From 0ba29ffe198fee16d4564752fa8652f00adca7ec Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Mon, 13 May 2024 18:05:35 +0400 Subject: [PATCH] [auto commit] sp500_daily reconciliation & execution on 2024-05-13 --- .../sp500_daily_initial_holdings.json | 574 ++++++++++++++++-- .../sp500_daily_target_weights.json | 506 +++++++++++++++ 2 files changed, 1046 insertions(+), 34 deletions(-) diff --git a/examples/strategies/sp500_daily_initial_holdings.json b/examples/strategies/sp500_daily_initial_holdings.json index cef9e9a1..27a2387e 100644 --- a/examples/strategies/sp500_daily_initial_holdings.json +++ b/examples/strategies/sp500_daily_initial_holdings.json @@ -46042,7 +46042,7 @@ "2024-05-10 13:30:00+00:00": { "A": 0.0, "AAL": 758.4014818347337, - "AAPL": 48676.989359033214, + "AAPL": 48737.73882795348, "ABBV": 2.385012052386295, "ABNB": 0.0, "ABT": 2725.039449574427, @@ -46052,13 +46052,13 @@ "ADI": 0.0, "ADM": 0.0, "ADP": 0.0, - "ADSK": 864.4226857277322, + "ADSK": 864.1469867791137, "AEE": 0.0, "AEP": 0.0, "AES": 0.0, "AFL": 3183.0210976224676, "AIG": 0.0, - "AIZ": 1.5214409724370472, + "AIZ": 1.5274660343235684, "AJG": 0.0, "AKAM": 0.0, "ALB": 0.0, @@ -46067,12 +46067,12 @@ "ALLE": 0.0, "AMAT": 2015.7269001532652, "AMCR": 0.0, - "AMD": 23811.28157553777, + "AMD": 23811.743137030964, "AME": 0.0, "AMGN": 6364.650210412207, "AMP": 1303.8599050227706, "AMT": -0.14806926448986663, - "AMZN": 33309.03789042856, + "AMZN": 33323.1313111822, "ANET": 1137.2395627353162, "ANSS": 972.7319028178333, "AON": 2038.2212285398355, @@ -46127,7 +46127,7 @@ "CCL": 0.0, "CDNS": 0.0, "CDW": 835.4547263078546, - "CE": -3.1217636201904595e-14, + "CE": -3.1233108064658156e-14, "CEG": 40276.56500831538, "CF": 8410.329573639074, "CFG": 0.0, @@ -46139,14 +46139,14 @@ "CL": 9.251468181367676, "CLX": 15.810325592222254, "CMA": 0.0, - "CMCSA": 5342.939262637725, - "CME": 3449.554413566161, + "CMCSA": 5344.331870141121, + "CME": 3463.178058502405, "CMG": 6405.577590975527, "CMI": 0.0, "CMS": 0.0, "CNC": 771.3487552893137, "CNP": 0.0, - "COF": 7089.999152419556, + "COF": 7107.987763549602, "COO": 0.0, "COP": 0.0, "COR": 679.4645942849486, @@ -46167,7 +46167,7 @@ "CTVA": 115.35880704560088, "CVS": 0.0, "CVX": -5.953318393635101e-13, - "CZR": 8531.706733912957, + "CZR": 8538.564740060581, "D": 0.0, "DAL": 922.7082334150346, "DAY": 0.0, @@ -46186,7 +46186,7 @@ "DOV": 0.0, "DOW": 0.0, "DPZ": 7.013388046243519, - "DRI": 2.442212300048441, + "DRI": 2.4480303590040027, "DTE": 0.0, "DUK": 1.1588770546773495, "DVA": 2191.3819268224656, @@ -46203,7 +46203,7 @@ "ELV": 0.0, "EMN": 0.0, "EMR": 0.0, - "ENPH": 1637.287080471915, + "ENPH": 1645.8813275220953, "EOG": 0.0, "EPAM": 715.1960643268495, "EQIX": 1521.0999755859375, @@ -46224,12 +46224,12 @@ "FANG": 13408.894714300797, "FAST": 2633.518296953764, "FCX": 0.0, - "FDS": 4764.537774552281, + "FDS": 4791.858624444997, "FDX": 4945.920570798846, "FE": 0.0, "FFIV": 3392.3156378111303, "FI": 2.4957128936213563e-13, - "FICO": 1225.531678609002, + "FICO": 1231.4555902047273, "FIS": 0.0, "FITB": 0.0, "FMC": 0.0, @@ -46251,7 +46251,7 @@ "GM": 0.0, "GNRC": 0.0, "GOOG": 4679.637211968851, - "GOOGL": -18.687558551324752, + "GOOGL": -18.700913418392883, "GPC": 0.0, "GPN": -1.1665600463777912e-13, "GRMN": 1688.3437223183028, @@ -46264,7 +46264,7 @@ "HD": 9870.396898465191, "HES": 0.0, "HIG": 5629.027364373527, - "HII": 0.6856063136027376, + "HII": 0.6874639351090996, "HLT": -1.27738851014594e-13, "HOLX": 2158.4505668949673, "HON": 0.0, @@ -46284,7 +46284,7 @@ "IFF": 0.0, "ILMN": 438.43720340105983, "INCY": 2264.897484738722, - "INTC": 209.46760938017945, + "INTC": 209.938297505577, "INTU": 608.2449908571867, "INVH": 0.0, "IP": 0.0, @@ -46327,7 +46327,7 @@ "LLY": 1.3704618413524903, "LMT": 5651.921046390713, "LNT": 0.0, - "LOW": -2.779454210454926e-13, + "LOW": -2.775216692174669e-13, "LRCX": 2698.620329174209, "LULU": 1047.8200694885077, "LUV": 27.32745481858505, @@ -46346,7 +46346,7 @@ "MDLZ": 0.0, "MDT": 1.350373701961191, "MET": -0.034873927852796124, - "META": 19423.678692970247, + "META": 19424.492536165166, "MGM": 3876.809292569737, "MHK": 0.0, "MKC": 0.0, @@ -46365,12 +46365,12 @@ "MRO": 0.0, "MS": 6205.971073690608, "MSCI": 9579.37474249885, - "MSFT": 31065.65787153724, + "MSFT": 