symbol
string | date
string | open
float64 | high
float64 | low
float64 | close
float64 | adj_close
float64 | volume
float64 |
|---|---|---|---|---|---|---|---|
A | 1999-11-18 | 32.546494 | 35.765381 | 28.612303 | 31.473534 | 26.740845 | 62,546,380 |
A | 1999-11-19 | 30.713518 | 30.758226 | 28.478184 | 28.880545 | 24.537767 | 15,234,146 |
A | 1999-11-22 | 29.551144 | 31.473534 | 28.657009 | 31.473534 | 26.740845 | 6,577,870 |
A | 1999-11-23 | 30.400572 | 31.205294 | 28.612303 | 28.612303 | 24.309862 | 5,975,611 |
A | 1999-11-24 | 28.701717 | 29.998213 | 28.612303 | 29.372318 | 24.955589 | 4,843,231 |
A | 1999-11-26 | 29.238197 | 29.685265 | 29.148785 | 29.461731 | 25.031565 | 1,729,466 |
A | 1999-11-29 | 29.327612 | 30.355865 | 29.014664 | 30.132332 | 25.601316 | 4,074,751 |
A | 1999-11-30 | 30.042917 | 30.713518 | 29.282904 | 30.177038 | 25.639301 | 4,310,034 |
A | 1999-12-01 | 30.177038 | 31.071173 | 29.953505 | 30.713518 | 26.09511 | 2,957,329 |
A | 1999-12-02 | 31.294706 | 32.188843 | 30.892345 | 31.562946 | 26.816814 | 3,069,868 |
A | 1999-12-03 | 32.144135 | 32.680614 | 31.697067 | 31.831186 | 27.044708 | 3,041,629 |
A | 1999-12-06 | 32.367668 | 33.217094 | 32.32296 | 32.725323 | 27.804407 | 2,250,780 |
A | 1999-12-07 | 32.725323 | 32.904148 | 31.697067 | 32.367668 | 27.500525 | 2,215,970 |
A | 1999-12-08 | 32.367668 | 32.635906 | 32.054722 | 32.32296 | 27.462547 | 1,887,859 |
A | 1999-12-09 | 32.367668 | 32.859444 | 32.367668 | 32.770027 | 27.842392 | 2,029,057 |
A | 1999-12-10 | 32.680614 | 32.859444 | 32.010014 | 32.010014 | 27.196653 | 1,664,738 |
A | 1999-12-13 | 32.546494 | 33.082977 | 31.741774 | 32.546494 | 27.652462 | 4,020,508 |
A | 1999-12-14 | 32.457081 | 32.457081 | 30.087626 | 30.758226 | 26.133097 | 2,328,928 |
A | 1999-12-15 | 30.042917 | 30.266453 | 29.327612 | 29.819386 | 25.335428 | 2,917,766 |
A | 1999-12-16 | 30.042917 | 33.798283 | 30.042917 | 33.798283 | 28.716022 | 2,583,923 |
A | 1999-12-17 | 33.17239 | 33.70887 | 32.501789 | 32.859444 | 27.91835 | 3,708,055 |
A | 1999-12-20 | 33.082977 | 33.574749 | 32.993561 | 33.530045 | 28.488117 | 1,196,828 |
A | 1999-12-21 | 33.395924 | 33.395924 | 32.904148 | 33.351215 | 28.336176 | 2,259,448 |
A | 1999-12-22 | 33.351215 | 34.021816 | 33.127682 | 34.021816 | 28.905939 | 1,905,754 |
A | 1999-12-23 | 33.977112 | 35.765381 | 33.932404 | 35.586552 | 30.235394 | 2,159,491 |
A | 1999-12-27 | 35.720673 | 38.045422 | 35.452431 | 37.777184 | 32.096619 | 2,029,616 |
A | 1999-12-28 | 38.805435 | 43.991417 | 38.581902 | 43.991417 | 37.376408 | 3,560,007 |
A | 1999-12-29 | 45.064377 | 56.554005 | 45.019672 | 51.502148 | 43.75774 | 10,518,552 |
A | 1999-12-30 | 54.363377 | 57.224606 | 53.111588 | 56.688126 | 48.163895 | 6,671,116 |
A | 1999-12-31 | 56.866955 | 57.179901 | 54.542202 | 55.302216 | 46.986401 | 1,931,197 |
A | 2000-01-03 | 56.330471 | 56.464592 | 48.193848 | 51.502148 | 43.75774 | 4,674,353 |
