generic_technical_indicator.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "import pandas as pd\n",
    "import numpy as np\n",
    "import time\n",
    "import pickle"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [],
   "source": [
    "with open('market_factors.pkl','rb') as f:\n",
    "    market_factors = pickle.load(f)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Index(['index', 'Unnamed: 0', 'time', 'assetCode', 'assetName', 'volume',\n",
       "       'close', 'open', 'returnsClosePrevRaw1', 'returnsOpenPrevRaw1',\n",
       "       'returnsClosePrevMktres1', 'returnsOpenPrevMktres1',\n",
       "       'returnsClosePrevRaw10', 'returnsOpenPrevRaw10',\n",
       "       'returnsClosePrevMktres10', 'returnsOpenPrevMktres10',\n",
       "       'returnsOpenNextMktres10', 'universe', 'returnsVolumePrev1',\n",
       "       'returnsVolumePrev10', 'CloseMA5', 'CloseMA10', 'CloseMA20',\n",
       "       'returnsCloseMA5', 'returnsCloseMA10', 'returnsCloseMA20', 'VolumeMA5',\n",
       "       'VolumeMA10', 'VolumeMA20', 'returnsVolumeMA5', 'returnsVolumeMA10',\n",
       "       'returnsVolumeMA20'],\n",
       "      dtype='object')"
      ]
     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "market_factors.columns"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Must first sort by assetCode and time\n",
    "market_factors = market_factors.sort_values(['assetCode', 'time'], ascending=[True, True]).reset_index()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [],
   "source": [
    "def truncated_return( x ):\n",
    "    return x[-1]/x[0]-1.0 if x[0]>0.0 else float('nan')\n",
    "\n",
    "# Relative return on score, measuring momentum\n",
    "def relative_return( df, score, window ):\n",
    "    df['return_Prev'+str(window)+'_'+score] = df[score].rolling(window+1).apply(truncated_return)\n",
    "    print('Done calculating '+'return_Prev'+str(window)+'_'+score)\n",
    "    \n",
    "# Moving average of score\n",
    "def moving_average( df, score, window):\n",
    "    df['ma'+str(window)+'_'+score] = df[score].rolling(window).apply(np.mean)\n",
    "    print('Done calculating '+'ma'+str(window)+'_'+score)\n",
    "    \n",
    "# Relative return on moving average, another measure of momentum\n",
    "def moving_average_return( df, score, short_window, long_window ):\n",
    "    tmp1 = df[score].rolling(short_window).apply(np.mean)\n",
    "    tmp2 = df[score].rolling(long_window).apply(np.mean)\n",
    "    df['return_ma'+str(short_window)+'_ma'+str(long_window)+'_'+score] = tmp1/tmp2 - 1.0\n",
    "    print('Done calculating '+'return_ma'+str(short_window)+'_ma'+str(long_window)+'_'+score)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Example usage"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {
    "scrolled": false
   },
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "C:\\Users\\georg\\Anaconda3 new\\lib\\site-packages\\ipykernel_launcher.py:6: FutureWarning: Currently, 'apply' passes the values as ndarrays to the applied function. In the future, this will change to passing it as Series objects. You need to specify 'raw=True' to keep the current behaviour, and you can pass 'raw=False' to silence this warning\n",
      "  \n"
     ]
    },
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Done calculating return_Prev1_volume\n",
      "Done calculating return_Prev2_volume\n",
      "Done calculating return_Prev5_volume\n"
     ]
    },
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "C:\\Users\\georg\\Anaconda3 new\\lib\\site-packages\\ipykernel_launcher.py:11: FutureWarning: Currently, 'apply' passes the values as ndarrays to the applied function. In the future, this will change to passing it as Series objects. You need to specify 'raw=True' to keep the current behaviour, and you can pass 'raw=False' to silence this warning\n",
      "  # This is added back by InteractiveShellApp.init_path()\n"
     ]
    },
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Done calculating ma5_volume\n",
      "Done calculating ma10_volume\n",
      "Done calculating ma20_volume\n"
     ]
    },
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "C:\\Users\\georg\\Anaconda3 new\\lib\\site-packages\\ipykernel_launcher.py:16: FutureWarning: Currently, 'apply' passes the values as ndarrays to the applied function. In the future, this will change to passing it as Series objects. You need to specify 'raw=True' to keep the current behaviour, and you can pass 'raw=False' to silence this warning\n",
      "  app.launch_new_instance()\n",
      "C:\\Users\\georg\\Anaconda3 new\\lib\\site-packages\\ipykernel_launcher.py:17: FutureWarning: Currently, 'apply' passes the values as ndarrays to the applied function. In the future, this will change to passing it as Series objects. You need to specify 'raw=True' to keep the current behaviour, and you can pass 'raw=False' to silence this warning\n"
     ]
    },
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Done calculating return_ma1_ma5_volume\n",
      "Done calculating return_ma5_ma10_volume\n",
      "Done calculating return_ma10_ma20_volume\n",
      "Done!\n",
      "--- 226.73504281044006 seconds ---\n"
     ]
    }
   ],
   "source": [
    "start_time = time.time()\n",
    "relative_return( market_factors, 'volume', 1)\n",
    "relative_return( market_factors, 'volume', 2)\n",
    "relative_return( market_factors, 'volume', 5)\n",
    "moving_average( market_factors, 'volume', 5)\n",
    "moving_average( market_factors, 'volume', 10)\n",
    "moving_average( market_factors, 'volume', 20)\n",
    "moving_average_return( market_factors, 'volume', 1, 5)\n",
    "moving_average_return( market_factors, 'volume', 5, 10)\n",
    "moving_average_return( market_factors, 'volume', 10,20)\n",
    "print('Done!')\n",
    "print(\"--- %s seconds ---\" % (time.time() - start_time))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "metadata": {},
   "outputs": [],
   "source": [
    "market_factors = market_factors.sort_values(['time', 'assetCode'], ascending=[True, True]).reset_index(drop = True) "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>time</th>\n",
       "      <th>assetCode</th>\n",
       "      <th>volume</th>\n",
       "      <th>return_Prev1_volume</th>\n",
       "      <th>return_Prev2_volume</th>\n",
       "      <th>return_Prev5_volume</th>\n",
       "      <th>ma5_volume</th>\n",
       "      <th>ma10_volume</th>\n",
       "      <th>ma20_volume</th>\n",
       "      <th>return_ma1_ma5_volume</th>\n",
       "      <th>return_ma5_ma10_volume</th>\n",