31061.89772308126, "MSI": 0.0, "MTB": 1823.0932479763558, "MTCH": 0.0, "MTD": 0.0, - "MU": 4590.216172896817, + "MU": 4590.598677003755, "NCLH": 0.0, "NDAQ": 0.0, "NDSN": 0.0, @@ -46380,13 +46380,13 @@ "NI": 0.0, "NKE": -3.79869881770759e-14, "NOC": -4.239463560360144e-13, - "NOW": 2808.1224043900393, + "NOW": 2816.124071579212, "NRG": 0.0, "NSC": -2.7255164391570262e-14, - "NTAP": 5574.704995815778, + "NTAP": 5565.755856776383, "NTRS": 0.0, "NUE": 0.0, - "NVDA": 107730.10396292894, + "NVDA": 107716.9847662079, "NVR": 0.0, "NWS": 0.0, "NWSA": 0.0, @@ -46410,17 +46410,17 @@ "PEP": 10140.778696546915, "PFE": 0.0, "PFG": 166.9617158834106, - "PG": 1.052402578557891, + "PG": 1.0527195102775586, "PGR": 6493.292673008232, "PH": 0.0, "PHM": -11.248707620039108, - "PKG": -4.67275244950643e-13, + "PKG": -4.681301162349653e-13, "PLD": 0.0, "PM": 0.0, "PNC": 0.0, "PNR": 0.0, "PNW": 0.0, - "PODD": 2454.627220321414, + "PODD": 2488.283994548814, "POOL": 2191.9756645142734, "PPG": -0.43096470378650464, "PPL": 0.0, @@ -46440,7 +46440,7 @@ "RJF": 0.0, "RL": 0.0, "RMD": -27.15240607708467, - "ROK": 1.1940387035607318, + "ROK": 1.1995820587304664, "ROL": 0.0, "ROP": 5681.234238063308, "ROST": 795.8561520872053, @@ -46485,12 +46485,12 @@ "TMO": 0.0, "TMUS": 7891.832776235383, "TPR": 2820.901251810266, - "TRGP": 120.9275262256524, + "TRGP": 121.24690846069805, "TRMB": 0.0, "TROW": 0.0, "TRV": 0.0, "TSCO": -2.8307640852872186e-12, - "TSLA": 101521.6377311733, + "TSLA": 101545.11460032925, "TSN": 4520.606019510496, "TT": 0.0, "TTWO": 715.0673294703752, @@ -46507,15 +46507,15 @@ "UPS": 0.0, "URI": 0.0, "USB": 0.0, - "USDOLLAR": -1005.0875992501684, + "USDOLLAR": -1005.0875345500567, "V": 1933.337393613168, "VICI": 0.0, "VLO": 0.0, "VLTO": 5948.982938592783, "VMC": 0.0, "VRSK": 0.0, - "VRSN": 2034.8877546660467, - "VRTX": 2075.539495366355, + "VRSN": 2032.6123683340038, + "VRTX": 2076.8725976731253, "VST": 0.0, "VTR": 0.0, "VTRS": 0.0, @@ -46524,7 +46524,7 @@ "WAT": -2.319658283573366e-13, "WBA": 0.0, "WBD": 0.0, - "WDC": -2.972943288237853, + "WDC": -2.972127131060746, "WEC": 0.0, "WELL": 0.0, "WFC": 0.0, @@ -46544,5 +46544,511 @@ "ZBH": 0.0, "ZBRA": 0.0, "ZTS": 0.0 + }, + "2024-05-13 13:30:00+00:00": { + "A": 0.0, + "AAL": 758.4014818347337, + "AAPL": 49249.6302920626, + "ABBV": 2.3934710026011032, + "ABNB": 0.0, + "ABT": 2737.817090808677, + "ACGL": 0.0, + "ACN": -1.5013069314728561e-13, + "ADBE": 9029.301400929997, + "ADI": 0.0, + "ADM": 0.0, + "ADP": 0.0, + "ADSK": 865.5647211502464, + "AEE": 0.0, + "AEP": 0.0, + "AES": 0.0, + "AFL": 3195.2706928469706, + "AIG": 0.0, + "AIZ": 1.4967470366240068, + "AJG": 0.0, + "AKAM": 457.3500061035157, + "ALB": 0.0, + "ALGN": 2418.466150856249, + "ALL": 6.745698052823342e-14, + "ALLE": 0.0, + "AMAT": 2012.541107249844, + "AMCR": 0.0, + "AMD": 23195.927399321845, + "AME": 0.0, + "AMGN": 6349.597083069933, + "AMP": 1310.5551856433124, + "AMT": -0.1471878520756331, + "AMZN": 33118.78074232214, + "ANET": 1184.8507999818125, + "ANSS": 982.5332429197913, + "AON": 2053.893345456885, + "AOS": 0.0, + "APA": 0.0, + "APD": 0.0, + "APH": -39.4926423794529, + "APTV": 2.8410557593469254e-14, + "ARE": 0.0, + "ATO": 0.0, + "AVB": 0.0, + "AVGO": 15620.03613470204, + "AVY": 0.0, + "AWK": 0.0, + "AXON": 4165.708232191308, + "AXP": 0.0, + "AZO": 1.7464559614669719e-12, + "BA": -1.068106418955836e-12, + "BAC": 0.0, + "BALL": 0.0, + "BAX": 0.0, + "BBWI": 0.0, + "BBY": 360.178224017058, + "BDX": 0.0, + "BEN": 189.17131698083148, + "BF-B": 0.0, + "BG": 106.54000091552736, + "BIIB": 1757.2003692853693, + "BIO": 0.0, + "BK": 0.0, + "BKNG": 3551.5555054833685, + "BKR": 0.0, + "BLDR": 1380.711696319373, + "BLK": 9.055591288614892e-13, + "BMY": 89.3510711958042, + "BR": 0.0, + "BRK-B": 0.0, + "BRO": 0.288580150439823, + "BSX": 0.0, + "BWA": 0.0, + "BX": 2213.5369909064984, + "BXP": 0.0, + "C": 0.0, + "CAG": 0.0, + "CAH": 0.0, + "CARR": 19302.584553721477, + "CAT": 0.0, + "CB": 3853.0436433308837, + "CBOE": 0.0, + "CBRE": 4316.281946635634, + "CCI": 887.222605669367, + "CCL": 0.0, + "CDNS": 0.0, + "CDW": 611.2476553316236, + "CE": -3.0676132809353975e-14, + "CEG": 37029.65879498993, + "CF": 8375.399487142331, + "CFG": 0.0, + "CHD": 3131.3748683142494, + "CHRW": 0.0, + "CHTR": 