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gsamarakoon committed Sep 20, 2019
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387 changes: 387 additions & 0 deletions Pairs trading Quantconnect.ipynb
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741 changes: 741 additions & 0 deletions Quant trading test models - ADBE vs VGT.ipynb
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272 changes: 272 additions & 0 deletions Quant trading test models - Day trading model.ipynb
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776 changes: 776 additions & 0 deletions Quant trading test models - EBAY FB Pairs trade.ipynb
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861 changes: 861 additions & 0 deletions Quant trading test models - Giliad and Novo.ipynb
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603 changes: 603 additions & 0 deletions Quant trading test models - Kalman Filter and Halflife.ipynb
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716 changes: 517 additions & 199 deletions Quant trading test models - Medtronic and Boston Sci Pairs trade.ipynb
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713 changes: 370 additions & 343 deletions Quant trading test models - Yield curve spread trading strategy.ipynb
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637 changes: 637 additions & 0 deletions Quant trading test models - pair co-integration test.ipynb
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672 changes: 672 additions & 0 deletions Quant trading test models - picking pairs and backtesting.ipynb
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422 changes: 422 additions & 0 deletions SPI200 daily prices for GEOFF.ipynb
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3,299 changes: 3,299 additions & 0 deletions nyse-listed_csv.txt
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2,520 changes: 2,520 additions & 0 deletions yahooData/testPairsTrading/AAPL_2007-12-01to2007-12-01.csv
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1,599 changes: 1,599 additions & 0 deletions yahooData/testPairsTrading/AAPL_2013-01-01to2013-01-01.csv
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1,097 changes: 1,097 additions & 0 deletions yahooData/testPairsTrading/AAPL_2015-01-01to2015-01-01.csv
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590 changes: 590 additions & 0 deletions yahooData/testPairsTrading/AAPL_2017-01-01to2017-01-01.csv
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341 changes: 341 additions & 0 deletions yahooData/testPairsTrading/AAPL_2018-01-01to2018-01-01.csv
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278 changes: 278 additions & 0 deletions yahooData/testPairsTrading/AAPL_2018-04-01to2018-04-01.csv
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108 changes: 108 additions & 0 deletions yahooData/testPairsTrading/AAPL_2018-12-01to2018-12-01.csv
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Date,Open,High,Low,Close,Adj Close,Volume
2018-11-30,180.289993,180.330002,177.029999,178.580002,177.817383,39531500
2018-12-03,184.460007,184.940002,181.210007,184.820007,184.030731,40802500
2018-12-04,180.949997,182.389999,176.270004,176.690002,175.935455,41344300
2018-12-06,171.759995,174.779999,170.419998,174.720001,173.973862,43098400
2018-12-07,173.490005,174.490005,168.300003,168.490005,167.770477,42281600
2018-12-10,165.000000,170.089996,163.330002,169.600006,168.875732,62026000
2018-12-11,171.660004,171.789993,167.000000,168.630005,167.909866,47281700