       "      <th>return_ma10_ma20_volume</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>A.N</td>\n",
       "      <td>2606900.0</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AAI.N</td>\n",
       "      <td>2051600.0</td>\n",
       "      <td>-0.236187</td>\n",
       "      <td>-0.363833</td>\n",
       "      <td>-0.289472</td>\n",
       "      <td>2484507.4</td>\n",
       "      <td>2728857.9</td>\n",
       "      <td>2009839.60</td>\n",
       "      <td>-0.174243</td>\n",
       "      <td>-0.089543</td>\n",
       "      <td>0.357749</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AAP.N</td>\n",
       "      <td>1164800.0</td>\n",
       "      <td>5.324660</td>\n",
       "      <td>4.431721</td>\n",
       "      <td>8.089207</td>\n",
       "      <td>384673.6</td>\n",
       "      <td>287933.9</td>\n",
       "      <td>242943.85</td>\n",
       "      <td>2.028022</td>\n",
       "      <td>0.335979</td>\n",
       "      <td>0.185187</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AAPL.O</td>\n",
       "      <td>23747329.0</td>\n",
       "      <td>45.290819</td>\n",
       "      <td>54.048144</td>\n",
       "      <td>70.036195</td>\n",
       "      <td>5112135.2</td>\n",
       "      <td>2909132.0</td>\n",
       "      <td>1889793.80</td>\n",
       "      <td>3.645286</td>\n",
       "      <td>0.757272</td>\n",
       "      <td>0.539391</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ABB.N</td>\n",
       "      <td>1208600.0</td>\n",
       "      <td>2.934001</td>\n",
       "      <td>4.717232</td>\n",
       "      <td>5.542344</td>\n",
       "      <td>415506.0</td>\n",
       "      <td>389286.7</td>\n",
       "      <td>345792.35</td>\n",
       "      <td>1.908743</td>\n",
       "      <td>0.067352</td>\n",
       "      <td>0.125782</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ABC.N</td>\n",
       "      <td>1657300.0</td>\n",
       "      <td>-0.723746</td>\n",
       "      <td>-0.667878</td>\n",
       "      <td>-0.654593</td>\n",
       "      <td>4646620.6</td>\n",
       "      <td>5088440.1</td>\n",
       "      <td>6739285.40</td>\n",
       "      <td>-0.643332</td>\n",
       "      <td>-0.086828</td>\n",
       "      <td>-0.244959</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ABD.N</td>\n",
       "      <td>1186200.0</td>\n",
       "      <td>2.195599</td>\n",
       "      <td>3.245086</td>\n",
       "      <td>1.771962</td>\n",
       "      <td>536761.6</td>\n",
       "      <td>516689.2</td>\n",
       "      <td>581519.40</td>\n",
       "      <td>1.209920</td>\n",
       "      <td>0.038848</td>\n",
       "      <td>-0.111484</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ABM.N</td>\n",
       "      <td>301200.0</td>\n",
       "      <td>-0.817553</td>\n",
       "      <td>-0.838075</td>\n",
       "      <td>-0.807481</td>\n",
       "      <td>1134213.4</td>\n",
       "      <td>1873365.1</td>\n",
       "      <td>2056308.55</td>\n",
       "      <td>-0.734442</td>\n",
       "      <td>-0.394558</td>\n",
       "      <td>-0.088967</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ABT.N</td>\n",
       "      <td>5692300.0</td>\n",
       "      <td>33.280225</td>\n",
       "      <td>30.700322</td>\n",
       "      <td>38.939519</td>\n",
       "      <td>1278779.0</td>\n",
       "      <td>840188.8</td>\n",
       "      <td>650409.10</td>\n",
       "      <td>3.451356</td>\n",
       "      <td>0.522014</td>\n",
       "      <td>0.291785</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ABV.N</td>\n",
       "      <td>401800.0</td>\n",
       "      <td>-0.961534</td>\n",
       "      <td>-0.943014</td>\n",
       "      <td>-0.913136</td>\n",
       "      <td>6272090.0</td>\n",
       "      <td>7030432.4</td>\n",
       "      <td>8128479.65</td>\n",
       "      <td>-0.935938</td>\n",
       "      <td>-0.107866</td>\n",
       "      <td>-0.135086</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ABY.N</td>\n",
       "      <td>9037700.0</td>\n",
       "      <td>-0.519102</td>\n",
       "      <td>-0.697425</td>\n",
       "      <td>-0.272931</td>\n",
       "      <td>17382914.0</td>\n",
       "      <td>15102181.9</td>\n",
       "      <td>18286117.65</td>\n",
       "      <td>-0.480081</td>\n",
       "      <td>0.151020</td>\n",
       "      <td>-0.174118</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ACF.N</td>\n",
       "      <td>1375200.0</td>\n",
       "      <td>5.480007</td>\n",
       "      <td>5.675372</td>\n",
       "      <td>5.835194</td>\n",
       "      <td>417018.0</td>\n",
       "      <td>313747.4</td>\n",
       "      <td>272947.40</td>\n",
       "      <td>2.297699</td>\n",
       "      <td>0.329152</td>\n",
       "      <td>0.149479</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ACH.N</td>\n",
       "      <td>1636100.0</td>\n",
       "      <td>1.976270</td>\n",
       "      <td>5.714684</td>\n",
       "      <td>5.378259</td>\n",
       "      <td>563357.2</td>\n",
       "      <td>406809.5</td>\n",
       "      <td>444235.45</td>\n",
       "      <td>1.904196</td>\n",
       "      <td>0.384818</td>\n",
       "      <td>-0.084248</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ACL.N</td>\n",
       "      <td>255300.0</td>\n",
       "      <td>-0.319274</td>\n",
       "      <td>0.034219</td>\n",
       "      <td>0.104607</td>\n",
       "      <td>292148.2</td>\n",
       "      <td>336063.6</td>\n",
       "      <td>558232.30</td>\n",
       "      <td>-0.126128</td>\n",
       "      <td>-0.130676</td>\n",
       "      <td>-0.397986</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ACS.N</td>\n",
       "      <td>1302100.0</td>\n",
       "      <td>0.336742</td>\n",
       "      <td>3.361618</td>\n",
       "      <td>1.000953</td>\n",
       "      <td>670289.2</td>\n",
       "      <td>630315.1</td>\n",
       "      <td>655730.90</td>\n",
       "      <td>0.942594</td>\n",
       "      <td>0.063419</td>\n",
       "      <td>-0.038759</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ACTS.O</td>\n",
       "      <td>619929.0</td>\n",
       "      <td>-0.216776</td>\n",
       "      <td>-0.767976</td>\n",
       "      <td>-0.244028</td>\n",
       "      <td>1090107.8</td>\n",
       "      <td>816760.1</td>\n",
       "      <td>666687.40</td>\n",
       "      <td>-0.431314</td>\n",
       "      <td>0.334673</td>\n",
       "      <td>0.225102</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>16</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ACXM.O</td>\n",
       "      <td>407032.0</td>\n",
