-17 0.007014 -0.058947 -3.197963 Conglomerates 3.197963\n",
"2017-02-07 0.011133 0.013248 0.719882 Conglomerates 0.719882\n",
"2017-02-21 0.000469 -0.019090 -1.040007 Conglomerates 1.040007\n",
"2017-03-07 0.000292 -0.003193 -0.174454 Conglomerates 0.174454\n",
"2017-03-21 -0.002276 0.004762 0.261175 Conglomerates 0.261175\n",
"2017-04-06 -0.018391 0.038470 2.120921 Conglomerates 2.120921\n",
"2017-04-20 -0.024520 -0.030297 -1.678085 Conglomerates 1.678085\n",
"2017-05-05 -0.007146 0.000588 0.032609 Conglomerates 0.032609\n",
"2017-05-19 0.002194 0.008657 0.482560 Conglomerates 0.482560\n",
"2017-06-06 0.006836 -0.003194 -0.178321 Conglomerates 0.178321\n",
"2017-06-20 0.006675 0.014344 0.803752 Conglomerates 0.803752\n",
"2017-07-04 -0.004328 0.049160 2.766838 Conglomerates 2.766838\n",
"2017-07-18 0.011933 0.025328 1.428977 Conglomerates 1.428977\n",
"2017-08-01 0.001504 -0.030124 -1.704020 Conglomerates 1.704020\n",
"2017-08-15 0.006751 -0.009009 -0.511009 Conglomerates 0.511009\n",
"2017-08-29 0.005685 -0.029357 -1.669930 Conglomerates 1.669930\n",
"2017-09-12 -0.006071 -0.006688 -0.380912 Conglomerates 0.380912\n",
"2017-09-26 0.000938 0.009825 0.561191 Conglomerates 0.561191\n",
"2017-10-17 0.002298 0.028429 1.629805 Conglomerates 1.629805\n",
"2017-10-31 -0.004946 -0.009203 -0.528596 Conglomerates 0.528596\n",
"2017-11-14 -0.009254 0.047157 2.719796 Conglomerates 2.719796\n",
"2017-11-28 -0.004959 -0.004280 -0.247143 Conglomerates 0.247143\n",
"2017-12-12 -0.006901 0.002110 0.122140 Conglomerates 0.122140\n",
"2017-12-26 0.013300 0.013481 0.782445 Conglomerates 0.782445\n",
"2018-01-10 0.005100 0.043987 2.557869 Conglomerates 2.557869\n",
"2018-01-24 -0.036859 0.031055 1.809528 Conglomerates 1.809528\n",
"2018-02-07 0.012197 -0.039344 -2.299604 Conglomerates 2.299604\n",
"2018-02-28 -0.002940 -0.022710 -1.331364 Conglomerates 1.331364\n",
"\n",
"[7562 rows x 5 columns]"
]
},
"execution_count": 14,
"metadata": {},
"output_type": "display_data"
"output_type": "execute_result"
}
],
"source": [
"df.index = pd.to_datetime(df.index)\n",
"df['ret'].cumsum().plot(figsize=(14, 7))"
"df"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
},
{
"cell_type": "code",
"execution_count": null,
......
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