A | 2000-01-04 | 48.730328 | 49.266811 | 46.316166 | 47.567955 | 40.415142 | 4,765,083 |
A | 2000-01-05 | 47.389126 | 47.567955 | 43.141991 | 44.61731 | 37.90818 | 5,758,642 |
A | 2000-01-06 | 44.08083 | 44.349072 | 41.577251 | 42.918453 | 36.46479 | 2,534,434 |
A | 2000-01-07 | 42.247852 | 47.165592 | 42.203148 | 46.494991 | 39.503513 | 2,819,626 |
A | 2000-01-10 | 49.356224 | 49.803291 | 48.327969 | 49.311516 | 41.896519 | 2,148,446 |
A | 2000-01-11 | 49.311516 | 49.311516 | 47.523247 | 48.640915 | 41.326763 | 1,855,985 |
A | 2000-01-12 | 48.640915 | 48.640915 | 45.82439 | 47.657368 | 40.491112 | 1,429,874 |
A | 2000-01-13 | 48.909157 | 49.937412 | 47.2103 | 48.372677 | 41.098869 | 1,134,337 |
A | 2000-01-14 | 47.92561 | 49.624462 | 47.92561 | 48.909157 | 41.554661 | 1,316,916 |
A | 2000-01-18 | 49.087982 | 52.12804 | 48.730328 | 51.144493 | 43.45388 | 2,101,753 |
A | 2000-01-19 | 51.502148 | 51.502148 | 49.937412 | 50.071529 | 42.542259 | 2,624,885 |
A | 2000-01-20 | 50.608009 | 50.697426 | 48.28326 | 48.730328 | 41.402733 | 2,007,947 |
A | 2000-01-21 | 49.445637 | 49.624462 | 47.523247 | 49.177395 | 41.782566 | 1,918,336 |
A | 2000-01-24 | 48.998569 | 51.368027 | 48.640915 | 48.998569 | 41.630642 | 2,095,882 |
A | 2000-01-25 | 49.177395 | 49.803291 | 47.523247 | 48.417381 | 41.136833 | 1,153,769 |
A | 2000-01-26 | 48.59621 | 49.535049 | 48.551502 | 48.864449 | 41.516674 | 1,022,357 |
A | 2000-01-27 | 49.982117 | 50.429184 | 48.104435 | 48.953861 | 41.59264 | 868,577 |
A | 2000-01-28 | 49.713879 | 49.713879 | 48.238556 | 48.685623 | 41.36475 | 1,609,238 |
A | 2000-01-31 | 48.327969 | 48.372677 | 46.316166 | 47.344421 | 40.225216 | 1,040,392 |
A | 2000-02-01 | 47.389126 | 51.502148 | 47.389126 | 50.786839 | 43.149998 | 1,404,291 |
A | 2000-02-02 | 51.412731 | 54.721031 | 51.189198 | 54.721031 | 46.492611 | 1,945,177 |
A | 2000-02-03 | 53.782188 | 55.615166 | 52.798641 | 55.615166 | 47.2523 | 1,779,514 |
A | 2000-02-04 | 55.615166 | 55.615166 | 53.648067 | 54.542202 | 46.340683 | 1,145,661 |
A | 2000-02-07 | 55.570457 | 57.224606 | 54.542202 | 56.866955 | 48.315838 | 1,274,277 |
A | 2000-02-08 | 57.761086 | 58.789341 | 55.972816 | 56.5093 | 48.011978 | 1,169,707 |
A | 2000-02-09 | 55.525749 | 56.285767 | 54.139843 | 54.184547 | 46.036793 | 1,182,848 |
A | 2000-02-10 | 55.078686 | 56.375179 | 53.871601 | 54.855148 | 46.606548 | 1,066,814 |
A | 2000-02-11 | 54.721031 | 54.944565 | 53.513947 | 53.916309 | 45.808891 | 751,705 |
A | 2000-02-14 | 53.826897 | 55.033978 | 53.513947 | 54.676323 | 46.45462 | 837,682 |
A | 2000-02-15 | 54.765736 | 59.370529 | 54.765736 | 58.565807 | 49.759232 | 2,017,594 |
A | 2000-02-16 | 57.224606 | 58.565807 | 56.777538 | 57.939915 | 49.227459 | 1,801,742 |
A | 2000-02-17 | 57.939915 | 69.384834 | 55.525749 | 69.384834 | 58.951393 | 944,908 |