       "      <td>-0.701756</td>\n",
       "      <td>-0.446518</td>\n",
       "      <td>-0.355533</td>\n",
       "      <td>736899.0</td>\n",
       "      <td>803242.4</td>\n",
       "      <td>594752.80</td>\n",
       "      <td>-0.447642</td>\n",
       "      <td>-0.082594</td>\n",
       "      <td>0.350548</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>17</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AD.N</td>\n",
       "      <td>299100.0</td>\n",
       "      <td>0.449346</td>\n",
       "      <td>1.939153</td>\n",
       "      <td>0.158211</td>\n",
       "      <td>194410.4</td>\n",
       "      <td>302414.0</td>\n",
       "      <td>331818.85</td>\n",
       "      <td>0.538498</td>\n",
       "      <td>-0.357138</td>\n",
       "      <td>-0.088617</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>18</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ADBE.O</td>\n",
       "      <td>4664955.0</td>\n",
       "      <td>21.867426</td>\n",
       "      <td>15.053060</td>\n",
       "      <td>6.207903</td>\n",
       "      <td>1117539.4</td>\n",
       "      <td>699499.7</td>\n",
       "      <td>500956.85</td>\n",
       "      <td>3.174309</td>\n",
       "      <td>0.597627</td>\n",
       "      <td>0.396327</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>19</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ADCT.O</td>\n",
       "      <td>2469603.0</td>\n",
       "      <td>52.404905</td>\n",
       "      <td>20.939740</td>\n",
       "      <td>1.255382</td>\n",
       "      <td>979481.8</td>\n",
       "      <td>1154822.0</td>\n",
       "      <td>2412884.95</td>\n",
       "      <td>1.521336</td>\n",
       "      <td>-0.151833</td>\n",
       "      <td>-0.521394</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>20</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ADI.N</td>\n",
       "      <td>3737000.0</td>\n",
       "      <td>4.107263</td>\n",
       "      <td>1.592858</td>\n",
       "      <td>2.869780</td>\n",
       "      <td>1407637.2</td>\n",
       "      <td>1075255.4</td>\n",
       "      <td>992507.90</td>\n",
       "      <td>1.654803</td>\n",
       "      <td>0.309119</td>\n",
       "      <td>0.083372</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ADM.N</td>\n",
       "      <td>20659600.0</td>\n",
       "      <td>10.744688</td>\n",
       "      <td>14.521910</td>\n",
       "      <td>15.809242</td>\n",
       "      <td>5299547.4</td>\n",
       "      <td>3495325.0</td>\n",
       "      <td>3032482.90</td>\n",
       "      <td>2.898371</td>\n",
       "      <td>0.516182</td>\n",
       "      <td>0.152628</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>22</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ADP.N</td>\n",
       "      <td>3388600.0</td>\n",
       "      <td>7.390718</td>\n",
       "      <td>1.304016</td>\n",
       "      <td>7.118410</td>\n",
       "      <td>1257382.8</td>\n",
       "      <td>1162990.4</td>\n",
       "      <td>1774362.90</td>\n",
       "      <td>1.694963</td>\n",
       "      <td>0.081164</td>\n",
       "      <td>-0.344559</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>23</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ADS.N</td>\n",
       "      <td>2963800.0</td>\n",
       "      <td>11.761523</td>\n",
       "      <td>10.334753</td>\n",
       "      <td>13.166695</td>\n",
       "      <td>785472.6</td>\n",
       "      <td>495328.8</td>\n",
       "      <td>387624.70</td>\n",
       "      <td>2.773270</td>\n",
       "      <td>0.585760</td>\n",
       "      <td>0.277857</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>24</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ADSK.O</td>\n",
       "      <td>1893829.0</td>\n",
       "      <td>4.591085</td>\n",
       "      <td>3.528373</td>\n",
       "      <td>5.585788</td>\n",
       "      <td>698900.4</td>\n",
       "      <td>523773.0</td>\n",
       "      <td>577050.40</td>\n",
       "      <td>1.709727</td>\n",
       "      <td>0.334357</td>\n",
       "      <td>-0.092327</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>25</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ADTN.O</td>\n",
       "      <td>1019674.0</td>\n",
       "      <td>-0.531112</td>\n",
       "      <td>-0.708312</td>\n",
       "      <td>-0.564564</td>\n",
       "      <td>2539626.4</td>\n",
       "      <td>3232532.4</td>\n",
       "      <td>3173439.85</td>\n",
       "      <td>-0.598494</td>\n",
       "      <td>-0.214354</td>\n",
       "      <td>0.018621</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>26</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AEA.N</td>\n",
       "      <td>185900.0</td>\n",
       "      <td>-0.771125</td>\n",
       "      <td>-0.922360</td>\n",
       "      <td>-0.649899</td>\n",
       "      <td>1032833.8</td>\n",
       "      <td>761056.1</td>\n",
       "      <td>572785.90</td>\n",
       "      <td>-0.820010</td>\n",
       "      <td>0.357106</td>\n",
       "      <td>0.328692</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>27</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AEE.N</td>\n",
       "      <td>589200.0</td>\n",
       "      <td>3.056790</td>\n",
       "      <td>1.560681</td>\n",
       "      <td>0.852254</td>\n",
       "      <td>318563.0</td>\n",
       "      <td>279354.1</td>\n",
       "      <td>376027.25</td>\n",
       "      <td>0.849556</td>\n",
       "      <td>0.140356</td>\n",
       "      <td>-0.257091</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>28</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AEG.N</td>\n",
       "      <td>272700.0</td>\n",
       "      <td>-0.713278</td>\n",
       "      <td>-0.704485</td>\n",
       "      <td>-0.543695</td>\n",
       "      <td>678928.6</td>\n",
       "      <td>766700.0</td>\n",
       "      <td>1217289.20</td>\n",
       "      <td>-0.598338</td>\n",
       "      <td>-0.114479</td>\n",
       "      <td>-0.370158</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>29</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AEIS.O</td>\n",
       "      <td>353504.0</td>\n",
       "      <td>-0.238801</td>\n",
       "      <td>0.157064</td>\n",
       "      <td>0.058785</td>\n",
       "      <td>521244.8</td>\n",
       "      <td>516219.2</td>\n",
       "      <td>582778.70</td>\n",
       "      <td>-0.321808</td>\n",
       "      <td>0.009735</td>\n",
       "      <td>-0.114211</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>70</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ALXN.O</td>\n",
