diff --git a/Yahoo_Finance_DL_COPPER_EXCEL.ipynb b/Copper/Yahoo_Finance_DL_COPPER_EXCEL.ipynb similarity index 100% rename from Yahoo_Finance_DL_COPPER_EXCEL.ipynb rename to Copper/Yahoo_Finance_DL_COPPER_EXCEL.ipynb diff --git a/Yahoo_Finance_QUANT_COPPER.ipynb b/Copper/Yahoo_Finance_QUANT_COPPER.ipynb similarity index 100% rename from Yahoo_Finance_QUANT_COPPER.ipynb rename to Copper/Yahoo_Finance_QUANT_COPPER.ipynb diff --git a/DAX40/DAX_Quant_Model.ipynb b/DAX40/DAX_Quant_Model.ipynb new file mode 100644 index 0000000..cecbbbd --- /dev/null +++ b/DAX40/DAX_Quant_Model.ipynb @@ -0,0 +1,237353 @@ +{ + "cells": [ + { + "cell_type": "markdown", + "id": "4b866c37-13ff-4f0f-bff4-61b41719ad6a", + "metadata": {}, + "source": [ + "# The DAX \"Prophet\"\n", + "\n", + "* DAX = German index. Not the ETF named \"DAX\" (pitfall)\n", + "* Data source: FMP (you can use yfinance)\n", + "\n", + "\n", + "* Purpose of this NB: swing trade support (weeks)\n", + "* Model can detect seasonalities" + ] + }, + { + "cell_type": "markdown", + "id": "4882e088-c9c9-4004-a984-e6e948dd6c96", + "metadata": {}, + "source": [ + "## Data retrieval ($)\n", + "\n", + "We want historical data for our model. This isn't free." + ] + }, + { + "cell_type": "code", + "execution_count": 7, + "id": "ec60e3a9-efcc-4619-9fbd-0d09fedcf4f7", + "metadata": {}, + "outputs": [], + "source": [ + "from openbb import obb\n", + "import os\n", + "from dotenv import load_dotenv\n", + "\n", + "def read_api_keys_from_env():\n", + " \"\"\"\n", + " Read API keys from env\n", + " \"\"\"\n", + " load_dotenv(\"api_keys\") # This loads the variables from the file\n", + " \n", + " obb.user.credentials.nasdaq_api_key = os.getenv('NASDAQ_API_KEY') or print(\"NASDAQ_API_KEY is not set or empty\") or None\n", + " obb.user.credentials.fmp_api_key = os.getenv('FMP_API_KEY') or print(\"FMP_API_KEY is not set or empty\") or None\n", + " obb.user.credentials.econdb_api_key = os.getenv('ECONDB_API_KEY') or print(\"ECONDB_API_KEY is not set or empty\") or None\n", + " obb.user.credentials.fred_api_key = os.getenv('FRED_API_KEY') or print(\"FRED_API_KEY is not set or empty\") or None\n", + " obb.user.credentials.intrinio_api_key = os.getenv('INTRINIO_API_KEY') or print(\"INTRINIO_API_KEY is not set or empty\") or None\n", + " obb.user.credentials.polygon_api_key = os.getenv('POLYGON_API_KEY') or print(\"POLYGON_API_KEY is not set or empty\") or None\n", + " \n", + "read_api_keys_from_env()" + ] + }, + { + "cell_type": "code", + "execution_count": 31, + "id": "c0f83ff6-d1b2-424a-9974-4d005110c9e6", + "metadata": {}, + "outputs": [], + "source": [ + "def get_dax_data(symbol : str):\n", + "\n", + " df_daily = obb.equity.price.historical(symbol = symbol, provider=\"fmp\",start_date=\"2000-01-01\").to_df()\n", + " return df_daily\n", + "\n", + "# https://site.financialmodelingprep.com/index-summary/%5EGDAXI \n", + "# https://de.finance.yahoo.com/quote/%5EGDAXI/ \n", + "df = get_dax_data(\"^GDAXI\") # Not \"DAX\", which is an ETF" + ] + }, + { + "cell_type": "code", + "execution_count": 32, + "id": "b4e2d572-5349-4644-a82c-083aff2ffcc2", + "metadata": {}, + "outputs": [ + { + "data": { + "text/html": [ + "