2018-12-12,170.399994,171.919998,169.020004,169.100006,168.377869,35627700
2018-12-13,170.490005,172.570007,169.550003,170.949997,170.219955,31898600
2018-12-14,169.000000,169.080002,165.279999,165.479996,164.773315,40703700
2018-12-17,165.449997,168.350006,162.729996,163.940002,163.239899,44287900
2018-12-18,165.380005,167.529999,164.389999,166.070007,165.360809,33841500
2018-12-19,166.000000,167.449997,159.089996,160.889999,160.202927,49047300
2018-12-20,160.399994,162.110001,155.300003,156.830002,156.160263,64773000
2018-12-21,156.860001,158.160004,149.630005,150.729996,150.086304,95744600
2018-12-24,148.149994,151.550003,146.589996,146.830002,146.202972,37169200
2018-12-26,148.300003,157.229996,146.720001,157.169998,156.498810,58582500
2018-12-27,155.839996,156.770004,150.070007,156.149994,155.483154,53117100
2018-12-28,157.500000,158.520004,154.550003,156.229996,155.562820,42291400
2018-12-31,158.529999,159.360001,156.479996,157.740005,157.066376,35003500
2019-01-02,154.889999,158.850006,154.229996,157.919998,157.245605,37039700
2019-01-03,143.979996,145.720001,142.000000,142.190002,141.582779,91244100
2019-01-04,144.529999,148.550003,143.800003,148.259995,147.626846,58607100
2019-01-07,148.699997,148.830002,145.899994,147.929993,147.298264,54777800
2019-01-08,149.559998,151.820007,148.520004,150.750000,150.106216,41025300
2019-01-09,151.289993,154.529999,149.630005,153.309998,152.655289,45099100
2019-01-10,152.500000,153.970001,150.860001,153.800003,153.143204,35780700
2019-01-11,152.880005,153.699997,151.509995,152.289993,151.639633,27023200
2019-01-14,150.850006,151.270004,149.220001,150.000000,149.359421,32439200
2019-01-15,150.270004,153.389999,150.050003,153.070007,152.416321,28710900
2019-01-16,153.080002,155.880005,153.000000,154.940002,154.278336,30569700
2019-01-17,154.199997,157.660004,153.259995,155.860001,155.194397,29821200
2019-01-18,157.500000,157.880005,155.979996,156.820007,156.150314,33751000
2019-01-22,156.410004,156.729996,152.619995,153.300003,152.645340,30394000
2019-01-23,154.149994,155.139999,151.699997,153.919998,153.262680,23130600
2019-01-24,154.110001,154.479996,151.740005,152.699997,152.047897,25441500
2019-01-25,155.479996,158.130005,154.320007,157.759995,157.086288,33535500
2019-01-28,155.789993,156.330002,153.660004,156.300003,155.632523,26192100
2019-01-29,156.250000,158.130005,154.110001,154.679993,154.019440,41587200
2019-01-30,163.250000,166.149994,160.229996,165.250000,164.544296,61109800
2019-01-31,166.110001,169.000000,164.559998,166.440002,165.729218,40739600
2019-02-01,166.960007,168.979996,165.929993,166.520004,165.808884,32668100
2019-02-04,167.410004,171.660004,167.279999,171.250000,170.518677,31495500
2019-02-05,172.860001,175.080002,172.350006,174.179993,173.436157,36101600
2019-02-06,174.649994,175.570007,172.850006,174.240005,173.495911,28239600
2019-02-07,172.399994,173.940002,170.339996,170.940002,170.210007,31741700
2019-02-08,168.990005,170.660004,168.419998,170.410004,170.410004,23820000
2019-02-11,171.050003,171.210007,169.250000,169.429993,169.429993,20993400
2019-02-12,170.100006,171.000000,169.699997,170.889999,170.889999,22283500
2019-02-13,171.389999,172.479996,169.919998,170.179993,170.179993,22490200
2019-02-14,169.710007,171.259995,169.380005,170.800003,170.800003,21835700
2019-02-15,171.250000,171.699997,169.750000,170.419998,170.419998,24626800
2019-02-19,169.710007,171.440002,169.490005,170.929993,170.929993,18972800
2019-02-20,171.190002,173.320007,170.990005,172.029999,172.029999,26114400
2019-02-21,171.800003,172.369995,170.300003,171.059998,171.059998,17249700