       "      <td>670027.0</td>\n",
       "      <td>-0.075997</td>\n",
       "      <td>1.125585</td>\n",
       "      <td>0.878300</td>\n",
       "      <td>465575.0</td>\n",
       "      <td>441716.7</td>\n",
       "      <td>450578.55</td>\n",
       "      <td>0.439139</td>\n",
       "      <td>0.054013</td>\n",
       "      <td>-0.019668</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>71</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AMAT.O</td>\n",
       "      <td>22197983.0</td>\n",
       "      <td>86.394322</td>\n",
       "      <td>129.151464</td>\n",
       "      <td>48.828241</td>\n",
       "      <td>4715218.6</td>\n",
       "      <td>2632834.0</td>\n",
       "      <td>1526948.60</td>\n",
       "      <td>3.707731</td>\n",
       "      <td>0.790929</td>\n",
       "      <td>0.724245</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>72</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AMD.N</td>\n",
       "      <td>23451900.0</td>\n",
       "      <td>42.178768</td>\n",
       "      <td>46.706413</td>\n",
       "      <td>63.705071</td>\n",
       "      <td>5107112.2</td>\n",
       "      <td>2884929.0</td>\n",
       "      <td>2091913.45</td>\n",
       "      <td>3.592008</td>\n",
       "      <td>0.770273</td>\n",
       "      <td>0.379086</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>73</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AME.N</td>\n",
       "      <td>332900.0</td>\n",
       "      <td>-0.992450</td>\n",
       "      <td>-0.993373</td>\n",
       "      <td>-0.989690</td>\n",
       "      <td>42050695.2</td>\n",
       "      <td>42920659.7</td>\n",
       "      <td>52844946.70</td>\n",
       "      <td>-0.992083</td>\n",
       "      <td>-0.020269</td>\n",
       "      <td>-0.187800</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>74</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AMED.O</td>\n",
       "      <td>464275.0</td>\n",
       "      <td>-0.556210</td>\n",
       "      <td>-0.478127</td>\n",
       "      <td>-0.302739</td>\n",
       "      <td>787806.2</td>\n",
       "      <td>942394.8</td>\n",
       "      <td>1776979.25</td>\n",
       "      <td>-0.410674</td>\n",
       "      <td>-0.164038</td>\n",
       "      <td>-0.469665</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>75</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AMG.N</td>\n",
       "      <td>481100.0</td>\n",
       "      <td>0.723354</td>\n",
       "      <td>1.457764</td>\n",
       "      <td>2.293266</td>\n",
       "      <td>246709.6</td>\n",
       "      <td>239104.8</td>\n",
       "      <td>297262.25</td>\n",
       "      <td>0.950066</td>\n",
       "      <td>0.031805</td>\n",
       "      <td>-0.195644</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>76</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AMGN.O</td>\n",
       "      <td>13781108.0</td>\n",
       "      <td>19.558324</td>\n",
       "      <td>26.779843</td>\n",
       "      <td>40.232779</td>\n",
       "      <td>3153730.4</td>\n",
       "      <td>1824974.8</td>\n",
       "      <td>1244117.40</td>\n",
       "      <td>3.369780</td>\n",
       "      <td>0.728095</td>\n",
       "      <td>0.466883</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>77</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AMKR.O</td>\n",
       "      <td>1982594.0</td>\n",
       "      <td>2.412271</td>\n",
       "      <td>7.841275</td>\n",
       "      <td>6.745960</td>\n",
       "      <td>651010.6</td>\n",
       "      <td>490188.1</td>\n",
       "      <td>408352.40</td>\n",
       "      <td>2.045410</td>\n",
       "      <td>0.328083</td>\n",
       "      <td>0.200405</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>78</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AMLN.O</td>\n",
       "      <td>2756350.0</td>\n",
       "      <td>1.172493</td>\n",
       "      <td>2.416068</td>\n",
       "      <td>2.467399</td>\n",
       "      <td>1416148.0</td>\n",
       "      <td>1220394.4</td>\n",
       "      <td>1418270.85</td>\n",
       "      <td>0.946371</td>\n",
       "      <td>0.160402</td>\n",
       "      <td>-0.139520</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>79</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AMMD.O</td>\n",
       "      <td>419510.0</td>\n",
       "      <td>-0.836440</td>\n",
       "      <td>-0.820412</td>\n",
       "      <td>-0.866916</td>\n",
       "      <td>2926952.2</td>\n",
       "      <td>3143391.2</td>\n",
       "      <td>10546815.50</td>\n",
       "      <td>-0.856673</td>\n",
       "      <td>-0.068855</td>\n",
       "      <td>-0.701958</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>80</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AMP.N</td>\n",
       "      <td>990600.0</td>\n",
       "      <td>0.752248</td>\n",
       "      <td>1.349035</td>\n",
       "      <td>0.829001</td>\n",
       "      <td>573492.2</td>\n",
       "      <td>559524.1</td>\n",
       "      <td>703038.40</td>\n",
       "      <td>0.727312</td>\n",
       "      <td>0.024964</td>\n",
       "      <td>-0.204134</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>81</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AMT.N</td>\n",
       "      <td>2217500.0</td>\n",
       "      <td>1.390132</td>\n",
       "      <td>1.360002</td>\n",
       "      <td>-0.648523</td>\n",
       "      <td>1643532.2</td>\n",
       "      <td>2024914.9</td>\n",
       "      <td>1786880.40</td>\n",
       "      <td>0.349228</td>\n",
       "      <td>-0.188345</td>\n",
       "      <td>0.133212</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>82</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AMTD.O</td>\n",
       "      <td>3310528.0</td>\n",
       "      <td>0.288563</td>\n",
       "      <td>0.784715</td>\n",
       "      <td>0.229928</td>\n",
       "      <td>2521111.0</td>\n",
       "      <td>2524068.5</td>\n",
       "      <td>2146432.10</td>\n",
       "      <td>0.313123</td>\n",
       "      <td>-0.001172</td>\n",
       "      <td>0.175937</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>83</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AMX.N</td>\n",
       "      <td>5528900.0</td>\n",
       "      <td>6.158375</td>\n",
       "      <td>4.941374</td>\n",
       "      <td>3.024686</td>\n",
       "      <td>1710801.8</td>\n",
       "      <td>1389996.2</td>\n",
       "      <td>963645.30</td>\n",
       "      <td>2.231760</td>\n",
       "      <td>0.230796</td>\n",