6332.998119082848, + "CI": 4.038058387007092e-13, + "CINF": 0.01464267085731559, + "CL": 9.321109126660842, + "CLX": 16.052012502631126, + "CMA": 0.0, + "CMCSA": 5512.866069698351, + "CME": 2757.2876734702354, + "CMG": 3156.6848945323472, + "CMI": 0.0, + "CMS": 0.0, + "CNC": 771.9447506689954, + "CNP": 0.0, + "COF": 7477.196312939536, + "COO": 0.0, + "COP": 0.0, + "COR": 230.94316609115626, + "COST": 0.0, + "CPAY": 0.0, + "CPB": 0.0, + "CPRT": 757.5071758538742, + "CPT": 0.0, + "CRL": 0.0, + "CRM": 7274.050030559086, + "CSCO": 6272.599425832725, + "CSGP": -9.076928293291148e-14, + "CSX": 0.0, + "CTAS": 0.0, + "CTLT": 0.0, + "CTRA": 0.0, + "CTSH": 10110.784477365312, + "CTVA": 114.32455476162183, + "CVS": 0.0, + "CVX": -5.96909456042375e-13, + "CZR": 8609.171603875015, + "D": 0.0, + "DAL": 764.0024671996918, + "DAY": 0.0, + "DD": 0.0, + "DE": 1.1454665222668813e-13, + "DECK": 837.0891180325502, + "DFS": 1832.098093589396, + "DG": 0.0, + "DGX": 0.0, + "DHI": -6.770293703954292, + "DHR": 2769.312830682778, + "DIS": -4.671716844963992, + "DLR": 2.860974929281163e-14, + "DLTR": -3.2654624338637612, + "DOC": 0.0, + "DOV": 0.0, + "DOW": 0.0, + "DPZ": 6.9993531996406135, + "DRI": 2.4698061022010056, + "DTE": 0.0, + "DUK": 1.150030654512341, + "DVA": 2176.347579132989, + "DVN": 0.0, + "DXCM": 5448.9146694785695, + "EA": 3540.989578615031, + "EBAY": 0.0, + "ECL": 0.0, + "ED": 0.0, + "EFX": 0.0, + "EG": 5.677444494350378e-14, + "EIX": 0.0, + "EL": 0.0, + "ELV": 0.0, + "EMN": 0.0, + "EMR": 0.0, + "ENPH": 1257.1749602730702, + "EOG": 0.0, + "EPAM": 723.0914580273645, + "EQIX": 1537.2199707031257, + "EQR": 0.0, + "EQT": 0.0, + "ES": 0.0, + "ESS": 0.0, + "ETN": 0.0, + "ETR": 0.0, + "ETSY": 0.0, + "EVRG": 0.0, + "EW": 0.0, + "EXC": 0.0, + "EXPD": -1.0622830350183152, + "EXPE": 1246.8499832153318, + "EXR": 5.1420890542393484e-14, + "F": 0.0, + "FANG": 13126.327762197821, + "FAST": 2917.1883643327956, + "FCX": 0.0, + "FDS": 4811.420112843522, + "FDX": 5015.18560581542, + "FE": 0.0, + "FFIV": 3748.8831240143486, + "FI": 2.4872000557688135e-13, + "FICO": 1267.6659270890664, + "FIS": 0.0, + "FITB": 0.0, + "FMC": 0.0, + "FOX": 0.0, + "FOXA": 0.0, + "FRT": 0.0, + "FSLR": -6.288736438616527e-14, + "FTNT": 4692.629251583028, + "FTV": 0.0, + "GD": 3.900623170678005e-13, + "GE": 0.0, + "GEHC": 7168.722600720738, + "GEN": 0.0, + "GEV": 41374.77513410635, + "GILD": 7218.556903400143, + "GIS": 6241.6497171303035, + "GL": 0.2897561142672358, + "GLW": 0.0, + "GM": 0.0, + "GNRC": 0.0, + "GOOG": 4407.809562424272, + "GOOGL": -18.270201973163473, + "GPC": 0.0, + "GPN": -1.1470843705526433e-13, + "GRMN": 1684.1624540404787, + "GS": 0.0, + "GWW": 0.0, + "HAL": 0.0, + "HAS": 1.0943956945967628, + "HBAN": 0.0, + "HCA": 10630.481885276065, + "HD": 8843.261453446246, + "HES": 0.0, + "HIG": 5625.158633852502, + "HII": 0.69186217624546, + "HLT": -1.301277183290104e-13, + "HOLX": 2521.8947144236995, + "HON": 0.0, + "HPE": 0.0, + "HPQ": 0.0, + "HRL": 0.0, + "HSIC": 0.0, + "HST": 0.0, + "HSY": 7453.879302263373, + "HUBB": 1.420327945789697e-13, + "HUM": -6.420704009626473, + "HWM": 1426.674010540024, + "IBM": 0.0, + "ICE": 663.6113518771848, + "IDXX": 502.9204380855756, + "IEX": 0.0, + "IFF": 0.0, + "ILMN": 547.8615918517763, + "INCY": 2536.9264671228348, + "INTC": 207.89636496561818, + "INTU": 617.5051073756401, + "INVH": 0.0, + "IP": 0.0, + "IPG": 0.0, + "IQV": 0.0, + "IR": 0.04231440370322745, + "IRM": 0.0, + "ISRG": 6514.204739889906, + "IT": 7.216772029922748e-13, + "ITW": 0.0, + "IVZ": 0.0, + "J": 0.0, + "JBHT": 0.0, + "JBL": 2638.1713894536856, + "JCI": 0.0, + "JKHY": 1012.7203225056306, + "JNJ": 12617.206050859657, + "JNPR": 0.0, + "JPM": 1225.6073667509027, + "K": 499.5043266534168, + "KDP": 0.0, + "KEY": 0.0, + "KEYS": 0.0, + "KHC": 0.0, + "KIM": 0.0, + "KLAC": -17.507535662003118, + "KMB": 7054.590817382975, + "KMI": 0.0, + "KMX": 0.0, + "KO": 190.41006733669394, + "KR": 0.0, + "KVUE": 0.0, + "L": -0.21348861120391993, + "LDOS": 0.0, + "LEN": 0.0, + "LH": 0.0, + "LHX": 0.0, + "LIN": 1.6025917299033907, + "LKQ": 4885.115927904627, + "LLY": 1.345638320903716, + "LMT": 5192.645984190405, + "LNT": 0.0, + "LOW": -2.7814552358082234e-13, + "LRCX": 2705.6734403787814, + "LULU": 697.8147578733473, + "LUV": 