oliver oliveagle
oliveagle
/ VECM_example.ipynb
Created
June 3, 2022 14:26
— forked from yogabonito/VECM_example.ipynb
VECM example
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| Symbol | Trade | Date | Price | Ex. date | Ex. Price | % chg | Profit | % Profit | Cum. Profit | # bars | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| SPY | Long | 2/16/1993 | 25.1507 | 2/18/1993 | 25.1145 | -0.14% | -9.4 | -0.19% | -9.4 | 3 | |
| SPY | Long | 4/2/1993 | 25.6326 | 4/12/1993 | 26.1049 | 1.84% | 89.92 | 1.80% | 80.52 | 6 | |
| SPY | Long | 4/22/1993 | 25.5418 | 4/27/1993 | 25.5054 | -0.14% | -9.33 | -0.19% | 71.19 | 4 | |
| SPY | Long | 6/8/1993 | 25.9959 | 6/11/1993 | 26.2139 | 0.84% | 39.76 | 0.79% | 110.95 | 4 | |
| SPY | Long | 6/23/1993 | 25.8869 | 6/24/1993 | 26.2345 | 1.34% | 65.01 | 1.30% | 175.96 | 2 | |
| SPY | Long | 7/6/1993 | 25.8869 | 7/8/1993 | 26.2528 | 1.41% | 68.6 | 1.37% | 244.56 | 3 | |
| SPY | Long | 7/22/1993 | 26.0516 | 7/23/1993 | 26.1796 | 0.49% | 22.43 | 0.45% | 266.99 | 2 | |
| SPY | Long | 11/4/1993 | 27.0047 | 11/5/1993 | 27.1336 | 0.48% | 21.73 | 0.43% | 288.72 | 2 | |
| SPY | Long | 1/3/1994 | 27.5598 | 1/4/1994 | 27.671 | 0.40% | 18.03 | 0.36% | 306.75 | 2 |
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