       "      <td>0.442436</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>84</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AMZN.O</td>\n",
       "      <td>26356712.0</td>\n",
       "      <td>13.899780</td>\n",
       "      <td>15.143625</td>\n",
       "      <td>10.647780</td>\n",
       "      <td>6613151.4</td>\n",
       "      <td>4499602.9</td>\n",
       "      <td>4244633.55</td>\n",
       "      <td>2.985500</td>\n",
       "      <td>0.469719</td>\n",
       "      <td>0.060069</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>85</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AN.N</td>\n",
       "      <td>1717200.0</td>\n",
       "      <td>-0.585162</td>\n",
       "      <td>-0.456290</td>\n",
       "      <td>-0.133435</td>\n",
       "      <td>2990939.6</td>\n",
       "      <td>2734136.3</td>\n",
       "      <td>3357524.20</td>\n",
       "      <td>-0.425866</td>\n",
       "      <td>0.093925</td>\n",
       "      <td>-0.185669</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>86</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ANDE.O</td>\n",
       "      <td>273166.0</td>\n",
       "      <td>-0.969495</td>\n",
       "      <td>-0.986618</td>\n",
       "      <td>-0.802806</td>\n",
       "      <td>6872218.4</td>\n",
       "      <td>5174617.5</td>\n",
       "      <td>3593460.45</td>\n",
       "      <td>-0.960251</td>\n",
       "      <td>0.328063</td>\n",
       "      <td>0.440010</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>87</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ANDW.O</td>\n",
       "      <td>4692783.0</td>\n",
       "      <td>33.095607</td>\n",
       "      <td>22.028673</td>\n",
       "      <td>21.455763</td>\n",
       "      <td>1060037.0</td>\n",
       "      <td>631537.9</td>\n",
       "      <td>414524.35</td>\n",
       "      <td>3.426999</td>\n",
       "      <td>0.678501</td>\n",
       "      <td>0.523524</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>88</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ANF.N</td>\n",
       "      <td>2435800.0</td>\n",
       "      <td>8.736190</td>\n",
       "      <td>9.151197</td>\n",
       "      <td>16.563290</td>\n",
       "      <td>761789.2</td>\n",
       "      <td>623513.3</td>\n",
       "      <td>748446.75</td>\n",
       "      <td>2.197472</td>\n",
       "      <td>0.221769</td>\n",
       "      <td>-0.166924</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>89</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>ANR.N</td>\n",
       "      <td>852000.0</td>\n",
       "      <td>0.838319</td>\n",
       "      <td>2.074236</td>\n",
       "      <td>1.476384</td>\n",
       "      <td>448324.2</td>\n",
       "      <td>585142.9</td>\n",
       "      <td>800609.80</td>\n",
       "      <td>0.900410</td>\n",
       "      <td>-0.233821</td>\n",
       "      <td>-0.269128</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>90</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AOC.N</td>\n",
       "      <td>1189600.0</td>\n",
       "      <td>3.123954</td>\n",
       "      <td>0.900004</td>\n",
       "      <td>0.714447</td>\n",
       "      <td>637510.4</td>\n",
       "      <td>1106454.3</td>\n",
       "      <td>1411435.55</td>\n",
       "      <td>0.866009</td>\n",
       "      <td>-0.423826</td>\n",
       "      <td>-0.216079</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>91</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AOS.N</td>\n",
       "      <td>492700.0</td>\n",
       "      <td>-0.829164</td>\n",
       "      <td>-0.613037</td>\n",
       "      <td>-0.696856</td>\n",
       "      <td>1623399.2</td>\n",
       "      <td>2257473.9</td>\n",
       "      <td>2865304.90</td>\n",
       "      <td>-0.696501</td>\n",
       "      <td>-0.280878</td>\n",
       "      <td>-0.212135</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>92</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>APA.N</td>\n",
       "      <td>6339700.0</td>\n",
       "      <td>6.335239</td>\n",
       "      <td>8.245872</td>\n",
       "      <td>6.870310</td>\n",
       "      <td>1863133.2</td>\n",
       "      <td>1475197.7</td>\n",
       "      <td>1375266.30</td>\n",
       "      <td>2.402709</td>\n",
       "      <td>0.262972</td>\n",
       "      <td>0.072663</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>93</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>APC.N</td>\n",
       "      <td>4386200.0</td>\n",
       "      <td>18.230044</td>\n",
       "      <td>14.079744</td>\n",
       "      <td>18.361873</td>\n",
       "      <td>1050631.2</td>\n",
       "      <td>696483.7</td>\n",
       "      <td>648302.30</td>\n",
       "      <td>3.174824</td>\n",
       "      <td>0.508479</td>\n",
       "      <td>0.074319</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>94</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>APD.N</td>\n",
       "      <td>1256100.0</td>\n",
       "      <td>-0.486730</td>\n",
       "      <td>-0.462779</td>\n",
       "      <td>-0.302443</td>\n",
       "      <td>2002637.6</td>\n",
       "      <td>2419442.8</td>\n",
       "      <td>3828708.15</td>\n",
       "      <td>-0.372777</td>\n",
       "      <td>-0.172273</td>\n",
       "      <td>-0.368079</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>95</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>APH.N</td>\n",
       "      <td>473600.0</td>\n",
       "      <td>0.254403</td>\n",
       "      <td>0.860516</td>\n",
       "      <td>0.575631</td>\n",
       "      <td>279717.8</td>\n",
       "      <td>292098.5</td>\n",
       "      <td>353219.20</td>\n",
       "      <td>0.693135</td>\n",
       "      <td>-0.042385</td>\n",
       "      <td>-0.173039</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>96</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>APKT.O</td>\n",
       "      <td>876166.0</td>\n",
       "      <td>-0.001180</td>\n",
       "      <td>0.491831</td>\n",
       "      <td>0.748070</td>\n",
       "      <td>652852.4</td>\n",
       "      <td>726676.2</td>\n",
       "      <td>1072081.90</td>\n",
       "      <td>0.342058</td>\n",
       "      <td>-0.101591</td>\n",
       "      <td>-0.322182</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>97</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>APOL.O</td>\n",
       "      <td>1705126.0</td>\n",
       "      <td>7.962225</td>\n",
       "      <td>10.536009</td>\n",
       "      <td>5.593809</td>\n",
       "      <td>524390.2</td>\n",
       "      <td>449893.6</td>\n",
