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
26.794762
62,546,380
A
1999-11-19
30.713518
30.758226
28.478184
28.880545
24.587234
15,234,146
A
1999-11-22
29.551144
31.473534
28.657009
31.473534
26.794762
6,577,870
A
1999-11-23
30.400572
31.205294
28.612303
28.612303
24.358875
5,975,611
A
1999-11-24
28.701717
29.998213
28.612303
29.372318
25.005907
4,843,231
A
1999-11-26
29.238197
29.685265
29.148785
29.461731
25.082024
1,729,466
A
1999-11-29
29.327612
30.355865
29.014664
30.132332
25.652935
4,074,751
A
1999-11-30
30.042917
30.713518
29.282904
30.177038
25.690994
4,310,034
A
1999-12-01
30.177038
31.071173
29.953505
30.713518
26.147724
2,957,329
A
1999-12-02
31.294706
32.188843
30.892345
31.562946
26.870876
3,069,868
A
1999-12-03
32.144135
32.680614
31.697067
31.831186
27.099239
3,041,629
A
1999-12-06
32.367668
33.217094
32.32296
32.725323
27.860466
2,250,780
A
1999-12-07
32.725323
32.904148
31.697067
32.367668
27.555971
2,215,970
A
1999-12-08
32.367668
32.635906
32.054722
32.32296
27.517916
1,887,859
A
1999-12-09
32.367668
32.859444
32.367668
32.770027
27.898512
2,029,057
A
1999-12-10
32.680614
32.859444
32.010014
32.010014
27.25149
1,664,738
A
1999-12-13
32.546494
33.082977
31.741774
32.546494
27.708212
4,020,508
A
1999-12-14
32.457081
32.457081
30.087626
30.758226
26.185791
2,328,928
A
1999-12-15
30.042917
30.266453
29.327612
29.819386
25.386511
2,917,766
A
1999-12-16
30.042917
33.798283
30.042917
33.798283
28.773918
2,583,923
A
1999-12-17
33.17239
33.70887
32.501789
32.859444
27.974649
3,708,055
A
1999-12-20
33.082977
33.574749
32.993561
33.530045
28.545549
1,196,828
A
1999-12-21
33.395924
33.395924
32.904148
33.351215
28.393314
2,259,448
A
1999-12-22
33.351215
34.021816
33.127682
34.021816
28.964216
1,905,754
A
1999-12-23
33.977112
35.765381
33.932404
35.586552
30.296347
2,159,491
A
1999-12-27
35.720673
38.045422
35.452431
37.777184
32.161327
2,029,616
A
1999-12-28
38.805435
43.991417
38.581902
43.991417
37.451767
3,560,007
A
1999-12-29
45.064377
56.554005
45.019672
51.502148
43.845974
10,518,552
A
1999-12-30
54.363377
57.224606
53.111588
56.688126
48.261024
6,671,116
A
1999-12-31
56.866955
57.179901
54.542202
55.302216
47.081123
1,931,197
A
2000-01-03
56.330471
56.464592
48.193848
51.502148
43.845974
4,674,353
A
2000-01-04
48.730328
49.266811
46.316166
47.567955
40.496624
4,765,083
A
2000-01-05
47.389126
47.567955
43.141991
44.61731
37.984619
5,758,642
A
2000-01-06
44.08083
44.349072
41.577251
42.918453
36.538315
2,534,434
A
2000-01-07
42.247852
47.165592
42.203148
46.494991
39.583172
2,819,626
A
2000-01-10
49.356224
49.803291
48.327969
49.311516
41.981003
2,148,446
A
2000-01-11
49.311516
49.311516
47.523247
48.640915
41.41008
1,855,985
A
2000-01-12
48.640915
48.640915
45.82439
47.657368
40.572746
1,429,874
A
2000-01-13
48.909157
49.937412
47.2103
48.372677
41.181713
1,134,337
A
2000-01-14
47.92561
49.624462
47.92561
48.909157
41.638435
1,316,916
A
2000-01-18
49.087982
52.12804
48.730328
51.144493
43.541473
2,101,753
A
2000-01-19
51.502148
51.502148
49.937412
50.071529
42.628025
2,624,885
A
2000-01-20
50.608009
50.697426
48.28326
48.730328
41.486206
2,007,947
A
2000-01-21
49.445637
49.624462
47.523247
49.177395
41.866806
1,918,336
A
2000-01-24
48.998569
51.368027
48.640915
48.998569
41.714561
2,095,882
A
2000-01-25
49.177395
49.803291
47.523247
48.417381
41.219772
1,153,769
A
2000-01-26
48.59621
49.535049
48.551502
48.864449
41.600368
1,022,357
A
2000-01-27
49.982117
50.429184
48.104435
48.953861
41.676502
868,577
A
2000-01-28
49.713879
49.713879
48.238556
48.685623
41.448154
1,609,238
A
2000-01-31
48.327969
48.372677
46.316166
47.344421
40.306316
1,040,392
A
2000-02-01
47.389126
51.502148
47.389126
50.786839