27.35745271141784, + "LVS": 1736.3855149277033, + "LW": 31.029977068834928, + "LYB": 3871.664882812162, + "LYV": 2853.605881373022, + "MA": 27122.4527016278, + "MAA": 0.0, + "MAR": -5.92189680985825e-13, + "MAS": 0.0, + "MCD": 10460.40800326193, + "MCHP": 1920.254368091222, + "MCK": 0.0, + "MCO": 0.0, + "MDLZ": 0.0, + "MDT": 1.352000633403231, + "MET": -0.034912278067013185, + "META": 18287.19241537471, + "MGM": 3900.5409850163896, + "MHK": 0.0, + "MKC": 0.0, + "MKTX": 6759.420145877721, + "MLM": 0.0, + "MMC": 0.0, + "MMM": 0.0, + "MNST": 4608.442934067162, + "MO": -19.673912386269667, + "MOH": -2.006455861725318, + "MOS": 0.0, + "MPC": 13580.70095992721, + "MPWR": -7.997193214192882e-13, + "MRK": 5188.049987862069, + "MRNA": 7176.134419189048, + "MRO": 0.0, + "MS": 5910.3497243839865, + "MSCI": 10155.528019870482, + "MSFT": 31050.345914128196, + "MSI": 0.0, + "MTB": 1835.5769672911522, + "MTCH": 0.0, + "MTD": 0.0, + "MU": 4579.305952402616, + "NCLH": 0.0, + "NDAQ": 0.0, + "NDSN": 0.0, + "NEE": 0.0, + "NEM": 0.0, + "NFLX": 14635.506239634513, + "NI": 0.0, + "NKE": -3.725230788407031e-14, + "NOC": -4.2442904846699764e-13, + "NOW": 2834.7298266483676, + "NRG": 0.0, + "NSC": -2.7623637474057086e-14, + "NTAP": 5574.960540591726, + "NTRS": 0.0, + "NUE": 0.0, + "NVDA": 108818.50185064356, + "NVR": 0.0, + "NWS": 0.0, + "NWSA": 0.0, + "NXPI": 7145.468291441724, + "O": 0.0, + "ODFL": 6806.055697251565, + "OKE": 0.0, + "OMC": 0.0, + "ON": -2.57590805181865, + "ORCL": 8670.419275631168, + "ORLY": -0.7262682777383326, + "OTIS": 1635.6072091472338, + "OXY": 0.0, + "PANW": 5402.88690979097, + "PARA": 2061.900030136109, + "PAYC": 0.0, + "PAYX": 0.0, + "PCAR": 0.0, + "PCG": 0.0, + "PEG": 0.0, + "PEP": 10476.452521108225, + "PFE": 0.0, + "PFG": 168.11895895911866, + "PG": 1.0575366403029411, + "PGR": 6557.198879185026, + "PH": 0.0, + "PHM": -11.377296827170019, + "PKG": -4.661094862269531e-13, + "PLD": 0.0, + "PM": 0.0, + "PNC": 0.0, + "PNR": 0.0, + "PNW": 0.0, + "PODD": 2271.1560685364966, + "POOL": 2224.1224162848685, + "PPG": -0.4316003352148074, + "PPL": 0.0, + "PRU": 1422.8959055023915, + "PSA": 0.0, + "PSX": 3217.970328102954, + "PTC": 2.6908341821309157e-14, + "PWR": -5.226935508472807, + "PYPL": 0.0, + "QCOM": 8330.98211155621, + "QRVO": 0.0, + "RCL": 1392.0139929971622, + "REG": 0.0, + "REGN": 990.971499637252, + "RF": 0.0, + "RHI": 0.0, + "RJF": 0.0, + "RL": 0.0, + "RMD": -27.026700493394443, + "ROK": 1.2091791698321286, + "ROL": 0.0, + "ROP": 5734.126299943573, + "ROST": 525.1019458152272, + "RSG": 0.0, + "RTX": 0.0, + "RVTY": 0.0, + "SBAC": 5893.197165117155, + "SBUX": 8048.879783803581, + "SCHW": 150.04617016648385, + "SHW": 1.373292133058486, + "SJM": 0.9762107432185342, + "SLB": 0.0, + "SMCI": -117.86640634812623, + "SNA": 0.0, + "SNPS": 0.0, + "SO": 9.90286585862454, + "SOLV": -1.7699959715333895e-12, + "SPG": 0.0, + "SPGI": 427.3553543868367, + "SRE": 0.0, + "STE": 0.5134286422924379, + "STLD": -2.926842844669976e-14, + "STT": 304.7632029794647, + "STX": 645.7511021420536, + "STZ": -3.1846481831524405, + "SWK": 0.0, + "SWKS": 0.0, + "SYF": 0.0, + "SYK": -6.752493622007527, + "SYY": 0.0, + "T": 0.0, + "TAP": 0.0, + "TDG": 7609.649142455476, + "TDY": 3125.473782837361, + "TECH": 0.0, + "TEL": 0.0, + "TER": 0.0, + "TFC": 0.0, + "TFX": 0.0, + "TGT": 0.0, + "TJX": 393.78137296077205, + "TMO": 0.0, + "TMUS": 8247.652949071888, + "TPR": 2838.431088275021, + "TRGP": 120.74654674949946, + "TRMB": 0.0, + "TROW": 0.0, + "TRV": 0.0, + "TSCO": -2.8603540307604397e-12, + "TSLA": 100781.30857120651, + "TSN": 4888.437447078463, + "TT": 0.0, + "TTWO": 720.1781545746172, + "TXN": 0.0, + "TXT": 0.0, + "TYL": 0.0, + "UAL": 3619.7357533476797, + "UBER": 0.0, + "UDR": 0.0, + "UHS": 0.0, + "ULTA": 3953.6683005806126, + "UNH": 19054.050376698047, + "UNP": 0.0, + "UPS": 0.0, + "URI": 0.0, + "USB": 0.0, + "USDOLLAR": 455.6261114866405, + "V": 1665.086780312771, + "VICI": 0.0, + "VLO": 0.0, + "VLTO": 5957.007753582995, + "VMC": 0.0, + "VRSK": 0.0, + "VRSN": 2053.9288570248195, + "VRTX": 2103.1376360578183, + "VST": 0.0, + "VTR": 0.0, + "VTRS": 0.0, + "VZ": 0.0, + "WAB": 0.0, + "WAT": -2.3978727503862543e-13, + "WBA": 0.0, + "WBD": 0.0, + "WDC": -2.9419243332434766, + "WEC": 0.0, + "WELL": 0.0, + "WFC": 