A | 2000-02-18 | 63.304722 | 68.580116 | 62.991776 | 67.060089 | 56.976234 | 4,060,072 |
A | 2000-02-22 | 68.669525 | 69.653076 | 64.377686 | 65.450645 | 55.608814 | 2,227,993 |
A | 2000-02-23 | 65.540054 | 71.888412 | 65.540054 | 70.815453 | 60.166897 | 1,690,042 |
A | 2000-02-24 | 72.514305 | 82.573318 | 71.888412 | 76.359085 | 64.876938 | 2,956,351 |
A | 2000-02-25 | 73.944923 | 81.500359 | 73.855507 | 77.342628 | 65.712578 | 2,048,210 |
A | 2000-02-28 | 77.342628 | 78.102646 | 70.278969 | 72.246063 | 61.382393 | 1,675,363 |
A | 2000-02-29 | 72.559013 | 76.448502 | 72.469597 | 74.302574 | 63.129681 | 958,049 |
A | 2000-03-01 | 74.749641 | 79.935623 | 74.570816 | 78.057938 | 66.320343 | 1,037,875 |
A | 2000-03-02 | 78.63913 | 78.68383 | 73.319031 | 75.319656 | 63.99382 | 1,188,300 |
A | 2000-03-03 | 75.062592 | 79.935623 | 75.062592 | 77.25322 | 65.63662 | 1,215,841 |
A | 2000-03-06 | 80.829758 | 115.879829 | 80.472099 | 113.73391 | 96.631676 | 5,693,495 |
A | 2000-03-07 | 111.587982 | 115.16452 | 93.705292 | 101.573677 | 86.299995 | 7,710,809 |
A | 2000-03-08 | 104.434906 | 108.726753 | 100.143059 | 108.726753 | 92.377464 | 3,953,963 |
A | 2000-03-09 | 105.150215 | 110.157372 | 103.719597 | 109.442062 | 92.985222 | 2,514,583 |
A | 2000-03-10 | 109.442062 | 110.783264 | 100.143059 | 101.573677 | 86.299995 | 2,479,353 |
A | 2000-03-13 | 93.034691 | 99.383049 | 92.632332 | 93.884117 | 79.766716 | 2,626,702 |
A | 2000-03-14 | 95.13591 | 97.28183 | 85.032188 | 86.820457 | 73.765221 | 3,522,960 |
A | 2000-03-15 | 91.648781 | 91.648781 | 81.008583 | 81.723892 | 69.435043 | 3,046,242 |
A | 2000-03-16 | 82.975677 | 87.982834 | 80.114449 | 84.451004 | 71.752083 | 2,769,578 |
A | 2000-03-17 | 85.345139 | 90.844063 | 84.495705 | 86.641632 | 73.613289 | 1,563,803 |
A | 2000-03-20 | 86.149857 | 86.909874 | 80.829758 | 81.366234 | 69.131172 | 1,420,648 |
A | 2000-03-21 | 79.220314 | 82.260368 | 75.643776 | 82.260368 | 69.890846 | 2,528,283 |
A | 2000-03-22 | 81.232117 | 86.507507 | 78.013229 | 85.434547 | 72.587723 | 1,967,965 |
A | 2000-03-23 | 85.30043 | 88.51931 | 83.690987 | 85.613373 | 72.739655 | 1,951,888 |
A | 2000-03-24 | 84.942772 | 86.552216 | 83.154503 | 85.836906 | 72.929581 | 1,230,520 |
A | 2000-03-27 | 84.540413 | 85.479256 | 80.963875 | 81.723892 | 69.435043 | 846,769 |
A | 2000-03-28 | 81.545067 | 87.222816 | 81.187408 | 85.211014 | 72.397812 | 1,392,548 |
A | 2000-03-29 | 85.121605 | 86.552216 | 78.68383 | 80.114449 | 68.067612 | 1,250,371 |
A | 2000-03-30 | 77.387337 | 80.472099 | 70.904861 | 75.1073 | 63.8134 | 2,034,230 |
A | 2000-03-31 | 75.822601 | 75.822601 | 64.377686 | 74.391991 | 63.205624 | 3,732,940 |
A | 2000-04-03 | 73.676682 | 73.855507 | 65.629471 | 70.100143 | 59.559166 | 2,030,875 |
A | 2000-04-04 | 70.100143 | 73.229614 | 58.655224 | 66.881256 | 56.824295 | 3,519,884 |
A | 2000-04-05 | 66.34478 | 71.441345 | 64.467094 | 69.340126 | 58.913445 | 2,109,163 |