2019-02-22,171.580002,173.000000,171.380005,172.970001,172.970001,18913200
2019-02-25,174.160004,175.869995,173.949997,174.229996,174.229996,21873400
2019-02-26,173.710007,175.300003,173.169998,174.330002,174.330002,17070200
2019-02-27,173.210007,175.000000,172.729996,174.869995,174.869995,27835400
2019-02-28,174.320007,174.910004,172.919998,173.149994,173.149994,28215400
2019-03-01,174.279999,175.149994,172.889999,174.970001,174.970001,25886200
2019-03-04,175.690002,177.750000,173.970001,175.850006,175.850006,27436200
2019-03-05,175.940002,176.000000,174.539993,175.529999,175.529999,19737400
2019-03-06,174.669998,175.490005,173.940002,174.520004,174.520004,20810400
2019-03-07,173.869995,174.440002,172.020004,172.500000,172.500000,24760900
2019-03-08,170.320007,173.070007,169.500000,172.910004,172.910004,23999400
2019-03-11,175.490005,179.119995,175.350006,178.899994,178.899994,32011000
2019-03-12,180.000000,182.669998,179.369995,180.910004,180.910004,32467600
2019-03-13,182.250000,183.300003,180.919998,181.710007,181.710007,31032500
2019-03-14,183.899994,184.100006,182.559998,183.729996,183.729996,23579500
2019-03-15,184.850006,187.330002,183.740005,186.119995,186.119995,39042900
2019-03-18,185.800003,188.389999,185.789993,188.020004,188.020004,26219800
2019-03-19,188.350006,188.990005,185.919998,186.529999,186.529999,31646400
2019-03-20,186.229996,189.490005,184.729996,188.160004,188.160004,31035200
2019-03-21,190.020004,196.330002,189.809998,195.089996,195.089996,51034200
2019-03-22,195.339996,197.690002,190.779999,191.050003,191.050003,42407700
2019-03-25,191.509995,191.979996,186.600006,188.740005,188.740005,43845300
2019-03-26,191.660004,192.880005,184.580002,186.789993,186.789993,49800500
2019-03-27,188.750000,189.759995,186.550003,188.470001,188.470001,29848400
2019-03-28,188.949997,189.559998,187.529999,188.720001,188.720001,20780400
2019-03-29,189.830002,190.080002,188.539993,189.949997,189.949997,23564000
2019-04-01,191.639999,191.679993,188.380005,191.240005,191.240005,27862000
2019-04-02,191.089996,194.460007,191.050003,194.020004,194.020004,22765700
2019-04-03,193.250000,196.500000,193.149994,195.350006,195.350006,23271800
2019-04-04,194.789993,196.369995,193.139999,195.690002,195.690002,19114300
2019-04-05,196.449997,197.100006,195.929993,197.000000,197.000000,18526600
2019-04-08,196.419998,200.229996,196.339996,200.100006,200.100006,25881700
2019-04-09,200.320007,202.850006,199.229996,199.500000,199.500000,35768200
2019-04-10,198.679993,200.740005,198.179993,200.619995,200.619995,21695300
2019-04-11,200.850006,201.000000,198.440002,198.949997,198.949997,20900800
2019-04-12,199.199997,200.139999,196.210007,198.869995,198.869995,27760700
2019-04-15,198.580002,199.850006,198.009995,199.229996,199.229996,17536600
2019-04-16,199.460007,201.369995,198.559998,199.250000,199.250000,25696400
2019-04-17,199.539993,203.380005,198.610001,203.130005,203.130005,28906800
2019-04-18,203.119995,204.149994,202.520004,203.860001,203.860001,24195800
2019-04-22,202.830002,204.940002,202.339996,204.529999,204.529999,19439500
2019-04-23,204.429993,207.750000,203.899994,207.479996,207.479996,23323000
2019-04-24,207.360001,208.479996,207.050003,207.160004,207.160004,17540600
2019-04-25,206.830002,207.759995,205.119995,205.279999,205.279999,18543200
2019-04-26,204.899994,205.000000,202.119995,204.300003,204.300003,18649100
2019-04-29,204.399994,205.970001,203.860001,204.610001,204.610001,22204700
2019-04-30,203.059998,203.399994,199.110001,200.669998,200.669998,46534900
2019-05-01,209.880005,215.309998,209.229996,210.520004,210.520004,64827300