0.0, + "WM": 1.499579067573446, + "WMB": 0.0, + "WMT": 10944.899785237343, + "WRB": 0.0, + "WRK": 0.0, + "WST": 0.0, + "WTW": 0.0, + "WY": 0.0, + "WYNN": 3619.3420529366076, + "XEL": 0.0, + "XOM": 0.0, + "XYL": 0.0, + "YUM": 0.0, + "ZBH": 0.0, + "ZBRA": 0.0, + "ZTS": 0.0 } } \ No newline at end of file diff --git a/examples/strategies/sp500_daily_target_weights.json b/examples/strategies/sp500_daily_target_weights.json index a7edec41..9c893f61 100644 --- a/examples/strategies/sp500_daily_target_weights.json +++ b/examples/strategies/sp500_daily_target_weights.json @@ -44021,5 +44021,511 @@ "ZBH": 1.3647056310058257e-09, "ZBRA": 5.19256773542012e-10, "ZTS": 4.7080151208206254e-09 + }, + "2024-05-13 13:30:00+00:00": { + "A": 1.308714014938121e-09, + "AAL": 0.0007001510987868618, + "AAPL": 0.04546683427116539, + "ABBV": 7.353696132466513e-09, + "ABNB": 1.7992424493816364e-09, + "ABT": 0.002527531652046596, + "ACGL": 3.691595968829628e-09, + "ACN": 1.9335624684469803e-08, + "ADBE": 0.008335949469650071, + "ADI": 1.9265888452112394e-09, + "ADM": 3.3307754787703767e-09, + "ADP": 1.5807946575427483e-08, + "ADSK": 0.0007996803482590074, + "AEE": 6.123086171844591e-10, + "AEP": 4.656267632581318e-10, + "AES": 5.085989182039265e-10, + "AFL": 0.002949844077265836, + "AIG": 8.33156572278179e-10, + "AIZ": 1.4941886533376818e-09, + "AJG": 1.483367983864198e-09, + "AKAM": 0.0004222237487534707, + "ALB": -2.8741287815142675e-12, + "ALGN": 0.002232708641019242, + "ALL": 2.094351035008744e-09, + "ALLE": 2.10891991467108e-09, + "AMAT": 0.0018579751403789385, + "AMCR": 3.5956126698030936e-10, + "AMD": 0.021414281527329996, + "AME": 1.1745181017042814e-09, + "AMGN": 0.0058618960291666865, + "AMP": 0.001209861160254565, + "AMT": 4.26482964854865e-09, + "AMZN": 0.03057498017607685, + "ANET": 0.0013239716822903333, + "ANSS": 0.0008788221532155388, + "AON": 0.0018961289171183118, + "AOS": 8.44802790810463e-10, + "APA": 5.713925111828043e-10, + "APD": 1.882356565950813e-09, + "APH": 8.079835706544685e-10, + "APTV": 4.5857247609292525e-09, + "ARE": 5.394973861109957e-10, + "ATO": 6.482830574846011e-10, + "AVB": 5.998974523947432e-10, + "AVGO": 0.014576913235184601, + "AVY": 8.506512999492308e-10, + "AWK": 1.091091699626634e-09, + "AXON": 0.0037838088882717414, + "AXP": 2.236984722135343e-09, + "AZO": 2.9427511684949925e-09, + "BA": 1.901152082002907e-09, + "BAC": 1.68376373431196e-09, + "BALL": 1.9069065351983153e-09, + "BAX": 1.639225653527748e-09, + "BBWI": 4.62295920941524e-10, + "BBY": 0.00025744179293022204, + "BDX": 6.370612685017258e-09, + "BEN": 0.0001746443972464784, + "BF-B": 2.1601456046131272e-09, + "BG": 9.844980719050899e-05, + "BIIB": 0.0014748404256668124, + "BIO": 1.2480360961984964e-09, + "BK": 1.5548680836038857e-09, + "BKNG": 0.0033372961216903015, + "BKR": 3.7750068096171174e-10, + "BLDR": 0.001172389623925511, + "BLK": 1.1822093014306472e-08, + "BMY": 8.249114722215665e-05, + "BR": 1.1242920218456655e-09, + "BRK-B": 3.3473300637978212e-09, + "BRO": 1.0295299402783304e-08, + "BSX": 9.162085502539128e-10, + "BWA": 3.5145280715963574e-09, + "BX": 0.002043620399242597, + "BXP": 4.3629412196994753e-10, + "C": 1.683740167413978e-09, + "CAG": 3.4518008815144467e-09, + "CAH": 4.130220443279042e-09, + "CARR": 0.01770701534299725, + "CAT": 3.2086646554983907e-10, + "CB": 0.003530693009399797, + "CBOE": 5.88960960500719e-09, + "CBRE": 0.003984751856146354, + "CCI": 0.0006499551827315873, + "CCL": 6.886371494695817e-10, + "CDNS": 1.760748616597933e-08, + "CDW": 0.0004401525251099658, + "CE": 2.5317320300640983e-09, + "CEG": 0.03365154305650661, + "CF": 0.007732096794154009, + "CFG": 1.386026474185695e-09, + "CHD": 0.0027016973052334152, + "CHRW": 2.2045190625694e-09, + "CHTR": 0.006705501190931354, + "CI": 3.627159428475401e-09, + "CINF": 4.992332839688653e-09, + "CL": 1.0124006113345886e-08, + "CLX": 3.8030284324326005e-09, + "CMA": 2.1144207817312026e-09, + "CMCSA": 0.00508946860042122, + "CME": 0.001712503400522778, + "CMG": 0.0028354902143441062, + "CMI": 1.1051480949562156e-09, + "CMS": 6.243613068939423e-10, + "CNC": 0.0007126491662971073, + "CNP": 7.586995689916653e-10, + "COF": 0.007044279960931951, + "COO": 4.422313766554016e-09, + "COP": 2.122699621810415e-09, + "COR": 