A | 2000-04-06 | 70.368385 | 75.1073 | 69.429543 | 75.1073 | 63.8134 | 1,375,073 |
A | 2000-04-07 | 76.895561 | 89.413445 | 76.582619 | 87.267525 | 74.145065 | 2,975,224 |
A | 2000-04-10 | 87.267525 | 87.267525 | 75.375534 | 76.627327 | 65.104851 | 2,956,071 |
A | 2000-04-11 | 72.246063 | 75.017883 | 71.217812 | 72.201363 | 61.344395 | 1,896,107 |
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Dataset Card for "timeseries-daily-sp500"
Dataset Summary
The timeseries-daily-sp500 dataset provides daily historical data for companies in the S&P 500 index.
Supported Tasks and Leaderboards
The dataset can be used to train a model for systematic trading. The model performance is evaluated based on the return / risk profile of the positions taken by the model.
Languages
[N/A]
Dataset Structure
Data Instances
[N/A]
Data Fields
- symbol (string): A string representing the ticker symbol or abbreviation used to identify the company.
- date (timestamp[ns, tz=America/New_York]): A timestamp indicating the date of the recorded data. The timestamps are in the America/New_York time zone.
- open (float64): A floating-point number representing the opening price of the stock on the given date.
- high (float64): A floating-point number representing the highest price of the stock on the given date.
- low (float64): A floating-point number representing the lowest price of the stock on the given date.
- close (float64): A floating-point number representing the closing price of the stock on the given date.
- volume (int64): An integer indicating the trading volume (number of shares) of the stock on the given date.
- dividends (float64): A floating-point number representing the dividends paid by the stock on the given date.
- stock_splits (float64): A floating-point number representing any stock splits that occurred on the given date.
Data Splits
A single split, called train.
Dataset Creation
Curation Rationale
The timeseries-daily-sp500 dataset was developed to support the development of low-frequency trading algorithms.
Source Data
Initial Data Collection and Normalization
This data was sourced from the web, and aggregated.
Annotations
Annotation process
[N/A]
Who are the annotators?
[N/A]
Personal and Sensitive Information
[N/A]
Considerations for Using the Data
Social Impact of Dataset
[N/A]
Discussion of Biases
[N/A]
Other Known Limitations
[N/A]
Additional Information
Dataset Curators
The timeseries-daily-sp500 dataset was collected by https://edarchimbaud.substack.com.
Licensing Information
The timeseries-daily-sp500 dataset is licensed under the MIT License.
Citation Information
https://edarchimbaud.substack.com, timeseries-daily-sp500 dataset, GitHub repository, https://github.com/edarchimbaud
Contributions
Thanks to @edarchimbaud for adding this dataset.
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