       "      <td>442483.75</td>\n",
       "      <td>2.251636</td>\n",
       "      <td>0.165587</td>\n",
       "      <td>0.016746</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>98</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>APPB.O</td>\n",
       "      <td>2487535.0</td>\n",
       "      <td>2.214397</td>\n",
       "      <td>6.755685</td>\n",
       "      <td>4.752869</td>\n",
       "      <td>915890.0</td>\n",
       "      <td>672730.6</td>\n",
       "      <td>1116321.15</td>\n",
       "      <td>1.715976</td>\n",
       "      <td>0.361451</td>\n",
       "      <td>-0.397368</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>99</th>\n",
       "      <td>2007-02-01 22:00:00+00:00</td>\n",
       "      <td>AQNT.O</td>\n",
       "      <td>761459.0</td>\n",
       "      <td>-0.417673</td>\n",
       "      <td>0.034382</td>\n",
       "      <td>-0.285161</td>\n",
       "      <td>894333.2</td>\n",
       "      <td>1011460.1</td>\n",
       "      <td>1061238.55</td>\n",
       "      <td>-0.148573</td>\n",
       "      <td>-0.115800</td>\n",
       "      <td>-0.046906</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>100 rows × 12 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                         time assetCode      volume  return_Prev1_volume  \\\n",
       "0   2007-02-01 22:00:00+00:00       A.N   2606900.0                  NaN   \n",
       "1   2007-02-01 22:00:00+00:00     AAI.N   2051600.0            -0.236187   \n",
       "2   2007-02-01 22:00:00+00:00     AAP.N   1164800.0             5.324660   \n",
       "3   2007-02-01 22:00:00+00:00    AAPL.O  23747329.0            45.290819   \n",
       "4   2007-02-01 22:00:00+00:00     ABB.N   1208600.0             2.934001   \n",
       "5   2007-02-01 22:00:00+00:00     ABC.N   1657300.0            -0.723746   \n",
       "6   2007-02-01 22:00:00+00:00     ABD.N   1186200.0             2.195599   \n",
       "7   2007-02-01 22:00:00+00:00     ABM.N    301200.0            -0.817553   \n",
       "8   2007-02-01 22:00:00+00:00     ABT.N   5692300.0            33.280225   \n",
       "9   2007-02-01 22:00:00+00:00     ABV.N    401800.0            -0.961534   \n",
       "10  2007-02-01 22:00:00+00:00     ABY.N   9037700.0            -0.519102   \n",
       "11  2007-02-01 22:00:00+00:00     ACF.N   1375200.0             5.480007   \n",
       "12  2007-02-01 22:00:00+00:00     ACH.N   1636100.0             1.976270   \n",
       "13  2007-02-01 22:00:00+00:00     ACL.N    255300.0            -0.319274   \n",
       "14  2007-02-01 22:00:00+00:00     ACS.N   1302100.0             0.336742   \n",
       "15  2007-02-01 22:00:00+00:00    ACTS.O    619929.0            -0.216776   \n",
       "16  2007-02-01 22:00:00+00:00    ACXM.O    407032.0            -0.701756   \n",
       "17  2007-02-01 22:00:00+00:00      AD.N    299100.0             0.449346   \n",
       "18  2007-02-01 22:00:00+00:00    ADBE.O   4664955.0            21.867426   \n",
       "19  2007-02-01 22:00:00+00:00    ADCT.O   2469603.0            52.404905   \n",
       "20  2007-02-01 22:00:00+00:00     ADI.N   3737000.0             4.107263   \n",
       "21  2007-02-01 22:00:00+00:00     ADM.N  20659600.0            10.744688   \n",
       "22  2007-02-01 22:00:00+00:00     ADP.N   3388600.0             7.390718   \n",
       "23  2007-02-01 22:00:00+00:00     ADS.N   2963800.0            11.761523   \n",
       "24  2007-02-01 22:00:00+00:00    ADSK.O   1893829.0             4.591085   \n",
       "25  2007-02-01 22:00:00+00:00    ADTN.O   1019674.0            -0.531112   \n",
       "26  2007-02-01 22:00:00+00:00     AEA.N    185900.0            -0.771125   \n",
       "27  2007-02-01 22:00:00+00:00     AEE.N    589200.0             3.056790   \n",
       "28  2007-02-01 22:00:00+00:00     AEG.N    272700.0            -0.713278   \n",
       "29  2007-02-01 22:00:00+00:00    AEIS.O    353504.0            -0.238801   \n",
       "..                        ...       ...         ...                  ...   \n",
       "70  2007-02-01 22:00:00+00:00    ALXN.O    670027.0            -0.075997   \n",
       "71  2007-02-01 22:00:00+00:00    AMAT.O  22197983.0            86.394322   \n",
       "72  2007-02-01 22:00:00+00:00     AMD.N  23451900.0            42.178768   \n",
       "73  2007-02-01 22:00:00+00:00     AME.N    332900.0            -0.992450   \n",
       "74  2007-02-01 22:00:00+00:00    AMED.O    464275.0            -0.556210   \n",
       "75  2007-02-01 22:00:00+00:00     AMG.N    481100.0             0.723354   \n",
       "76  2007-02-01 22:00:00+00:00    AMGN.O  13781108.0            19.558324   \n",
       "77  2007-02-01 22:00:00+00:00    AMKR.O   1982594.0             2.412271   \n",
       "78  2007-02-01 22:00:00+00:00    AMLN.O   2756350.0             1.172493   \n",
       "79  2007-02-01 22:00:00+00:00    AMMD.O    419510.0            -0.836440   \n",
       "80  2007-02-01 22:00:00+00:00     AMP.N    990600.0             0.752248   \n",
       "81  2007-02-01 22:00:00+00:00     AMT.N   2217500.0             1.390132   \n",
       "82  2007-02-01 22:00:00+00:00    AMTD.O   3310528.0             0.288563   \n",
       "83  2007-02-01 22:00:00+00:00     AMX.N   5528900.0             6.158375   \n",
       "84  2007-02-01 22:00:00+00:00    AMZN.O  26356712.0            13.899780   \n",
       "85  2007-02-01 22:00:00+00:00      AN.N   1717200.0            -0.585162   \n",
       "86  2007-02-01 22:00:00+00:00    ANDE.O    273166.0            -0.969495   \n",
       "87  2007-02-01 22:00:00+00:00    ANDW.O   4692783.0            33.095607   \n",
       "88  2007-02-01 22:00:00+00:00     ANF.N   2435800.0             8.736190   \n",
       "89  2007-02-01 22:00:00+00:00     ANR.N    852000.0             0.838319   \n",
       "90  2007-02-01 22:00:00+00:00     AOC.N   1189600.0             3.123954   \n",
       "91  2007-02-01 22:00:00+00:00     AOS.N    492700.0            -0.829164   \n",
       "92  2007-02-01 22:00:00+00:00     APA.N   6339700.0             6.335239   \n",
       "93  2007-02-01 22:00:00+00:00     APC.N   4386200.0            18.230044   \n",
       "94  2007-02-01 22:00:00+00:00     APD.N   1256100.0            -0.486730   \n",
       "95  2007-02-01 22:00:00+00:00     APH.N    473600.0             0.254403   \n",
       "96  2007-02-01 22:00:00+00:00    APKT.O    876166.0            -0.001180   \n",
       "97  2007-02-01 22:00:00+00:00    APOL.O   1705126.0             7.962225   \n",
       "98  2007-02-01 22:00:00+00:00    APPB.O   2487535.0             2.214397   \n",
       "99  2007-02-01 22:00:00+00:00    AQNT.O    761459.0            -0.417673   \n",