9.824106316109027e-05, + "COST": 1.573536290010151e-09, + "CPAY": 2.9424166863480863e-09, + "CPB": 9.31185077051192e-09, + "CPRT": 0.0006993183682345275, + "CPT": 2.4958888304908694e-10, + "CRL": 6.940429161824517e-10, + "CRM": 0.006709721785823567, + "CSCO": 0.005790827587778945, + "CSGP": 1.1192983345672565e-09, + "CSX": 3.029822076129341e-09, + "CTAS": 1.5057211856676324e-09, + "CTLT": 1.7946238057957947e-09, + "CTRA": 6.526692014526321e-10, + "CTSH": 0.009347571028685895, + "CTVA": 0.00010553728863840291, + "CVS": 1.3972326459478762e-09, + "CVX": 2.07716328066134e-09, + "CZR": 0.007973428139706926, + "D": 9.08899163053615e-10, + "DAL": 0.0007052778715187567, + "DAY": 1.7722690292464022e-09, + "DD": 2.339765460404553e-09, + "DE": 1.2659777178992205e-09, + "DECK": 0.00050275253718148, + "DFS": 0.001691382271280266, + "DG": 1.3523721178714245e-09, + "DGX": 1.7972970693861186e-09, + "DHI": 3.056642786513367e-09, + "DHR": 0.00257171662915647, + "DIS": 2.1670790867847368e-09, + "DLR": 7.7432672363761e-10, + "DLTR": 2.577164116463162e-09, + "DOC": 3.553294470792894e-10, + "DOV": 1.4292617416653788e-09, + "DOW": 2.479715410496316e-09, + "DPZ": 1.783082653190776e-08, + "DRI": 1.8993360351782735e-08, + "DTE": 6.76799871959952e-10, + "DUK": 2.1892404404606177e-09, + "DVA": 0.0020117412205495713, + "DVN": 7.664089794742465e-10, + "DXCM": 0.005070761055701295, + "EA": 0.003269013194103748, + "EBAY": 1.1641417469203458e-09, + "ECL": 1.8279659557207234e-09, + "ED": 9.80905178821394e-10, + "EFX": 1.5355425720151575e-09, + "EG": 1.5225174168090712e-08, + "EIX": 8.965694125469193e-10, + "EL": 1.1732579918798292e-09, + "ELV": 2.7815366494691606e-09, + "EMN": 1.1958433674463915e-09, + "EMR": 7.687970989098193e-10, + "ENPH": 0.0010749024576706772, + "EOG": 2.1011687118544595e-09, + "EPAM": 0.000686550080973038, + "EQIX": 0.0016121651112764798, + "EQR": 7.532990541487739e-10, + "EQT": 1.1198912591282389e-10, + "ES": 6.307926807108476e-10, + "ESS": 7.985040611461079e-10, + "ETN": 5.236567722077298e-10, + "ETR": 7.906407921418424e-10, + "ETSY": 7.626808937539421e-09, + "EVRG": 3.1541085732064066e-10, + "EW": 3.271638236101987e-09, + "EXC": 1.2331318191656613e-09, + "EXPD": 4.3901578269308325e-09, + "EXPE": 0.0012964691494586561, + "EXR": 1.8509917030673294e-09, + "F": 7.239939947945504e-10, + "FANG": 0.012011327751633449, + "FAST": 0.00274065360582236, + "FCX": 9.523742984963004e-10, + "FDS": 0.004441903317412005, + "FDX": 0.004647267700554617, + "FE": 7.102194304987253e-10, + "FFIV": 0.00349071710001227, + "FI": 2.7231562494939193e-09, + "FICO": 0.0010293119066160854, + "FIS": 1.4610393898025503e-09, + "FITB": 5.8606185981728676e-09, + "FMC": 1.0437241390817206e-09, + "FOX": 7.422328496757641e-10, + "FOXA": 1.0120219980158793e-09, + "FRT": 9.100158443612858e-10, + "FSLR": 2.0566427945660756e-10, + "FTNT": 0.004750889428306263, + "FTV": 1.2049953350667122e-09, + "GD": 5.027894220298089e-09, + "GE": 1.1062662735270753e-09, + "GEHC": 0.006600934107993012, + "GEN": 6.759268757293424e-10, + "GEV": 0.03745316729453217, + "GILD": 0.0067052371237330665, + "GIS": 0.005805717907523393, + "GL": 3.447806678979046e-09, + "GLW": 1.1840439425160627e-09, + "GM": 7.499981172617172e-10, + "GNRC": 9.494608566973245e-10, + "GOOG": 0.004069238976986196, + "GOOGL": 4.5562898055834635e-09, + "GPC": 9.585894496037275e-10, + "GPN": 4.280943962969369e-09, + "GRMN": 0.0015548070613181251, + "GS": 1.6031968817501843e-09, + "GWW": 1.2114176523052984e-09, + "HAL": 1.0487324465430471e-09, + "HAS": 1.6746645449364419e-09, + "HBAN": 8.537584981009312e-10, + "HCA": 0.009813976923612107, + "HD": 0.008027886760951149, + "HES": 1.537543351651478e-09, + "HIG": 0.005193097785791491, + "HII": 8.389189618367146e-09, + "HLT": 2.2497582579042837e-09, + "HOLX": 0.0023344238786558026, + "HON": 3.1399917888753644e-09, + "HPE": 4.684230668180934e-10, + "HPQ": 1.225429671477816e-09, + "HRL": 3.7587294997663196e-09, + "HSIC": 2.838874128874356e-09, + "HST": 1.0223476387215795e-09, + "HSY": 0.0068595088610928275, + "HUBB": 3.04187847339858e-10, + "HUM": 2.3126068356159514e-09, + "HWM": 0.0013170939002951146, + "IBM": 9.30360425418802e-10, + "ICE": 0.0005957764336393448, + "IDXX": 0.00048500248773024785, + "IEX": 1.758892423975468e-09, + "IFF": 