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0 | \n", + "2000-01-03 | \n", + "6961.720215 | \n", + "7159.330078 | \n", + "6720.870117 | \n", + "6750.759766 | \n", + "43072500 | \n", + "6876.98665 | \n", + "6750.759766 | \n", + "43072500.0 | \n", + "-210.96045 | \n", + "-0.0303 | \n", + "
\n", + " | REXPDE~TUSD | \n", + "
---|---|
Date | \n", + "\n", + " |
2024-01-01 | \n", + "441754.0 | \n", + "
\n", + " | REXPDE~TUSD | \n", + "
---|---|
Date | \n", + "\n", + " |
1991-01-01 | \n", + "NaN | \n", + "
1991-04-01 | \n", + "NaN | \n", + "
1991-07-01 | \n", + "NaN | \n", + "
1991-10-01 | \n", + "NaN | \n", + "
1992-01-01 | \n", + "NaN | \n", + "
\n", + " | CPIDE | \n", + "
---|---|
Date | \n", + "\n", + " |
2012-03-01 | \n", + "91.7 | \n", + "
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---|---|
Date | \n", + "\n", + " |
2024-07-01 | \n", + "119.8 | \n", + "
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H2O_cluster_version: | \n", + "3.46.0.4 |
H2O_cluster_version_age: | \n", + "1 month and 15 days |
H2O_cluster_name: | \n", + "H2O_from_python_marius_tlzho8 |
H2O_cluster_total_nodes: | \n", + "1 |
H2O_cluster_free_memory: | \n", + "1.784 Gb |
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H2O_cluster_allowed_cores: | \n", + "6 |
H2O_cluster_status: | \n", + "locked, healthy |
H2O_connection_url: | \n", + "http://localhost:54321 |
H2O_connection_proxy: | \n", + "{\"http\": null, \"https\": null} |
H2O_internal_security: | \n", + "False |
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H2O_cluster_uptime: | \n", + "1 hour 13 mins |
H2O_cluster_timezone: | \n", + "Etc/UTC |
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H2O_cluster_allowed_cores: | \n", + "6 |
H2O_cluster_status: | \n", + "locked, healthy |
H2O_connection_url: | \n", + "http://localhost:54321 |
H2O_connection_proxy: | \n", + "{\"http\": null, \"https\": null} |
H2O_internal_security: | \n", + "False |
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H2O_cluster_uptime: | \n", + "11 mins 07 secs |
H2O_cluster_timezone: | \n", + "Etc/UTC |
H2O_data_parsing_timezone: | \n", + "UTC |
H2O_cluster_version: | \n", + "3.46.0.4 |
H2O_cluster_version_age: | \n", + "1 month and 15 days |
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H2O_cluster_free_memory: | \n", + "2.910 Gb |
H2O_cluster_total_cores: | \n", + "6 |
H2O_cluster_allowed_cores: | \n", + "6 |
H2O_cluster_status: | \n", + "locked, healthy |
H2O_connection_url: | \n", + "http://localhost:54321 |
H2O_connection_proxy: | \n", + "{\"http\": null, \"https\": null} |
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\n", + " | open | \n", + "high | \n", + "low | \n", + "close | \n", + "volume | \n", + "vwap | \n", + "adj_close | \n", + "unadjusted_volume | \n", + "change | \n", + "change_percent | \n", + "