2019-05-02,209.839996,212.649994,208.130005,209.149994,209.149994,31996300
2019-05-03,210.889999,211.839996,210.229996,211.750000,211.750000,20892400
2019-05-06,204.289993,208.839996,203.500000,208.479996,208.479996,32443100
2019-05-07,205.880005,207.419998,200.830002,202.860001,202.860001,38705800
89 changes: 89 additions & 0 deletions yahooData/testPairsTrading/AAPL_2019-01-01to2019-01-01.csv
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Date,Open,High,Low,Close,Adj Close,Volume
2018-12-31,158.529999,159.360001,156.479996,157.740005,157.066376,35003500
2019-01-02,154.889999,158.850006,154.229996,157.919998,157.245605,37039700
2019-01-03,143.979996,145.720001,142.000000,142.190002,141.582779,91244100
2019-01-04,144.529999,148.550003,143.800003,148.259995,147.626846,58607100
2019-01-07,148.699997,148.830002,145.899994,147.929993,147.298264,54777800
2019-01-08,149.559998,151.820007,148.520004,150.750000,150.106216,41025300
2019-01-09,151.289993,154.529999,149.630005,153.309998,152.655289,45099100
2019-01-10,152.500000,153.970001,150.860001,153.800003,153.143204,35780700
2019-01-11,152.880005,153.699997,151.509995,152.289993,151.639633,27023200
2019-01-14,150.850006,151.270004,149.220001,150.000000,149.359421,32439200
2019-01-15,150.270004,153.389999,150.050003,153.070007,152.416321,28710900
2019-01-16,153.080002,155.880005,153.000000,154.940002,154.278336,30569700
2019-01-17,154.199997,157.660004,153.259995,155.860001,155.194397,29821200
2019-01-18,157.500000,157.880005,155.979996,156.820007,156.150314,33751000
2019-01-22,156.410004,156.729996,152.619995,153.300003,152.645340,30394000
2019-01-23,154.149994,155.139999,151.699997,153.919998,153.262680,23130600
2019-01-24,154.110001,154.479996,151.740005,152.699997,152.047897,25441500
2019-01-25,155.479996,158.130005,154.320007,157.759995,157.086288,33535500
2019-01-28,155.789993,156.330002,153.660004,156.300003,155.632523,26192100
2019-01-29,156.250000,158.130005,154.110001,154.679993,154.019440,41587200
2019-01-30,163.250000,166.149994,160.229996,165.250000,164.544296,61109800
2019-01-31,166.110001,169.000000,164.559998,166.440002,165.729218,40739600
2019-02-01,166.960007,168.979996,165.929993,166.520004,165.808884,32668100
2019-02-04,167.410004,171.660004,167.279999,171.250000,170.518677,31495500
2019-02-05,172.860001,175.080002,172.350006,174.179993,173.436157,36101600
2019-02-06,174.649994,175.570007,172.850006,174.240005,173.495911,28239600
2019-02-07,172.399994,173.940002,170.339996,170.940002,170.210007,31741700
2019-02-08,168.990005,170.660004,168.419998,170.410004,170.410004,23820000
2019-02-11,171.050003,171.210007,169.250000,169.429993,169.429993,20993400
2019-02-12,170.100006,171.000000,169.699997,170.889999,170.889999,22283500
2019-02-13,171.389999,172.479996,169.919998,170.179993,170.179993,22490200
2019-02-14,169.710007,171.259995,169.380005,170.800003,170.800003,21835700
2019-02-15,171.250000,171.699997,169.750000,170.419998,170.419998,24626800
2019-02-19,169.710007,171.440002,169.490005,170.929993,170.929993,18972800
2019-02-20,171.190002,173.320007,170.990005,172.029999,172.029999,26114400
2019-02-21,171.800003,172.369995,170.300003,171.059998,171.059998,17249700
2019-02-22,171.580002,173.000000,171.380005,172.970001,172.970001,18913200
2019-02-25,174.160004,175.869995,173.949997,174.229996,174.229996,21873400
2019-02-26,173.710007,175.300003,173.169998,174.330002,174.330002,17070200
2019-02-27,173.210007,175.000000,172.729996,174.869995,174.869995,27835400
2019-02-28,174.320007,174.910004,172.919998,173.149994,173.149994,28215400