8.364148501700337e-10, + "ILMN": 0.0005205410496335131, + "INCY": 0.0026544687644777538, + "INTC": 0.00019193144706737395, + "INTU": 0.0006145158840673628, + "INVH": 3.8626825141182573e-10, + "IP": 1.07828772044386e-09, + "IPG": 4.973789413399036e-09, + "IQV": 1.2054631914771703e-09, + "IR": 8.898246662915054e-09, + "IRM": 2.9687191961895237e-09, + "ISRG": 0.006013862802327411, + "IT": 1.2551385798541945e-09, + "ITW": 1.899611602045808e-09, + "IVZ": 1.5017189695213309e-09, + "J": 1.869628108806696e-09, + "JBHT": 2.534319797024797e-09, + "JBL": 0.0023624720376793145, + "JCI": 4.852126478317335e-10, + "JKHY": 0.0008059509698491104, + "JNJ": 0.011648071418721513, + "JNPR": 1.1147635661112643e-09, + "JPM": 0.0011290282458045336, + "K": 0.00046113938286238606, + "KDP": 9.815168640710492e-10, + "KEY": 8.417165744990134e-10, + "KEYS": 1.8578879367136695e-09, + "KHC": 7.383346722304466e-10, + "KIM": 4.89808933363536e-10, + "KLAC": 5.0838662667695175e-09, + "KMB": 0.006217954268857412, + "KMI": 3.5636344773241196e-10, + "KMX": 2.3140382800676704e-08, + "KO": 0.00017578173017042287, + "KR": 6.4161913228251994e-09, + "KVUE": -1.8823535709759306e-10, + "L": 2.1677257736358797e-09, + "LDOS": 2.626204962418137e-09, + "LEN": 3.48454516329059e-09, + "LH": 1.0899920511270207e-09, + "LHX": 2.2026765999535747e-09, + "LIN": 5.3054514024242644e-08, + "LKQ": 0.004510080751072687, + "LLY": 2.717709636595832e-09, + "LMT": 0.004524989704225792, + "LNT": 5.296238442853256e-10, + "LOW": 1.980389442137392e-09, + "LRCX": 0.002341679886575025, + "LULU": 0.0006441938528596682, + "LUV": 2.525661940301306e-05, + "LVS": 0.0016030279475778566, + "LW": 3.918001934254947e-09, + "LYB": 0.003574284698031575, + "LYV": 0.002634364852164255, + "MA": 0.025039138408758845, + "MAA": 4.995869563579016e-10, + "MAR": 5.9508439057109556e-09, + "MAS": 1.87324743111687e-09, + "MCD": 0.009906719889615724, + "MCHP": 0.0017629992801551253, + "MCK": 1.6807604216531962e-08, + "MCO": 1.6657604989952049e-09, + "MDLZ": 2.1892074728426924e-09, + "MDT": 7.622911494517458e-09, + "MET": 2.6556709130903814e-09, + "META": 0.01688260964499641, + "MGM": 0.0036009616902519964, + "MHK": 4.570600141225453e-10, + "MKC": 1.7316603085548387e-09, + "MKTX": 0.006408472875619866, + "MLM": 6.553153388155361e-10, + "MMC": 1.2544743118810473e-09, + "MMM": 1.0212192074510364e-09, + "MNST": 0.004254477679941585, + "MO": 7.708279948006062e-10, + "MOH": 5.855308820545698e-09, + "MOS": 9.103781168939046e-10, + "MPC": 0.012537566352417592, + "MPWR": 3.071027155259543e-09, + "MRK": 0.004789554658345058, + "MRNA": 0.006624929867458714, + "MRO": 3.059346618893358e-10, + "MS": 0.0053842519841464445, + "MSCI": 0.00942672159185513, + "MSFT": 0.028665405968559685, + "MSI": 1.4855666365052878e-09, + "MTB": 0.0016945736702036875, + "MTCH": 4.940565198728943e-09, + "MTD": 3.153584529460971e-09, + "MU": 0.004227569768072226, + "NCLH": 7.084365741249734e-10, + "NDAQ": 1.4525923058473455e-09, + "NDSN": 1.3575519270009854e-09, + "NEE": 3.8032503709299575e-10, + "NEM": 3.6642098027208864e-10, + "NFLX": 0.013511347520709576, + "NI": 4.441211232302338e-10, + "NKE": 8.68797268476073e-09, + "NOC": 2.736478136732659e-09, + "NOW": 0.002773931024311143, + "NRG": 1.5273058089929918e-10, + "NSC": 2.0296974321479784e-09, + "NTAP": 0.005075009210071395, + "NTRS": 1.2615804927397852e-09, + "NUE": 1.190562968386617e-09, + "NVDA": 0.1012233711439333, + "NVR": 0.0008814529591186606, + "NWS": 5.312529656823089e-10, + "NWSA": 5.435933252591235e-10, + "NXPI": 0.006596648812385709, + "O": 1.5421316553385644e-09, + "ODFL": 0.0062926539516750596, + "OKE": 1.2142543308894045e-09, + "OMC": 1.5107041618428847e-09, + "ON": 1.518802567428349e-09, + "ORCL": 0.00792971091160792, + "ORLY": 1.881661148212559e-09, + "OTIS": 0.0015099489531701545, + "OXY": 7.474465828881374e-10, + "PANW": 0.004987876125782559, + "PARA": 0.0019157217504943932, + "PAYC": 3.796692309946446e-08, + "PAYX": 2.255292424371736e-08, + "PCAR": 4.480678905593705e-09, + "PCG": 5.230242887428334e-10, + "PEG": 8.527108344214728e-10, + "PEP": 0.00967181280590892, + "PFE": 2.6204970557578406e-09, + "PFG": 0.0001552052696478059, + "PG": 2.1175818777824485e-09, + "PGR": 0.006053545571365382, + "PH": 8.070328164975312e-10, + "PHM": 