---|---|---|---|---|---|---|---|---|---|---|
date | \n", + "\n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " |
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---|---|---|---|---|---|---|---|---|---|---|
date | \n", + "\n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " |
2000-01-03 | \n", + "6961.720215 | \n", + "7159.330078 | \n", + "6720.870117 | \n", + "6750.759766 | \n", + "43072500 | \n", + "6876.98665 | \n", + "6750.759766 | \n", + "43072500.0 | \n", + "-210.96045 | \n", + "-0.0303 | \n", + "
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---|---|---|---|---|---|---|---|---|---|---|---|
6260 | \n", + "2024-08-23 | \n", + "18538.86914 | \n", + "18670.44922 | \n", + "18519.28906 | \n", + "18633.09961 | \n", + "41122500 | \n", + "18590.43 | \n", + "18633.09961 | \n", + "41122500.0 | \n", + "94.23047 | \n", + "0.005083 | \n", + "
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---|---|---|---|---|---|---|---|---|---|---|---|
0 | \n", + "2000-01-03 | \n", + "6961.720215 | \n", + "7159.330078 | \n", + "6720.870117 | \n", + "6750.759766 | \n", + "43072500 | \n", + "6876.98665 | \n", + "6750.759766 | \n", + "43072500.0 | \n", + "-210.96045 | \n", + "-0.0303 | \n", + "
\n", + " | REXPDE~TUSD | \n", + "
---|---|
Date | \n", + "\n", + " |
2024-01-01 | \n", + "441754.0 | \n", + "
\n", + " | REXPDE~TUSD | \n", + "
---|---|
Date | \n", + "\n", + " |
1991-01-01 | \n", + "NaN | \n", + "
1991-04-01 | \n", + "NaN | \n", + "
1991-07-01 | \n", + "NaN | \n", + "
1991-10-01 | \n", + "NaN | \n", + "
1992-01-01 | \n", + "NaN | \n", + "
\n", + " | CPIDE | \n", + "
---|---|
Date | \n", + "\n", + " |
2012-03-01 | \n", + "91.7 | \n", + "
\n", + " | CPIDE | \n", + "
---|---|
Date | \n", + "\n", + " |
2024-07-01 | \n", + "119.8 | \n", + "
H2O_cluster_uptime: | \n", + "56 mins 11 secs |
H2O_cluster_timezone: | \n", + "Etc/UTC |
H2O_data_parsing_timezone: | \n", + "UTC |
H2O_cluster_version: | \n", + "3.46.0.4 |
H2O_cluster_version_age: | \n", + "1 month and 15 days |
H2O_cluster_name: | \n", + "H2O_from_python_marius_tlzho8 |
H2O_cluster_total_nodes: | \n", + "1 |
H2O_cluster_free_memory: | \n", + "1.784 Gb |
H2O_cluster_total_cores: | \n", + "6 |
H2O_cluster_allowed_cores: | \n", + "6 |
H2O_cluster_status: | \n", + "locked, healthy |
H2O_connection_url: | \n", + "http://localhost:54321 |
H2O_connection_proxy: | \n", + "{\"http\": null, \"https\": null} |
H2O_internal_security: | \n", + "False |
Python_version: | \n", + "3.11.9 final |
H2O_cluster_uptime: | \n", + "1 hour 13 mins |
H2O_cluster_timezone: | \n", + "Etc/UTC |
H2O_data_parsing_timezone: | \n", + "UTC |
H2O_cluster_version: | \n", + "3.46.0.4 |
H2O_cluster_version_age: | \n", + "1 month and 15 days |
H2O_cluster_name: | \n", + "H2O_from_python_marius_tlzho8 |
H2O_cluster_total_nodes: | \n", + "1 |
H2O_cluster_free_memory: | \n", + "1.427 Gb |
H2O_cluster_total_cores: | \n", + "6 |
H2O_cluster_allowed_cores: | \n", + "6 |
H2O_cluster_status: | \n", + "locked, healthy |