       "\n",
       "    return_Prev2_volume  return_Prev5_volume  ma5_volume  ma10_volume  \\\n",
       "0                   NaN                  NaN         NaN          NaN   \n",
       "1             -0.363833            -0.289472   2484507.4    2728857.9   \n",
       "2              4.431721             8.089207    384673.6     287933.9   \n",
       "3             54.048144            70.036195   5112135.2    2909132.0   \n",
       "4              4.717232             5.542344    415506.0     389286.7   \n",
       "5             -0.667878            -0.654593   4646620.6    5088440.1   \n",
       "6              3.245086             1.771962    536761.6     516689.2   \n",
       "7             -0.838075            -0.807481   1134213.4    1873365.1   \n",
       "8             30.700322            38.939519   1278779.0     840188.8   \n",
       "9             -0.943014            -0.913136   6272090.0    7030432.4   \n",
       "10            -0.697425            -0.272931  17382914.0   15102181.9   \n",
       "11             5.675372             5.835194    417018.0     313747.4   \n",
       "12             5.714684             5.378259    563357.2     406809.5   \n",
       "13             0.034219             0.104607    292148.2     336063.6   \n",
       "14             3.361618             1.000953    670289.2     630315.1   \n",
       "15            -0.767976            -0.244028   1090107.8     816760.1   \n",
       "16            -0.446518            -0.355533    736899.0     803242.4   \n",
       "17             1.939153             0.158211    194410.4     302414.0   \n",
       "18            15.053060             6.207903   1117539.4     699499.7   \n",
       "19            20.939740             1.255382    979481.8    1154822.0   \n",
       "20             1.592858             2.869780   1407637.2    1075255.4   \n",
       "21            14.521910            15.809242   5299547.4    3495325.0   \n",
       "22             1.304016             7.118410   1257382.8    1162990.4   \n",
       "23            10.334753            13.166695    785472.6     495328.8   \n",
       "24             3.528373             5.585788    698900.4     523773.0   \n",
       "25            -0.708312            -0.564564   2539626.4    3232532.4   \n",
       "26            -0.922360            -0.649899   1032833.8     761056.1   \n",
       "27             1.560681             0.852254    318563.0     279354.1   \n",
       "28            -0.704485            -0.543695    678928.6     766700.0   \n",
       "29             0.157064             0.058785    521244.8     516219.2   \n",
       "..                  ...                  ...         ...          ...   \n",
       "70             1.125585             0.878300    465575.0     441716.7   \n",
       "71           129.151464            48.828241   4715218.6    2632834.0   \n",
       "72            46.706413            63.705071   5107112.2    2884929.0   \n",
       "73            -0.993373            -0.989690  42050695.2   42920659.7   \n",
       "74            -0.478127            -0.302739    787806.2     942394.8   \n",
       "75             1.457764             2.293266    246709.6     239104.8   \n",
       "76            26.779843            40.232779   3153730.4    1824974.8   \n",
       "77             7.841275             6.745960    651010.6     490188.1   \n",
       "78             2.416068             2.467399   1416148.0    1220394.4   \n",
       "79            -0.820412            -0.866916   2926952.2    3143391.2   \n",
       "80             1.349035             0.829001    573492.2     559524.1   \n",
       "81             1.360002            -0.648523   1643532.2    2024914.9   \n",
       "82             0.784715             0.229928   2521111.0    2524068.5   \n",
       "83             4.941374             3.024686   1710801.8    1389996.2   \n",
       "84            15.143625            10.647780   6613151.4    4499602.9   \n",
       "85            -0.456290            -0.133435   2990939.6    2734136.3   \n",
       "86            -0.986618            -0.802806   6872218.4    5174617.5   \n",
       "87            22.028673            21.455763   1060037.0     631537.9   \n",
       "88             9.151197            16.563290    761789.2     623513.3   \n",
       "89             2.074236             1.476384    448324.2     585142.9   \n",
       "90             0.900004             0.714447    637510.4    1106454.3   \n",
       "91            -0.613037            -0.696856   1623399.2    2257473.9   \n",
       "92             8.245872             6.870310   1863133.2    1475197.7   \n",
       "93            14.079744            18.361873   1050631.2     696483.7   \n",
       "94            -0.462779            -0.302443   2002637.6    2419442.8   \n",
       "95             0.860516             0.575631    279717.8     292098.5   \n",
       "96             0.491831             0.748070    652852.4     726676.2   \n",
       "97            10.536009             5.593809    524390.2     449893.6   \n",
       "98             6.755685             4.752869    915890.0     672730.6   \n",
       "99             0.034382            -0.285161    894333.2    1011460.1   \n",
       "\n",
       "    ma20_volume  return_ma1_ma5_volume  return_ma5_ma10_volume  \\\n",
       "0           NaN                    NaN                     NaN   \n",
       "1    2009839.60              -0.174243               -0.089543   \n",
       "2     242943.85               2.028022                0.335979   \n",
       "3    1889793.80               3.645286                0.757272   \n",
       "4     345792.35               1.908743                0.067352   \n",
       "5    6739285.40              -0.643332               -0.086828   \n",
       "6     581519.40               1.209920                0.038848   \n",
       "7    2056308.55              -0.734442               -0.394558   \n",
       "8     650409.10               3.451356                0.522014   \n",
       "9    8128479.65              -0.935938               -0.107866   \n",
       "10  18286117.65              -0.480081                0.151020   \n",
       "11    272947.40               2.297699                0.329152   \n",
       "12    444235.45               1.904196                0.384818   \n",
       "13    558232.30              -0.126128               -0.130676   \n",
       "14    655730.90               0.942594                0.063419   \n",
       "15    666687.40              -0.431314                0.334673   \n",