2.0127943204255495e-09, + "PKG": 3.5710735205470134e-09, + "PLD": 9.83274582418548e-10, + "PM": 1.9684323304161875e-09, + "PNC": 6.040810570295009e-09, + "PNR": 7.446322195359512e-10, + "PNW": 7.097268434891656e-10, + "PODD": 0.002052744397131882, + "POOL": 0.002108228434868779, + "PPG": 3.5637113990802896e-09, + "PPL": 8.731489724447618e-10, + "PRU": 0.001313599767449697, + "PSA": 1.2768242312243859e-09, + "PSX": 0.0029707952224370584, + "PTC": 3.562739707907587e-09, + "PWR": 1.3988701062620068e-09, + "PYPL": 7.615666748781467e-10, + "QCOM": 0.007691725668784553, + "QRVO": 3.2014853723318713e-10, + "RCL": 0.0012851000355434284, + "REG": 9.95118173386292e-10, + "REGN": 0.0007706421416613201, + "RF": 1.5283595620851155e-09, + "RHI": 1.112586710730908e-08, + "RJF": 2.2954704069169586e-09, + "RL": 1.3917584757307122e-09, + "RMD": 9.455167823007888e-10, + "ROK": 3.3759178185078752e-09, + "ROL": 7.34879299041389e-10, + "ROP": 0.005293654170135145, + "ROST": 0.0003835312580812645, + "RSG": 1.1637949168095383e-09, + "RTX": 4.7880470257549075e-09, + "RVTY": 6.667610963033032e-10, + "SBAC": 0.005446382490450378, + "SBUX": 0.007430674635030806, + "SCHW": 0.00013852573788714052, + "SHW": 7.533930289852577e-08, + "SJM": 4.785226763639021e-08, + "SLB": 7.604637527425178e-10, + "SMCI": 2.0567264271624097e-09, + "SNA": 1.6957544865110835e-09, + "SNPS": 7.714787226836997e-10, + "SO": 2.6415023452012613e-09, + "SOLV": -4.236845150964884e-10, + "SPG": 7.618927234064331e-10, + "SPGI": 0.00039439755656526897, + "SRE": 8.648068054979899e-10, + "STE": 8.932927852245473e-09, + "STLD": 5.446662407041988e-10, + "STT": 0.0002813557307846985, + "STX": 0.0005961531796313443, + "STZ": 2.7635169414110543e-09, + "SWK": 1.9361657898380335e-09, + "SWKS": 4.900961340249663e-10, + "SYF": 2.2213277451662166e-09, + "SYK": 4.474392070436702e-09, + "SYY": 1.8344513180435163e-09, + "T": 1.3124920858415785e-09, + "TAP": 9.802441229208187e-10, + "TDG": 0.00651751526438253, + "TDY": 0.0029017871265038945, + "TECH": 8.852729113362705e-09, + "TEL": 2.551030891418197e-09, + "TER": 9.214754026705406e-10, + "TFC": 1.1355376580151858e-09, + "TFX": 1.3129326057107484e-09, + "TGT": 1.320303663058289e-09, + "TJX": 0.00036353751315965234, + "TMO": 5.982793491340465e-09, + "TMUS": 0.00761423703398795, + "TPR": 0.002620413032532073, + "TRGP": 0.00011147110834778934, + "TRMB": 7.880515639884858e-09, + "TROW": 2.6380500305402738e-09, + "TRV": 1.941233482124265e-09, + "TSCO": 1.5764546530637658e-09, + "TSLA": 0.09459605771436055, + "TSN": 0.004553555139104705, + "TT": 8.507952571760343e-10, + "TTWO": 0.0006648745266401701, + "TXN": 9.168979641940038e-10, + "TXT": 7.665596806935151e-10, + "TYL": 6.873276175857337e-08, + "UAL": 0.003341703705268993, + "UBER": 4.6419668675921916e-09, + "UDR": 4.226341027372481e-10, + "UHS": 1.181504739797098e-08, + "ULTA": 0.003650019722732807, + "UNH": 0.01706845575505868, + "UNP": 4.90877850793571e-09, + "UPS": 9.378171737415825e-10, + "URI": 2.865095211306328e-09, + "USB": 1.905228733269031e-09, + "USDOLLAR": 1.2845945158149923e-07, + "V": 0.0015371598834046283, + "VICI": 7.947517777508399e-10, + "VLO": 3.604203785594892e-09, + "VLTO": 0.005499457222708896, + "VMC": 4.1379181531578157e-10, + "VRSK": 3.574697199392359e-09, + "VRSN": 0.0018962001911080025, + "VRTX": 0.001923548645917069, + "VST": 4.9608485961178374e-11, + "VTR": 1.2448710810137772e-09, + "VTRS": 6.551258041991639e-10, + "VZ": 2.2585050513272803e-09, + "WAB": 4.081640417443501e-10, + "WAT": 2.176409158635957e-09, + "WBA": 2.2216528305355164e-09, + "WBD": 1.889786726696495e-10, + "WDC": 8.204835138698307e-10, + "WEC": 1.0117508000517765e-09, + "WELL": 8.995491247940511e-10, + "WFC": 5.2978168917271194e-09, + "WM": 2.2182594845596105e-09, + "WMB": 9.003179165149573e-09, + "WMT": 0.010104234670204095, + "WRB": 6.529625874669172e-09, + "WRK": 9.277178846136312e-10, + "WST": 3.393517957935061e-09, + "WTW": 1.1425488587007053e-09, + "WY": 5.177660936957517e-10, + "WYNN": 0.0033413453043545844, + "XEL": 7.44576349911006e-10, + "XOM": 2.025816056613301e-09, + "XYL": 1.5702796761826182e-09, + "YUM": 2.9433140372418126e-09, + "ZBH": 8.107051021145956e-10, + "ZBRA": 3.3697932012402775e-10, + "ZTS": 2.6370447811523197e-09 } } \ No newline at end of file