H2O_connection_url: | \n", + "http://localhost:54321 |
H2O_connection_proxy: | \n", + "{\"http\": null, \"https\": null} |
H2O_internal_security: | \n", + "False |
Python_version: | \n", + "3.11.9 final |
H2O_cluster_uptime: | \n", + "11 mins 07 secs |
H2O_cluster_timezone: | \n", + "Etc/UTC |
H2O_data_parsing_timezone: | \n", + "UTC |
H2O_cluster_version: | \n", + "3.46.0.4 |
H2O_cluster_version_age: | \n", + "1 month and 15 days |
H2O_cluster_name: | \n", + "H2O_from_python_marius_st2i25 |
H2O_cluster_total_nodes: | \n", + "1 |
H2O_cluster_free_memory: | \n", + "2.910 Gb |
H2O_cluster_total_cores: | \n", + "6 |
H2O_cluster_allowed_cores: | \n", + "6 |
H2O_cluster_status: | \n", + "locked, healthy |
H2O_connection_url: | \n", + "http://localhost:54321 |
H2O_connection_proxy: | \n", + "{\"http\": null, \"https\": null} |
H2O_internal_security: | \n", + "False |
Python_version: | \n", + "3.11.9 final |
\n", + " | Open Interest | \n", + "Producer/Merchant/Processor/User Longs | \n", + "Producer/Merchant/Processor/User Shorts | \n", + "Swap Dealer Longs | \n", + "Swap Dealer Shorts | \n", + "Swap Dealer Spreads | \n", + "Money Manager Longs | \n", + "Money Manager Shorts | \n", + "Money Manager Spreads | \n", + "Other Reportable Longs | \n", + "Other Reportable Shorts | \n", + "Other Reportable Spreads | \n", + "Total Reportable Longs | \n", + "Total Reportable Shorts | \n", + "Non Reportable Longs | \n", + "Non Reportable Shorts | \n", + "
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Date | \n", + "\n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " |
2023-11-28 | \n", + "139144.0 | \n", + "3472.0 | \n", + "40323.0 | \n", + "33045.0 | \n", + "44049.0 | \n", + "3770.0 | \n", + "45604.0 | \n", + "21842.0 | \n", + "6885.0 | \n", + "17276.0 | \n", + "6758.0 | \n", + "2445.0 | \n", + "112497.0 | \n", + "126072.0 | \n", + "26647.0 | \n", + "13072.0 | \n", + "
2023-12-05 | \n", + "139753.0 | \n", + "4714.0 | \n", + "41340.0 | \n", + "33328.0 | \n", + "48716.0 | \n", + "2932.0 | \n", + "43852.0 | \n", + "22322.0 | \n", + "7544.0 | \n", + "19389.0 | \n", + "4616.0 | \n", + "1607.0 | \n", + "113366.0 | \n", + "129077.0 | \n", + "26387.0 | \n", + "10676.0 | \n", + "
2023-12-12 | \n", + "134281.0 | \n", + "4311.0 | \n", + "38849.0 | \n", + "30707.0 | \n", + "43665.0 | \n", + "2832.0 | \n", + "33472.0 | \n", + "24805.0 | \n", + "8439.0 | \n", + "22212.0 | \n", + "2421.0 | \n", + "1706.0 | \n", + "103679.0 | \n", + "122717.0 | \n", + "30602.0 | \n", + "11564.0 | \n", + "
2023-12-19 | \n", + "127549.0 | \n", + "3701.0 | \n", + "39714.0 | \n", + "30908.0 | \n", + "43686.0 | \n", + "1911.0 | \n", + "34931.0 | \n", + "20060.0 | \n", + "6662.0 | \n", + "17700.0 | \n", + "2820.0 | \n", + "1577.0 | \n", + "97390.0 | \n", + "116430.0 | \n", + "30159.0 | \n", + "11119.0 | \n", + "
2023-12-26 | \n", + "131408.0 | \n", + "4063.0 | \n", + "41011.0 | \n", + "29911.0 | \n", + "45585.0 | \n", + "2415.0 | \n", + "36546.0 | \n", + "19749.0 | \n", + "6847.0 | \n", + "18013.0 | \n", + "2947.0 | \n", + "2137.0 | \n", + "99932.0 | \n", + "120691.0 | \n", + "31476.0 | \n", + "10717.0 | \n", + "