43.236992
1,404,291
A
2000-02-02
51.412731
54.721031
51.189198
54.721031
46.586353
1,945,177
A
2000-02-03
53.782188
55.615166
52.798641
55.615166
47.347557
1,779,514
A
2000-02-04
55.615166
55.615166
53.648067
54.542202
46.434097
1,145,661
A
2000-02-07
55.570457
57.224606
54.542202
56.866955
48.413273
1,274,277
A
2000-02-08
57.761086
58.789341
55.972816
56.5093
48.108776
1,169,707
A
2000-02-09
55.525749
56.285767
54.139843
54.184547
46.129608
1,182,848
A
2000-02-10
55.078686
56.375179
53.871601
54.855148
46.700516
1,066,814
A
2000-02-11
54.721031
54.944565
53.513947
53.916309
45.901245
751,705
A
2000-02-14
53.826897
55.033978
53.513947
54.676323
46.548279
837,682
A
2000-02-15
54.765736
59.370529
54.765736
58.565807
49.859562
2,017,594
A
2000-02-16
57.224606
58.565807
56.777538
57.939915
49.326721
1,801,742
A
2000-02-17
57.939915
69.384834
55.525749
69.384834
59.070271
944,908
A
2000-02-18
63.304722
68.580116
62.991776
67.060089
57.091099
4,060,072
A
2000-02-22
68.669525
69.653076
64.377686
65.450645
55.720932
2,227,993
A
2000-02-23
65.540054
71.888412
65.540054
70.815453
60.288219
1,690,042
A
2000-02-24
72.514305
82.573318
71.888412
76.359085
65.007759
2,956,351
A
2000-02-25
73.944923
81.500359
73.855507
77.342628
65.845062
2,048,210
A
2000-02-28
77.342628
78.102646
70.278969
72.246063
61.506142
1,675,363
A
2000-02-29
72.559013
76.448502
72.469597
74.302574
63.256954
958,049
A
2000-03-01
74.749641
79.935623
74.570816
78.057938
66.454071
1,037,875
A
2000-03-02
78.63913
78.68383
73.319031
75.319656
64.12281
1,188,300
A
2000-03-03
75.062592
79.935623
75.062592
77.25322
65.768951
1,215,841
A
2000-03-06
80.829758
115.879829
80.472099
113.73391
96.826546
5,693,495
A
2000-03-07
111.587982
115.16452
93.705292
101.573677
86.473984
7,710,809
A
2000-03-08
104.434906
108.726753
100.143059
108.726753
92.563728
3,953,963
A
2000-03-09
105.150215
110.157372
103.719597
109.442062
93.172707
2,514,583
A
2000-03-10
109.442062
110.783264
100.143059
101.573677
86.473984
2,479,353
A
2000-03-13
93.034691
99.383049
92.632332
93.884117
79.927559
2,626,702
A
2000-03-14
95.13591
97.28183
85.032188
86.820457
73.913963
3,522,960
A
2000-03-15
91.648781
91.648781
81.008583
81.723892
69.575027
3,046,242
A
2000-03-16
82.975677
87.982834
80.114449
84.451004
71.896736
2,769,578
A
2000-03-17
85.345139
90.844063
84.495705
86.641632
73.761711
1,563,803
A
2000-03-20
86.149857
86.909874
80.829758
81.366234
69.270531
1,420,648
A
2000-03-21
79.220314
82.260368
75.643776
82.260368
70.031761
2,528,283
A
2000-03-22
81.232117
86.507507
78.013229
85.434547
72.734085
1,967,965
A
2000-03-23
85.30043
88.51931
83.690987
85.613373
72.886299
1,951,888
A
2000-03-24
84.942772
86.552216
83.154503
85.836906
73.07663
1,230,520
A
2000-03-27
84.540413
85.479256
80.963875
81.723892
69.575027
846,769
A
2000-03-28
81.545067
87.222816
81.187408
85.211014
72.543747
1,392,548
A
2000-03-29
85.121605
86.552216
78.68383
80.114449
68.204834
1,250,371
A
2000-03-30
77.387337
80.472099
70.904861
75.1073
63.942036
2,034,230
A
2000-03-31
75.822601
75.822601
64.377686
74.391991
63.333073
3,732,940
A
2000-04-03
73.676682
73.855507
65.629471
70.100143
59.679245
2,030,875
A
2000-04-04
70.100143
73.229614
58.655224
66.881256
56.938881
3,519,884
A
2000-04-05
66.34478
71.441345
64.467094
69.340126
59.032196
2,109,163
A
2000-04-06
70.368385
75.1073
69.429543
75.1073
63.942036
1,375,073
A
2000-04-07
76.895561
89.413445
76.582619
87.267525
74.29454
2,975,224
A
2000-04-10
87.267525
87.267525
75.375534
76.627327
65.236122
2,956,071
A
2000-04-11
72.246063
75.017883
71.217812
72.201363
61.468109
1,896,107

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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