2019-03-01,174.279999,175.149994,172.889999,174.970001,174.970001,25886200
2019-03-04,175.690002,177.750000,173.970001,175.850006,175.850006,27436200
2019-03-05,175.940002,176.000000,174.539993,175.529999,175.529999,19737400
2019-03-06,174.669998,175.490005,173.940002,174.520004,174.520004,20810400
2019-03-07,173.869995,174.440002,172.020004,172.500000,172.500000,24760900
2019-03-08,170.320007,173.070007,169.500000,172.910004,172.910004,23999400
2019-03-11,175.490005,179.119995,175.350006,178.899994,178.899994,32011000
2019-03-12,180.000000,182.669998,179.369995,180.910004,180.910004,32467600
2019-03-13,182.250000,183.300003,180.919998,181.710007,181.710007,31032500
2019-03-14,183.899994,184.100006,182.559998,183.729996,183.729996,23579500
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2019-03-18,185.800003,188.389999,185.789993,188.020004,188.020004,26219800
2019-03-19,188.350006,188.990005,185.919998,186.529999,186.529999,31646400
2019-03-20,186.229996,189.490005,184.729996,188.160004,188.160004,31035200
2019-03-21,190.020004,196.330002,189.809998,195.089996,195.089996,51034200
2019-03-22,195.339996,197.690002,190.779999,191.050003,191.050003,42407700
2019-03-25,191.509995,191.979996,186.600006,188.740005,188.740005,43845300
2019-03-26,191.660004,192.880005,184.580002,186.789993,186.789993,49800500
2019-03-27,188.750000,189.759995,186.550003,188.470001,188.470001,29848400
2019-03-28,188.949997,189.559998,187.529999,188.720001,188.720001,20780400
2019-03-29,189.830002,190.080002,188.539993,189.949997,189.949997,23564000
2019-04-01,191.639999,191.679993,188.380005,191.240005,191.240005,27862000
2019-04-02,191.089996,194.460007,191.050003,194.020004,194.020004,22765700
2019-04-03,193.250000,196.500000,193.149994,195.350006,195.350006,23271800
2019-04-04,194.789993,196.369995,193.139999,195.690002,195.690002,19114300
2019-04-05,196.449997,197.100006,195.929993,197.000000,197.000000,18526600
2019-04-08,196.419998,200.229996,196.339996,200.100006,200.100006,25881700
2019-04-09,200.320007,202.850006,199.229996,199.500000,199.500000,35768200
2019-04-10,198.679993,200.740005,198.179993,200.619995,200.619995,21695300
2019-04-11,200.850006,201.000000,198.440002,198.949997,198.949997,20900800
2019-04-12,199.199997,200.139999,196.210007,198.869995,198.869995,27760700
2019-04-15,198.580002,199.850006,198.009995,199.229996,199.229996,17536600
2019-04-16,199.460007,201.369995,198.559998,199.250000,199.250000,25696400
2019-04-17,199.539993,203.380005,198.610001,203.130005,203.130005,28906800
2019-04-18,203.119995,204.149994,202.520004,203.860001,203.860001,24195800
2019-04-22,202.830002,204.940002,202.339996,204.529999,204.529999,19439500
2019-04-23,204.429993,207.750000,203.899994,207.479996,207.479996,23323000
2019-04-24,207.360001,208.479996,207.050003,207.160004,207.160004,17540600
2019-04-25,206.830002,207.759995,205.119995,205.279999,205.279999,18543200
2019-04-26,204.899994,205.000000,202.119995,204.300003,204.300003,18649100
2019-04-29,204.399994,205.970001,203.860001,204.610001,204.610001,22204700
2019-04-30,203.059998,203.399994,199.110001,200.669998,200.669998,46534900
2019-05-01,209.880005,215.309998,209.229996,210.520004,210.520004,64827300
2019-05-02,209.839996,212.649994,208.130005,209.149994,209.149994,31996300
2019-05-03,210.889999,211.839996,210.229996,211.750000,211.750000,20892400
2019-05-06,204.289993,208.839996,203.500000,208.479996,208.479996,32443100
2019-05-07,205.880005,207.419998,200.830002,202.860001,202.860001,38705800
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