\n", + " | Market_and_Exchange_Names | \n", + "As_of_Date_In_Form_YYMMDD | \n", + "Report_Date_as_YYYY-MM-DD | \n", + "CFTC_Contract_Market_Code | \n", + "CFTC_Market_Code | \n", + "CFTC_Region_Code | \n", + "CFTC_Commodity_Code | \n", + "Open_Interest_All | \n", + "Prod_Merc_Positions_Long_All | \n", + "Prod_Merc_Positions_Short_All | \n", + "... | \n", + "Conc_Net_LE_4_TDR_Long_Other | \n", + "Conc_Net_LE_4_TDR_Short_Other | \n", + "Conc_Net_LE_8_TDR_Long_Other | \n", + "Conc_Net_LE_8_TDR_Short_Other | \n", + "Contract_Units | \n", + "CFTC_Contract_Market_Code_Quotes | \n", + "CFTC_Market_Code_Quotes | \n", + "CFTC_Commodity_Code_Quotes | \n", + "CFTC_SubGroup_Code | \n", + "FutOnly_or_Combined | \n", + "
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
0 | \n", + "WHEAT-SRW - CHICAGO BOARD OF TRADE | \n", + "240813 | \n", + "2024-08-13 | \n", + "001602 | \n", + "CBT | \n", + "0 | \n", + "1 | \n", + "401604 | \n", + "68899 | \n", + "85867 | \n", + "... | \n", + "39.0 | \n", + "31.7 | \n", + "54.2 | \n", + "42.6 | \n", + "(CONTRACTS OF 5,000 BUSHELS) | \n", + "001602 | \n", + "CBT | \n", + "1 | \n", + "A10 | \n", + "FutOnly | \n", + "
1 | \n", + "WHEAT-SRW - CHICAGO BOARD OF TRADE | \n", + "240806 | \n", + "2024-08-06 | \n", + "001602 | \n", + "CBT | \n", + "0 | \n", + "1 | \n", + "431547 | \n", + "73401 | \n", + "85750 | \n", + "... | \n", + "41.6 | \n", + "32.3 | \n", + "57.3 | \n", + "41.7 | \n", + "(CONTRACTS OF 5,000 BUSHELS) | \n", + "001602 | \n", + "CBT | \n", + "1 | \n", + "A10 | \n", + "FutOnly | \n", + "
2 | \n", + "WHEAT-SRW - CHICAGO BOARD OF TRADE | \n", + "240730 | \n", + "2024-07-30 | \n", + "001602 | \n", + "CBT | \n", + "0 | \n", + "1 | \n", + "432863 | \n", + "73086 | \n", + "83875 | \n", + "... | \n", + "46.0 | \n", + "28.5 | \n", + "60.8 | \n", + "38.4 | \n", + "(CONTRACTS OF 5,000 BUSHELS) | \n", + "001602 | \n", + "CBT | \n", + "1 | \n", + "A10 | \n", + "FutOnly | \n", + "
3 | \n", + "WHEAT-SRW - CHICAGO BOARD OF TRADE | \n", + "240723 | \n", + "2024-07-23 | \n", + "001602 | \n", + "CBT | \n", + "0 | \n", + "1 | \n", + "421227 | \n", + "63636 | \n", + "81374 | \n", + "... | \n", + "48.3 | \n", + "27.9 | \n", + "63.5 | \n", + "37.7 | \n", + "(CONTRACTS OF 5,000 BUSHELS) | \n", + "001602 | \n", + "CBT | \n", + "1 | \n", + "A10 | \n", + "FutOnly | \n", + "
4 | \n", + "WHEAT-SRW - CHICAGO BOARD OF TRADE | \n", + "240716 | \n", + "2024-07-16 | \n", + "001602 | \n", + "CBT | \n", + "0 | \n", + "1 | \n", + "413885 | \n", + "64297 | \n", + "81558 | \n", + "... | \n", + "50.4 | \n", + "28.0 | \n", + "65.9 | \n", + "37.3 | \n", + "(CONTRACTS OF 5,000 BUSHELS) | \n", + "001602 | \n", + "CBT | \n", + "1 | \n", + "A10 | \n", + "FutOnly | \n", + "
5 rows × 191 columns
\n", + "\n", + " | Open_Interest_All | \n", + "Pct_of_OI_Prod_Merc_Long_Old | \n", + "Pct_of_OI_Prod_Merc_Short_Old | \n", + "