       "16    594752.80              -0.447642               -0.082594   \n",
       "17    331818.85               0.538498               -0.357138   \n",
       "18    500956.85               3.174309                0.597627   \n",
       "19   2412884.95               1.521336               -0.151833   \n",
       "20    992507.90               1.654803                0.309119   \n",
       "21   3032482.90               2.898371                0.516182   \n",
       "22   1774362.90               1.694963                0.081164   \n",
       "23    387624.70               2.773270                0.585760   \n",
       "24    577050.40               1.709727                0.334357   \n",
       "25   3173439.85              -0.598494               -0.214354   \n",
       "26    572785.90              -0.820010                0.357106   \n",
       "27    376027.25               0.849556                0.140356   \n",
       "28   1217289.20              -0.598338               -0.114479   \n",
       "29    582778.70              -0.321808                0.009735   \n",
       "..          ...                    ...                     ...   \n",
       "70    450578.55               0.439139                0.054013   \n",
       "71   1526948.60               3.707731                0.790929   \n",
       "72   2091913.45               3.592008                0.770273   \n",
       "73  52844946.70              -0.992083               -0.020269   \n",
       "74   1776979.25              -0.410674               -0.164038   \n",
       "75    297262.25               0.950066                0.031805   \n",
       "76   1244117.40               3.369780                0.728095   \n",
       "77    408352.40               2.045410                0.328083   \n",
       "78   1418270.85               0.946371                0.160402   \n",
       "79  10546815.50              -0.856673               -0.068855   \n",
       "80    703038.40               0.727312                0.024964   \n",
       "81   1786880.40               0.349228               -0.188345   \n",
       "82   2146432.10               0.313123               -0.001172   \n",
       "83    963645.30               2.231760                0.230796   \n",
       "84   4244633.55               2.985500                0.469719   \n",
       "85   3357524.20              -0.425866                0.093925   \n",
       "86   3593460.45              -0.960251                0.328063   \n",
       "87    414524.35               3.426999                0.678501   \n",
       "88    748446.75               2.197472                0.221769   \n",
       "89    800609.80               0.900410               -0.233821   \n",
       "90   1411435.55               0.866009               -0.423826   \n",
       "91   2865304.90              -0.696501               -0.280878   \n",
       "92   1375266.30               2.402709                0.262972   \n",
       "93    648302.30               3.174824                0.508479   \n",
       "94   3828708.15              -0.372777               -0.172273   \n",
       "95    353219.20               0.693135               -0.042385   \n",
       "96   1072081.90               0.342058               -0.101591   \n",
       "97    442483.75               2.251636                0.165587   \n",
       "98   1116321.15               1.715976                0.361451   \n",
       "99   1061238.55              -0.148573               -0.115800   \n",
       "\n",
       "    return_ma10_ma20_volume  \n",
       "0                       NaN  \n",
       "1                  0.357749  \n",
       "2                  0.185187  \n",
       "3                  0.539391  \n",
       "4                  0.125782  \n",
       "5                 -0.244959  \n",
       "6                 -0.111484  \n",
       "7                 -0.088967  \n",
       "8                  0.291785  \n",
       "9                 -0.135086  \n",
       "10                -0.174118  \n",
       "11                 0.149479  \n",
       "12                -0.084248  \n",
       "13                -0.397986  \n",
       "14                -0.038759  \n",
       "15                 0.225102  \n",
       "16                 0.350548  \n",
       "17                -0.088617  \n",
       "18                 0.396327  \n",
       "19                -0.521394  \n",
       "20                 0.083372  \n",
       "21                 0.152628  \n",
       "22                -0.344559  \n",
       "23                 0.277857  \n",
       "24                -0.092327  \n",
       "25                 0.018621  \n",
       "26                 0.328692  \n",
       "27                -0.257091  \n",
       "28                -0.370158  \n",
       "29                -0.114211  \n",
       "..                      ...  \n",
       "70                -0.019668  \n",
       "71                 0.724245  \n",
       "72                 0.379086  \n",
       "73                -0.187800  \n",
       "74                -0.469665  \n",
       "75                -0.195644  \n",
       "76                 0.466883  \n",
       "77                 0.200405  \n",
       "78                -0.139520  \n",
       "79                -0.701958  \n",
       "80                -0.204134  \n",
       "81                 0.133212  \n",
       "82                 0.175937  \n",
       "83                 0.442436  \n",
       "84                 0.060069  \n",
       "85                -0.185669  \n",
       "86                 0.440010  \n",
       "87                 0.523524  \n",
       "88                -0.166924  \n",
       "89                -0.269128  \n",
       "90                -0.216079  \n",
       "91                -0.212135  \n",
       "92                 0.072663  \n",
       "93                 0.074319  \n",
       "94                -0.368079  \n",
       "95                -0.173039  \n",
       "96                -0.322182  \n",
       "97                 0.016746  \n",
       "98                -0.397368  \n",
       "99                -0.046906  \n",
       "\n",
       "[100 rows x 12 columns]"
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Rearrange to the original order\n",
    "market_factors[['time','assetCode']+[score for score in market_factors.columns if 'volume' in score]].head(100)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### When testing these indicators, we should abandon first t days where t is the maximum time window used in calculating these indicators."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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