---|---|---|---|
Report_Date_as_YYYY-MM-DD | \n", + "\n", + " | \n", + " | \n", + " |
2024-08-13 | \n", + "147859 | \n", + "3.1 | \n", + "25.3 | \n", + "
2024-08-06 | \n", + "147537 | \n", + "3.0 | \n", + "25.4 | \n", + "
2024-07-30 | \n", + "151437 | \n", + "2.7 | \n", + "25.4 | \n", + "
2024-07-23 | \n", + "157106 | \n", + "2.2 | \n", + "25.8 | \n", + "
2024-07-16 | \n", + "166641 | \n", + "1.7 | \n", + "26.0 | \n", + "
\n", + " | Open | \n", + "High | \n", + "Low | \n", + "Close | \n", + "Lorentzian | \n", + "KalmanEstimate | \n", + "RSI_14 | \n", + "
---|---|---|---|---|---|---|---|
Date | \n", + "\n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " |
2000-09-20 00:00:00-04:00 | \n", + "4.86 | \n", + "4.865 | \n", + "4.83 | \n", + "4.830 | \n", + "0.000976 | \n", + "4.908093 | \n", + "27.901917 | \n", + "
2000-09-21 00:00:00-04:00 | \n", + "4.90 | \n", + "4.900 | \n", + "4.87 | \n", + "4.872 | \n", + "0.000722 | \n", + "4.904411 | \n", + "40.962000 | \n", + "
2000-09-22 00:00:00-04:00 | \n", + "4.90 | \n", + "4.910 | \n", + "4.90 | \n", + "4.910 | \n", + "0.000825 | \n", + "4.904974 | \n", + "49.818768 | \n", + "
\n", + " | Open | \n", + "High | \n", + "Low | \n", + "Close | \n", + "Lorentzian | \n", + "KalmanEstimate | \n", + "RSI_14 | \n", + "
---|---|---|---|---|---|---|---|
Date | \n", + "\n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " |
2024-08-21 00:00:00-04:00 | \n", + "29.476000 | \n", + "29.476000 | \n", + "29.476000 | \n", + "29.476000 | \n", + "0.207072 | \n", + "28.524186 | \n", + "58.078138 | \n", + "
2024-08-22 00:00:00-04:00 | \n", + "29.445000 | \n", + "29.450001 | \n", + "29.000000 | \n", + "29.006001 | \n", + "0.220814 | \n", + "28.570018 | \n", + "53.387184 | \n", + "
2024-08-23 00:00:00-04:00 | \n", + "29.785999 | \n", + "29.785999 | \n", + "29.785999 | \n", + "29.785999 | \n", + "0.193158 | \n", + "28.685688 | \n", + "59.267148 | \n", + "
\n", + " | Open_Interest_All | \n", + "Pct_of_OI_Prod_Merc_Long | \n", + "Pct_of_OI_Prod_Merc_Short | \n", + "
---|---|---|---|
Date | \n", + "\n", + " | \n", + " | \n", + " |
2015-01-06 | \n", + "152879 | \n", + "13.6 | \n", + "31.2 | \n", + "
2015-01-13 | \n", + "157282 | \n", + "13.0 | \n", + "31.8 | \n", + "
2015-01-20 | \n", + "159904 | \n", + "12.7 | \n", + "33.0 | \n", + "
\n", + " | Open_Interest_All | \n", + "Pct_of_OI_Prod_Merc_Long | \n", + "Pct_of_OI_Prod_Merc_Short | \n", + "
---|---|---|---|
Date | \n", + "\n", + " | \n", + " | \n", + " |
2024-08-06 | \n", + "147537 | \n", + "3.0 | \n", + "25.4 | \n", + "
2024-08-13 | \n", + "147859 | \n", + "3.1 | \n", + "25.3 | \n", + "
2024-08-20 | \n", + "146986 | \n", + "2.5 | \n", + "26.1 | \n", + "
\n", + " | Open | \n", + "High | \n", + "Low | \n", + "Close | \n", + "Lorentzian | \n", + "KalmanEstimate | \n", + "RSI_14 | \n", + "
---|---|---|---|---|---|---|---|
Date | \n", + "\n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " |
2000-09-20 00:00:00-04:00 | \n", + "4.86 | \n", + "4.865 | \n", + "4.83 | \n", + "4.830 | \n", + "0.000976 | \n", + "4.908093 | \n", + "27.901917 | \n", + "
2000-09-21 00:00:00-04:00 | \n", + "4.90 | \n", + "4.900 | \n", + "4.87 | \n", + "4.872 | \n", + "0.000722 | \n", + "4.904411 | \n", + "40.962000 | \n", + "
2000-09-22 00:00:00-04:00 | \n", + "4.90 | \n", + "4.910 | \n", + "4.90 | \n", + "4.910 | \n", + "0.000825 | \n", + "4.904974 | \n", + "49.818768 | \n", + "
\n", + " | Open | \n", + "High | \n", + "Low | \n", + "Close | \n", + "Lorentzian | \n", + "KalmanEstimate | \n", + "RSI_14 | \n", + "
---|---|---|---|---|---|---|---|
Date | \n", + "\n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " | \n", + " |
2024-08-21 00:00:00-04:00 | \n", + "29.476000 | \n", + "29.476000 | \n", + "29.476000 | \n", + "29.476000 | \n", + "0.207072 | \n", + "28.524186 | \n", + "58.078138 | \n", + "
2024-08-22 00:00:00-04:00 | \n", + "29.445000 | \n", + "29.450001 | \n", + "29.000000 | \n", + "29.006001 | \n", + "0.220814 | \n", + "28.570018 | \n", + "53.387184 | \n", + "
2024-08-23 00:00:00-04:00 | \n", + "29.785999 | \n", + "29.785999 | \n", + "29.785999 | \n", + "29.785999 | \n", + "0.193158 | \n", + "28.685688 | \n", + "59.267148 | \n", + "
\n", + " | Open | \n", + "High | \n", + "Low | \n", + "Close | \n", + "Lorentzian | \n", + "KalmanEstimate | \n", + "RSI_14 | \n", + "Open_Interest_All | \n", + "Pct_of_OI_Prod_Merc_Long | \n", + "Pct_of_OI_Prod_Merc_Short | \n", + "
---|---|---|---|---|---|---|---|---|---|---|
2000-09-20 | \n", + "4.860 | \n", + "4.865 | \n", + "4.830 | \n", + "4.830 | \n", + "0.000976 | \n", + "4.908093 | \n", + "27.901917 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-09-21 | \n", + "4.900 | \n", + "4.900 | \n", + "4.870 | \n", + "4.872 | \n", + "0.000722 | \n", + "4.904411 | \n", + "40.962000 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-09-22 | \n", + "4.900 | \n", + "4.910 | \n", + "4.900 | \n", + "4.910 | \n", + "0.000825 | \n", + "4.904974 | \n", + "49.818768 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-09-25 | \n", + "4.900 | \n", + "4.915 | \n", + "4.860 | \n", + "4.915 | \n", + "0.000824 | \n", + "4.905973 | \n", + "50.863331 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-09-26 | \n", + "4.930 | \n", + "4.931 | \n", + "4.930 | \n", + "4.931 | \n", + "0.000827 | \n", + "4.908448 | \n", + "54.152181 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-09-27 | \n", + "4.910 | \n", + "4.968 | \n", + "4.910 | \n", + "4.968 | \n", + "0.000760 | \n", + "4.914294 | \n", + "60.702453 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-09-28 | \n", + "4.953 | \n", + "4.953 | \n", + "4.953 | \n", + "4.953 | \n", + "0.000766 | \n", + "4.918072 | \n", + "57.138412 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-09-29 | \n", + "4.870 | \n", + "4.899 | \n", + "4.870 | \n", + "4.899 | \n", + "0.000871 | \n", + "4.916219 | \n", + "46.543731 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-02 | \n", + "4.906 | \n", + "4.906 | \n", + "4.906 | \n", + "4.906 | \n", + "0.000833 | \n", + "4.915230 | \n", + "47.892531 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-03 | \n", + "4.913 | \n", + "4.913 | \n", + "4.913 | \n", + "4.913 | \n", + "0.000816 | \n", + "4.915015 | \n", + "49.270978 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-04 | \n", + "4.840 | \n", + "4.874 | \n", + "4.840 | \n", + "4.874 | \n", + "0.000923 | \n", + "4.911068 | \n", + "42.521741 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-05 | \n", + "4.889 | \n", + "4.889 | \n", + "4.889 | \n", + "4.889 | \n", + "0.000911 | \n", + "4.908949 | \n", + "45.607820 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-06 | \n", + "4.883 | \n", + "4.883 | \n", + "4.883 | \n", + "4.883 | \n", + "0.000909 | \n", + "4.906461 | \n", + "44.576808 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-09 | \n", + "4.885 | \n", + "4.885 | \n", + "4.885 | \n", + "4.885 | \n", + "0.000906 | \n", + "4.904406 | \n", + "45.023016 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-10 | \n", + "4.918 | \n", + "4.918 | \n", + "4.918 | \n", + "4.918 | \n", + "0.000783 | \n", + "4.905706 | \n", + "51.902633 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-11 | \n", + "4.870 | \n", + "4.870 | \n", + "4.870 | \n", + "4.870 | \n", + "0.000822 | \n", + "4.902295 | \n", + "43.396156 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-12 | \n", + "4.923 | \n", + "4.923 | \n", + "4.923 | \n", + "4.923 | \n", + "0.000919 | \n", + "4.904272 | \n", + "52.628172 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-13 | \n", + "4.883 | \n", + "4.883 | \n", + "4.883 | \n", + "4.883 | \n", + "0.001031 | \n", + "4.902242 | \n", + "46.468246 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-16 | \n", + "4.881 | \n", + "4.881 | \n", + "4.881 | \n", + "4.881 | \n", + "0.001013 | \n", + "4.900217 | \n", + "46.177235 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-17 | \n", + "4.843 | \n", + "4.843 | \n", + "4.843 | \n", + "4.843 | \n", + "0.001019 | \n", + "4.894764 | \n", + "40.931770 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-18 | \n", + "4.853 | \n", + "4.853 | \n", + "4.853 | \n", + "4.853 | \n", + "0.001010 | \n", + "4.890785 | \n", + "42.774064 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-19 | \n", + "4.828 | \n", + "4.828 | \n", + "4.828 | \n", + "4.828 | \n", + "0.000846 | \n", + "4.884805 | \n", + "39.460581 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-20 | \n", + "4.828 | \n", + "4.828 | \n", + "4.828 | \n", + "4.828 | \n", + "0.000843 | \n", + "4.879395 | \n", + "39.460581 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-23 | \n", + "4.786 | \n", + "4.786 | \n", + "4.786 | \n", + "4.786 | \n", + "0.000965 | \n", + "4.870503 | \n", + "34.285732 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "
2000-10-24 | \n", + "4.775 | \n", + "4.799 | \n", + "4.775 | \n", + "4.799 | \n", + "0.000869 | \n", + "4.863697 | \n", + "37.037988 | \n", + "NaN | \n", + "NaN | \n", + "NaN | \n", + "